Insider Flow Prediction

More than 60+ insider trading features helpful for machine learning, including a flow prediction value.

Data is updated every Friday after market closes US ET time.

Tutorials are the best documentation — Insider Flow Prediction Tutorial

Input Datasets

Insider Filings, Market Data

Models Used

Machine Learning (Gradient Boost)

Model Outputs

Percentile Outputs (Relative)

Description

This dataset provides comprehensive analysis of insider trading behaviors, including metrics on transaction types, market impact, ownership dynamics, and trading patterns.

It offers investors and regulators valuable insights into insider trading strategies, market effects, and potential signaling, enabling more informed decision-making and risk assessment in the context of insider activities.

Data Access

Insider Trading Data

This data is around 1GB if you download the entire dataset.

from sovai import sov
df_insider = sov.data("insider/trading")
Grab latest forecasts
df_insider.get_latest("flow_prediction")

Filtered Dataset

from sovai import sov
df_insider = sov.data("insider/trading", start_date="2004-04-30", tickers=["MSFT"])

Plots

Percentile Progression

import sovai as sov
sov.plot("insider", chart_type="percentile", ticker="AAPL")

Insider Flow Prediction

import sovai as sov
sov.plot("insider", chart_type="prediction")

Grouped Plot

import sovai as sov
sov.plot("insider", chart_type="flows")

Data Dictionary

Column NameDescription

ticker

Stock ticker symbol associated with the transaction.

date

Date when the transaction was reported.

market_impact

Sum of the effect of all transactions on the market value.

market_impact_percentage

Mean impact of transactions as a percentage of the transaction value.

percentage_shares

Average portion of shares transacted relative to total shares outstanding.

transaction_value

Total value of the transactions.

transaction_shares

Total number of shares involved in the transactions.

days_to_file

Average number of days between the transaction and filing dates.

row_number

Count of transactions within the dataset.

cumulative_market_impact

Aggregate impact of transactions over time (not directly computed in the provided code but implied).

relative_transaction_size

Size of a transaction relative to other transactions, combining absolute ratios of shares and values.

holding_period

Average time between the acquisition and sale of stock.

sale_to_purchase_ratio

Ratio of the sum of sales to purchases by absolute value.

holding_period_pert

Perturbation or change in holding period (calculated as a percentage change or variation).

sale_to_purchase_ratio_pert

Variability or percentage change in the sale-to-purchase ratio.

derivative_nonderivative_value_abs_ratio

Absolute ratio comparing values of derivative and non-derivative transactions.

long_term_alignment_ratio_relativesize_abs_ratio

Ratio of long-term alignment (options granted) to relative transaction size.

relative_transaction_size_pert

Variability in the size of a transaction relative to others.

derivative_nonderivative_impact_abs_ratio

Absolute ratio of market impact between derivative and non-derivative transactions.

tenpercent_nintypercent_impactperc_net_ratio

Net ratio of market impact percentage between entities owning ten percent and others.

none_to_manager_shares_net_ratio

Net ratio of shares held by non-managers to managers.

tenpercent_nintypercent_percshares_abs_ratio

Absolute ratio of percentage shares held by ten percent owners to others.

direct_indirect_value_net_ratio_pert

Variability in the net ratio of transaction values between direct and indirect ownership.

direct_indirect_insiderscore_abs_ratio

Absolute ratio of insider scores for direct versus indirect transactions.

director_officer_impactperc_net_ratio

Net ratio of market impact percentage between directors and officers.

director_officer_shares_net_ratio

Net ratio of shares held by directors to officers.

director_officer_occurrences_abs_ratio

Absolute ratio of transaction occurrences between directors and officers.

both_to_all_value_net_ratio

Net ratio of transaction values for individuals with dual roles (both director and officer) compared to all others.

both_to_all_percshares_abs_ratio

Absolute ratio of percentage shares held by individuals with dual roles compared to all others.

none_to_manager_percshares_abs_ratio

Absolute ratio of percentage shares held by non-managers to managers.

sale_purchase_ratio_impactperc_abs_ratio_pert

Variability in the absolute ratio of market impact percentage between sales and purchases.

sale_purchase_ratio_insiderscore_abs_ratio

Absolute ratio of insider scores between sales and purchases.

willing_acquisitions_ratio_occurrences_abs_ratio

Absolute ratio of occurrences of willing acquisitions compared to other transaction types.

liquidity_situation_ratio_impact_abs_ratio

Absolute ratio of market impact for transactions related to liquidity situations.

liquidity_situation_ratio_percshares_abs_ratio

Absolute ratio of percentage shares involved in liquidity-related transactions.

sale_press_impactperc_director_to_officer_net_ratio_pert

Variability in net ratio of market impact percentage from sales pressure between directors and officers.

sale_press_shares_director_to_officer_net_ratio_pert

Variability in net ratio of shares involved in sales pressure between directors and officers.

sale_press_impactperc_director_to_officer_abs_ratio_pert

Variability in the absolute ratio of market impact percentage from sales pressure between directors and officers.

sale_press_value_director_to_officer_abs_ratio

Absolute ratio of transaction values under sales pressure from directors to officers.

sale_press_impact_ten_ninety_net_ratio

Net ratio of market impact for transactions involving top ten percent owners versus others.

sale_press_percshares_ten_ninety_net_ratio

Net ratio of percentage shares involved in transactions for top ten percent owners versus others.

sale_press_impact_ten_ninety_abs_ratio

Absolute ratio of market impact for transactions involving top ten percent owners versus others.

sale_press_insiderscore_ten_ninety_abs_ratio

Absolute ratio of insider scores for transactions involving top ten percent owners versus others.

sale_press_impact_direct_to_indirect_net_ratio

Net ratio of market impact between direct and indirect sales pressure.

sale_press_percshares_direct_to_indirect_net_ratio_pert

Variability in net ratio of percentage shares under direct versus indirect sales pressure.

sale_press_impactperc_direct_to_indirect_abs_ratio_pert

Variability in the absolute ratio of market impact percentage under direct versus indirect sales pressure.

sale_press_relativesize_direct_to_indirect_abs_ratio

Absolute ratio of relative transaction size under direct versus indirect sales pressure.

row_number_pert

Variability or percentage change in the count of transactions.

derivative_nonderivative_value_net_ratio_pert

Variability in the net ratio of values between derivative and non-derivative transactions.

derivative_nonderivative_occurrences_abs_ratio_pert

Variability in the absolute ratio of occurrences between derivative and non-derivative transactions.

tenpercent_nintypercent_impact_net_ratio_pert

Variability in net ratio of market impact between ten percent owners and others.

tenpercent_nintypercent_percshares_net_ratio_pert

Variability in net ratio of percentage shares between ten percent owners and others.

tenpercent_nintypercent_value_net_ratio_pert

Variability in net ratio of transaction values between ten percent owners and others.

tenpercent_nintypercent_percshares_abs_ratio_pert

Variability in absolute ratio of percentage shares between ten percent owners and others.

direct_indirect_percshares_abs_ratio_pert

Variability in absolute ratio of percentage shares between direct and indirect ownership.

director_officer_impact_net_ratio_pert

Variability in net ratio of market impact between directors and officers.

director_officer_percshares_abs_ratio_pert

Variability in absolute ratio of percentage shares between directors and officers.

both_to_all_impact_net_ratio_pert

Variability in net ratio of market impact between dual-role individuals and others.

both_to_all_percshares_abs_ratio_pert

Variability in absolute ratio of percentage shares between dual-role individuals and others.

none_to_manager_percshares_abs_ratio_pert

Variability in absolute ratio of percentage shares between non-managers and managers.

sale_purchase_ratio_value_abs_ratio_pert

Variability in absolute ratio of transaction values between sales and purchases.

willing_acquisitions_ratio_occurrences_abs_ratio_pert

Variability in absolute ratio of occurrences in willing acquisitions.

long_term_alignment_ratio_occurrences_abs_ratio_pert

Variability in absolute ratio of occurrences related to long-term alignment transactions.

liquidity_situation_ratio_value_abs_ratio_pert

Variability in absolute ratio of transaction values in liquidity situations.

sale_press_relativesize_director_to_officer_abs_ratio_pert

Variability in absolute ratio of relative transaction size under director to officer sales pressure.

sale_press_value_ten_ninety_net_ratio_pert

Variability in net ratio of transaction values for top ten percent owners versus others.

sale_press_impact_ten_ninety_abs_ratio_pert

Variability in absolute ratio of market impact for top ten percent owners versus others.

sale_press_occurrences_ten_ninety_abs_ratio_pert

Variability in absolute ratio of occurrences for top ten percent owners versus others.

sale_press_impact_direct_to_indirect_net_ratio_pert

Variability in net ratio of market impact under direct versus indirect sales pressure.

sale_press_occurrences_direct_to_indirect_abs_ratio_pert

Variability in absolute ratio of occurrences under direct versus indirect sales pressure.

flow_prediction

Predicted transaction flow based on analysis (not directly computed in the provided code but implied).

Feature Descriptions

  1. Derivative and Non-Derivative Transaction Metrics (Columns 1-4)

    • Purpose: These metrics provide insights into the use of derivative and non-derivative instruments in insider transactions.

    • Usage: Investors can assess the complexity and risk associated with insider trading strategies.

  2. Ownership Dynamics Metrics (Columns 5-12)

    • Purpose: These metrics track the ownership patterns and concentrations among insiders, such as directors, officers, and 10% owners.

    • Usage: Useful for identifying potential conflicts of interest and assessing the alignment of insider interests with the company.

  3. Transaction Type Metrics (Columns 13-18)

    • Purpose: These metrics analyze the types of transactions, such as purchases, sales, and acquisitions, and their impact on the market.

    • Usage: Investors can evaluate the motivations behind insider transactions and their potential signaling effect.

  4. Sale Pressure Metrics (Columns 19-30)

    • Purpose: These metrics focus on the impact of insider sales and the pressure they exert on the market.

    • Usage: Essential for understanding the liquidity and price dynamics surrounding insider sales.

  5. Variability and Perturbation Metrics (Columns 31-50)

    • Purpose: These metrics measure the variability and percentage changes in various aspects of insider transactions.

    • Usage: Useful for assessing the stability and predictability of insider trading patterns.

  6. Key Transaction Details

    • ticker: Stock ticker symbol associated with the insider transaction.

    • date: Date when the insider transaction was reported.

    • market_impact: Sum of the effect of all insider transactions on the market value.

    • market_impact_percentage: Mean impact as a percentage of the transaction value.

    • percentage_shares: APortio transacted by insiders relative to total shares outstanding.

    • transaction_value: Total value of the insider transactions.

    • transaction_shares: Total number of shares involved in the insider transactions.

    • days_to_file: Average number of days between the insider transaction and filing dates.

    • row_number: Count of insider transactions within the dataset.

    • cumulative_market_impact: Aggregate impact of insider transactions over time.

    • holding_period: Average time between the acquisition and sale of stock by insiders.

    • sale_to_purchase_ratio: Ratio of the sum of insider sales to purchases

    • holding_period_pert: Perturbation or change in the holding period of insiders.

    • sale_to_purchase_ratio_pert: Change in the sale-to-purchase ratio of insiders.

    • flow_prediction: Predicted transaction flow from insider trading patterns.

Use Cases

This dataset provides a comprehensive analysis of insider trading behaviors, strategies, and portfolio dynamics. It covers various aspects like transaction ratios, market impact metrics, ownership dynamics, and more. The data is designed to assist investors and regulators in understanding insider trading patterns, evaluating the impact of insider transactions, and making informed decisions.Use

  • Market Impact Analysis: Understand the impact of insider transactions on market prices and liquidity.

  • Risk Assessment: Evaluate the risk profiles of different insider trading strategies and behaviors.

  • Investment Decision Making: Utilize insider trading data to make informed investment decisions.

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