The J.P. Morgan Macrosynergy Quantamental System (JPMaQS) tracks macroeconomic concepts, like growth, inflation and macroeconomic balance sheets, and transforms them into macroeconomic quantamental indicators, making it easy to use quantitative-fundamental information for algorithmic trading and for the development of discretionary trading tools.
Today JPMaQS processes nearly 1 billion raw data points, cleaning and wrangling them into over 300 million high-quality data points, or 10 million data vintages, to produce over 5,000 macro quantamental indicators, the “building blocks” used to create trading signals and macro quantamental systematic strategies. New data and data sets are added to this process every day.
Macro quantamental indicators are real-time dated “quantitative-fundamental” information on economic financial developments that are relevant for market trends.
Using macro quantamental indicators and strategies provides for an information advantage on macro factors across global fixed income, foreign exchange, equity, credit and commodity markets. It is also a major cost saver, compared to the alternative of building clean real-time macro data series for financial markets on an ad-hoc and single institution basis.
JPMaQS is a premium data offering and a commercial/paid data service – however the license fee is a fraction compared to the significant higher resources/costs necessary to source, clean and condense this type of data in-house. Information and documentation on JPMaQS is available on J.P. Morgan Markets, and the macro quantamental indicators are available via DataQuery API (simple and fast authentication via OAuth).
What is macro quantamental data?
Macro quantamental data refers to data that inform directly on macroeconomic activity, balance sheets and sentiment of various parts of an economy. This differentiates macro quantamental data from market data, which dominates algorithmic trading.