The graph below shows how the median liquidity at touch profile for China Mobile Ltd (941:HK) at HKEX changes throughout the trading day on the lit book. Touch liquidity builds up following the opening auction, stabilizes ahead of the lunchbreak and then builds up again prior to the closing auction.
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.
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