Monday, November 24, 2008

Fidessa Fragmentation Index

I have a feeling that this would be important to Aleri and Streambase. I welcome comments from both companies (Jon and Mark?) to explain if and how they might use it (Streambase with Smart Order Routing, Aleri with Liquidity Management).

In particular, would this affect any of the pragmatic work by Robert Almgren (who is an advisor to Streambase)?

©2008 Marc Adler - All Rights Reserved.
All opinions here are personal, and have no relation to my employer.


Jon said...

Hi Marc,

Thanks for the pointer. That's an interesting statistic, one that would be straightforward to calculate in Aleri's Market Liquidity Analysis (MLA) system. I'll talk to the system analysts who designed MLA. I bet they have clever ways to visualize the FFI (Herfindahl index), perhaps on top of some of our other heat maps and graphs (probably not in the consolidated order book screen, which is just a table).

-Jon Riecke
Lead Platform Architect, Aleri Inc.

Hans said...

This index has been discussed in the context of comparing the performance of a Euro SOR/liquidity solution.

An SOR has two comparable numbers:

1) a number calculated from the internal liquidity tables
2) a number calculated from executed orders (this is a little more complicated)

Using the FFI as a benchmark, the above numbers can be used to compare the amount of liquidity seen and captured by an SOR to the amount of liquidity that is theoretically available in the market.

Tim Bass said...

Hi Marc,

Thanks for not calling it the "CEP FFI", LOL :-)

The sooner we stop calling algorithm trading "CEP" the better.


Yours sincerely, Tim