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 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
