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 sales@itarle.com for details on how these metrics can improve execution prices.
It is often said that data is the new oil. Your company is sat on huge data wells of client trade analytics, which can be used to boost future revenues. Improve: If you can’t measure it, you can’t improve it. Regular reviews of the trading process lead to better trading prices for the clients in […]
HKEX recently went live with China A shares 50 Futures. Itarle bring the 'liquidity at touch' intra-day statistics to life with a seasonal theme. Knowledge of intra-day liquidity patterns is essential for liquidity capture. Looking forward to uncovering many more liquidity patterns next year. Happy holidays and best wishes for 2022! Team Itarle
