Aleri Market Liquidity Analysis (MLA)
Analyze liquidity across the full market, not just a single exchange
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. Aleri’s MLA engine is a powerful tool for trading in today’s fragmented markets. It eliminates the challenges of trading against multiple order books by creating a virtual market book that shows the full visible market. 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
Easily implement custom analytics
From there, MLA’s high level authoring tools allow easy implementation of custom analytics to derive continuous real-time insight into market liquidity as well as to automate tasks such as order placement. 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
Low latency architecture scales for unlimited capacity
Aleri’s MLA engine is implemented on the Aleri Streaming Platform, an 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 MLA 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.