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Market Sentiment Meter (MSM)

Better risk management. Higher returns from algorithmic trading.

MSM was developed by 1QBit in collaboration with the CME Group. It offers new insight into market expectations.

MSM makes use of CME settlement data on futures contracts and options on futures contracts. The expiries on these instruments run for months and years ahead of today’s trade date. The prices, volumes and intraday dynamics of these instruments offer a wealth of information not typically available in other markets.

MSM is offered as a Third Party Dataset by CME DataMine.

How to Get Started

Existing Datamine Subscribers

If you currently subscribe to a DataMine product, or have a CME ID that gives you access, you can add MSM to your subscription via the DataMine shopping cart.  You will receive notifications by e-mail when your daily files are ready for downloading, typically a few hours after CME publishes its preliminary end-of-day settlement files. 

DataMine can assist you with technical issues related to access and downloading. 1QBit can assist you in getting business value from the MSM curated data.

Application notes can be obtained from msmsales@1qbit.com

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Free Trial Users

If you received an MSM Curated Data file as part of a free trial package, and need assistance in navigating DataMine, 1QBit will be pleased to assist you. You will need a CME ID to access the DataMine shopping cart, and an API ID to access the download service. The procedure for getting these is straightforward.

Software is available to download MSM files programmatically. 1QBit uses Python scripts to download each new day’s files for quality assurance.  You can use these yourself, or copy the relevant URLs to your own software.

Email us at msmsales@1qbit.com or reply to the e-mail you received with your initial package for help.

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New to MSM?

You can begin with either a free trial package, which comes as a fixed file, or with a trial subscription on DataMine, where your fees will be waived for the duration of the trial. The standard duration for a free trial is one month, however longer trials can be arranged where necessary.

A subscription gives you daily updates, which is useful if you want to try integrating the daily market sentiment into an existing information flow. For detailed quantitative work, however, a fixed file can be more convenient.

Contact msmsales@1qbit.com

How MSM Works

MSM infers market expectations from futures and options settlement data.

Diagram of Light Sweet Crude Oil FuturesConventional models assume that returns on the underlying futures contracts will follow a bell-shaped distribution. In contrast, MSM begins with the assumption that more than one “school of thought” can be present. Most of the time, these schools of thought are similar, and  the mixture distribution (which contains all of them) will be relatively bell-shaped. However, when expectations diverge, as they often do around upcoming events with uncertain outcomes, the MSM distribution can broaden and even become bi-modal.

The conventional approach to “tail risk” is to broaden the conventional bell-shaped distribution.  A single volatility is used to represent the entire risk. In contrast, the MSM mixture distribution is constructed from both directional and volatility estimates. The risk manager looking to address tail risk may find this to be a more intuitive and realistic approach.

Diagram of Crude Oil Futures complacentDiagram of Crude Oil Futures balancedDiagram of Crude Oil Futures anxiousDiagram of Crude Oil Futures conflicted

1QBit and CME Group have assembled a historical library of major events and their effects. Thus, a risk manager can compare the current state of the market with similar events from recent history. 

In a similar way, 1QBit and CME Group have studied the behavior of simple trading algorithms before, during and after various MSM “market states”. Although these studies cannot substitute for back testing and validation of the trader’s own algorithms, MSM Curated Data Files are usable as inputs in algorithm development. Application notes are available to explain how this can be done.

Available Data Sets

• CME S&P 500 Index E-Mini futures (ES)
• CBOT 10-Year Treasury Note futures (TYF)
• CME Euro/USD FX futures (EC)
• NYMEX WTI Crude Oil futures (CL)
• NYMEX Henry Hub Natural Gas futures (NG)
• COMEX Gold futures (GC)
• CBOT Soybean futures (S)
• CBOT Corn futures (C)

How to Use MSM Data

A description of the MSM Curated Data File format is given in the FAQ on the CME DataMine website. 1QBit has created application notes that explain how MSM data can be used. For subscribers, there is also technical support in the form of examples and consultation.

Generally Available Application Notes:

  • Overview of MSM Market States
  • Association of MSM States with Selected Historical Events
  • Introduction to Improving Algorithmic Trading System Performance using MSM
  • Assessment of client algorithms using 1QBit’s Zero Knowledge Protocol

Access will be arranged during the trial subscription period. Contact us for a free trial.

Notes Available to MSM Subscribers Only:

  • Historical event library and narratives
  • Instrument Correlation library, an expanding collection of relationships between the core MSM futures products and selected equities, along with other instruments.
  • Advanced techniques for Improving Algorithmic Trading System Performance using MSM
  • Visualization resources
  • Programmatic access to MSM files, a guide.

Contact msmsales@1qbit.com for these notes.

Getting More from MSM

1QBit’s Professional Services Team has successfully completed client engagement projects with Fortune 100 clients in the life sciences, finance, advanced materials, and energy industries.

Much of this work involves breaking new ground. 1QBit’s 60+ researchers and developers hold over 100 university degrees in a wide variety of specialized areas including medicine and biology, machine learning, computational physics, chemistry, mathematics, computer science, business and engineering.

Photo of 1QBit experts in a meeting

1QBit develops algorithms in a variety of fields and applies the synergies that occur when concepts and techniques cross from one field to another. This includes the analysis of market sentiment based on volume, price and open interest data available from sources like the Chicago Mercantile Exchange. 

You can work directly with the people who created the Market Sentiment Meter, or you can set off exploring in a new direction, possibly taking advantage of the new technologies that 1QBit can offer you.

Ask Us Anything

Send your burning questions to msmsales@1qbit.com

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