Market Liquidity Analysis for Europe

The EU’s Markets in Financial Instruments Directive (MiFID) has radically changed the shape of the EU market. By opening the door to increased competition, traders now see a proliferation of new exchanges, alternative trading systems, and multi-lateral trading facilities, while existing exchanges expand their reach. A single security can now trade on multiple venues — complicating the analysis of liquidity and related trading decisions. By recent count, there are now 45 trading venues in Europe alone.

With no official European-wide "BBO" or consolidated last-trade ticker, this fragmentation of market liquidity makes trading a challenge. While market data vendors have stepped in to offer a consolidated last trade/BBO feed, some firms have found that the mix of venues does not match the way they trade.

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The Aleri Market Liquidity (MLA) server offers firms a consolidated view of the market that exactly matches the way that they trade. In addition to assisting with MiFID compliance, Aleri MLA gives traders and trading application the insight needed to answer fundamental trading questions such as: Who has the best price? Who has the most liquidity? How is market depth changing over time?

A Consolidated Market View

  • Consolidated Trade/BBO (level 1) quote record – last trade, best bid, best offer across multiple venues
  • Consolidated Full Depth order book – configurable for full depth or partial depth; combine market-by-order, market-by-price and top-of-book
  • Currency conversion using live rates – show consolidated data in an alternate currency; consolidate multi-currency data into a single cross-venue quote or book

Customizable

  • You control which venues to include/exclude – dynamically
  • Choose any source for FX rates
  • Set FX rate sensitivity
  • Apply price offsets to compensate for trading costs, latency or other factors

Simplifies Best Execution Compliance

Aleri MLA’s consolidated market view lets you take into account current conditions on all available markets when deciding where to trade. Using Aleri’s CEP authoring tools, you can extend your MLA model to perform smart order routing in compliance with your firm’s best execution policy. In addition to price, you can include other factors (such as transaction costs and customer preferences) in the routing decision. A compliance record documenting the basis for the decision can be archived for future reporting and auditing.