Best Execution Analysis. Multi Venue TCA. Millisecond Tick Data Service

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Byron Nelson
6 years ago
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1 Best Execution Analysis Multi Venue TCA Millisecond Tick Data Service Pre-Trade Liquidity Maps Dark Pool Analytics SOR Verification Latency Analysis

2 What Do We Do? XLON XETR XPAR XSTO LiquidMetrix Level 3 Tick Database LiquidMetrix collects trades and order data from European venues. BATE CHIX TRQX BURG

3 UK Multi-venue Order Book

4 Statoil Hydro Multi-venue Order Book

5 DNO International Multi-venue Order Book

6 What Do We Do? XLON XETR XPAR XSTO LiquidMetrix Level 3 Tick Database Post Trade Analytics BATE CHIX TRQX BURG Tick Data Service Pre-Trade Statistics

7 1. Pre-Trade Analysis

8 OBX Index Battlemap

9 Statoil Hydro Battlemap

10 DNO International Battlemap

11 Spread Leeway Norway / Sweden

12 Intraday statistics for Statoil Hydro Spread at touch 10 BPS Liquidity Value Traded (without Oslo) Value Traded

13 Dark Pool Analysis Value Traded (without OMX Helsinki)

14 2. Post-Trade Analysis

15 LiquidMetrix Trade Benchmarking Client Trades Send us your trades LiquidMetrix Level 3 Tick Database Nasdaq Burgundy Chi-X Europe... See the results in the LiquidMetrix WorkStation We benchmark your trades

16 LiquidMetrix WorkStation Post Trade Analysis

LiquidMetrix Trade Benchmarking We analyse a trade: Buy 46 SSAB shares for SEK 100.1. To benchmark the trade we rebuild all order books for venues where SSAB trades on.

17 LiquidMetrix Trade Benchmarking We analyse a trade: Buy 46 SSAB shares for SEK To benchmark the trade we rebuild all order books for venues where SSAB trades on. We benchmark against the best volume weighted price available for an aggressive order at the time of the trade. In this case the trade happened at the best price of SEK (quoted by multiple venues).

Compliance Looking for outliers List of the worst outliers, i.e. trades that were executed on one venue whilst a better aggressive price was available for that trade on a different venue.

18 Compliance Looking for outliers List of the worst outliers, i.e. trades that were executed on one venue whilst a better aggressive price was available for that trade on a different venue. The example shows a sell trade for 188 shares in Lundin Petroleum that was done on Nasdaq OMX (XSTO) but could have been done for a slightly better price on Burgundy.

19 Drilling deeper... Drilling deeper we can see that the trade could have been done on Burgundy. Burgundy was offering 1000 shares for a better price of SEK The other 5 venues were all offering SEK 77.70

20 ... and deeper... Here is the exact order book state of all venues at the time of the trade... The 1,000 share bid on Burgundy was present in the book for about 1 minute before the trade and remained on book for several seconds after the trade. So this is a fairly clear outlier. However, for perspective the miss was SEK 0.05 * 188 shares = SEK 9.44

21 Aggregate Execution Quality Analysis 4,179 trades worth SEK 255m About 2% of trades by number could have been improved. The total price improvement this represents in value is about SEK 1,800 or about 0.07BPS.

22 Aggregate Report by Instrument Compare the relative performance by instrument for instance: Modern Times Group has 6% outliers. ABB Ltd has 0% outliers.

Which venues provide better performance? Get a report on which venues had better prices at the time of your trades. Quantify the potential gain in basis points and monetary value.

23 Which venues provide better performance? Get a report on which venues had better prices at the time of your trades. Quantify the potential gain in basis points and monetary value. Overall another SEK 1,862 could have been price improved. The main improvement in terms of monetary value would come from trading on Chi-X and Burgundy when they had better prices.

24 Internal and Client reporting Generate internal reports that can be shared between compliance, trading and management. Analyse and compare trading performance by venue, instrument, broker, algorithm etc. Generate reports for clients. Generate reports for compliance reviews including trends over the last 3, 6 or 12 months.

25 Transaction Cost Analysis

26 Summary - If you are not connected to MTFs / not using a SOR: - Do you really need to? - What is the actual benefit for YOUR trade flow if you were to use a SOR/ what is the cost? - If you are already using a SOR: - Is the SOR doing what it should be doing? - Are my rules ensuring I get the best liquidity? - Is latency a factor? - Price Improvement what is the benefit in terms of spread capture of using a dark pool? What are the Cons? - Opportunity cost - Adverse selection

27 Questions? Contact details: Free offer: LiquidMetrix will benchmark 1 week of your trades and send you an Execution Quality Report. Sign up for the free monthly Battlemap newsletter

LSE and Turquoise gained market share mainly at the expense of CHI-X.

IFS FTSE -100 BATTLEMAP LSE and Turquoise gained market share mainly at the expense of CHI-X. Spreads tightened on LSE, CHI-X, Turquoise and BATS at touch. For 25k deal sizes spreads narrowed on all venues