Liquidity Capture is an essential part of Best Execution Algos, in order to minimize slippage and reduce information leakage. Whilst the seasonality of volumes profile are well known, there are several other liquidity metrics that need to be modeled throughout the trading day.
The graph below shows the median ‘at touch’ liquidity profile for AZN at LSEG as a function of time over the trading day on the lit book. Touch liquidity builds up from the open, stabilizes over lunchtime and then builds up as the US markets open and into the close.
It is essential that a best execution algo has this per instrument intelligence, so that it can step ahead when ‘excess liquidity’ is being shown in the order book. Please contact us at email@example.com for details on how these metrics can improve execution prices.