Aleri Market Depth Analysis

The new Market Depth Analysis server from Aleri is a powerful tool for trading in fragmented markets. With competition among exchanges, trading against a single order book is only trading against a slice of the market. But trading against multiple order books can represent a challenge. The Aleri Market Depth Analysis server creates a virtual market book that shows the full visible market. It doesn’t stop there, however, since viewing a full order book is normally not the end goal; extracting insight from the order book is what’s ultimately desired.

Custom analytics can be easily implemented using Aleri’s high-level authoring tools to compute high level information according to your needs. These analytics are updated continuously as the order book changes. For example:

• Match in-house orders to the virtual market book, instantly calculating the average price that would result from a market sweep of n shares and creating an order list for each venue
• Complement the full book with real-time market depth information such as pressure trends, buy/sell ratio, or synthetic spread at a defined depth

Whether you are a broker that is routing orders, a trader who is executing orders, or a proprietary trader looking for opportunities, you need to be able to analyze market depth across the full market – not just a single exchange.

The virtual market book is created by consolidating order book feeds from individual exchanges, ECNs and ATSs. Incoming feeds are normalized and then consolidated into the virtual book. The virtual book is maintained at multiple levels of aggregation showing both individual markets by price and full market depth at price. The configuration can be customized to:

• apply venue filters controlling which venues contribute to a book
• apply currency normalization when combining books in different currencies
• apply venue-specific price offsets to normalize for trading costs and other factors

Low Latency Architecture Scales for Unlimited Capacity

The Aleri Market Depth Analysis server is implemented on Aleri’s industry leading Complex Event Processing (CEP) platform, resulting in ultra-low latency processing with built-in scalability that can handle virtually unlimited throughput. With the ability to scale across multiple machines, an MDA implementation can deliver the entire market or just the piece of the market you are interested in.

Connectivity

Aleri provides connectivity for Reuters RMDS, with support for full market depth via the Reuters OMM data model; market depth data from ACTIV Financial; and others. Contact Aleri to discuss your specific connectivity requirements.

Let us Show it to You

Contact Aleri to schedule a demonstration or to request additional information.