Creating indices of TRS transactions on the fly for index forecasting

The US equity swap data (Total Return Swaps, or TRS) on Deriv1.com are producing multiple opportunities for analysis. One of them is the creation of NASDAQ 100 and S&P 500 long and short indices. We’ve set up a model where we run the numbers right when the TRS data go live, around 9AM. We’ve learned a few things so far.
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