Aleri Market Liquidity Analysis
When the market for a security is fragmented across multiple pools of liquidity, determining when and where to trade can be a challenge. With more than 40 different execution venues for equities in the U.S. alone — and a growing number of European venues and trading choices thanks to the EU’s MiFID directive, with the most recent count at 45 venues — trading is more complex than ever, with more venues, more choices, and more data.
Aleri’s Market Liquidity Analysis (MLA) engine helps you cut through the complexity that can cloud your view of markets. It consolidates last trade, best bid/offer and full depth order books across the markets you choose, helping you determine where, when and how to trade in order to achieve best execution. You control the mix of venues - which can include exchanges, ECNs, multi-lateral trading facilities, alternative trading systems, and even your own book.
- Consolidate full depth or partial depth order books
- Optional level 1 consolidation of last trade and best bid/offer (BBO)
- Low-latency streaming output continuously publishes updates to consolidated records
- Server-based consolidation for efficiency in multi-user environments
- Includes multi-currency support and other features for global markets
- Scalable to support consolidation of all US Equity trading venues
- Combine data from direct exchange feeds and consolidated feeds
Extract Market Insight with Custom Analytics
Aleri lets you go beyond data consolidation by adding your own real-time analytics that deliver insight into the market. While it may be useful in some cases to simply be able to view consolidated market information, it can be even more valuable to use that raw data to characterize the market, producing information that can be more readily used to make decisions. Easily add custom analytics using Aleri's high level CEP authoring tools to compute information such as:
- Market sentiment
- Liquidity concentration
- VWAP at depth - price to sweep the market
- Buy/sell pressure, momentum
The Perfect Fit: a System Tailored to the Way you Trade
One size doesn’t fit all, it just results in a poor fit. Aleri MLA is highly customizable so that it can perfectly fit the way you trade.
- Select which venues to include/exclude with the ability to make changes dynamically under operator control or according to business rules
- Mix full depth inputs from your heavily used exchanges with (less expensive) top-of-book or top-10 data from other venues
- Show consolidated data in alternate currencies and/or consolidate across currencies. You select the FX rate source and sensitivity
- Apply price offsets to compensate for differences in transaction costs, latency or other factors
- Compute value-added fields to your own specifications
