Comments on: Turquoise and the Tale of Tape http://fragmentation.fidessa.com/2009/01/22/turquoise-and-the-tale-of-tape/ Making Sense of Fragmentation Wed, 01 Feb 2012 14:55:28 +0000 http://wordpress.org/?v=2.9.2 hourly 1 By: Artur Fischer http://fragmentation.fidessa.com/2009/01/22/turquoise-and-the-tale-of-tape/comment-page-1/#comment-82 Artur Fischer Thu, 22 Jan 2009 22:44:41 +0000 http://46.51.189.55/?p=461#comment-82 Steve Thanks for shedding light on the complex issue of a consolidated tape. I agree that there might be different solution to the problem. However those customizations will be implemented on a local user basis and are therefore not relevant. The aim of a consolidated tape is to serve as a meaningful benchmark in a fragmented market. Equiduct takes great care in the selection of venues we include in our OrangeVBBO. Only those venues which have firm prices and are utilizing a clearing house are used. The same is true for the 500 plus instruments we calculate the OrangeVBBO for. Only instruments which are traded at least in 2 venues and which have a sufficient number of trades during the day are included in our calculation. However the main differentiator to other solution is our ability to calculate a volume weighted benchmark using two distinct volumes : RMS (7.500 €) and SMS (up to 100.000 e) as defined by CESR. A solution which only allows a top of the book (EBBO) view is as vague as a house price without the information about the number of bedrooms. Steve

Thanks for shedding light on the complex issue of a consolidated tape. I agree that there might be different solution to the problem. However those customizations will be implemented on a local user basis and are therefore not relevant. The aim of a consolidated tape is to serve as a meaningful benchmark in a fragmented market. Equiduct takes great care in the selection of venues we include in our OrangeVBBO. Only those venues which have firm prices and are utilizing a clearing house are used. The same is true for the 500 plus instruments we calculate the OrangeVBBO for. Only instruments which are traded at least in 2 venues and which have a sufficient number of trades during the day are included in our calculation. However the main differentiator to other solution is our ability to calculate a volume weighted benchmark using two distinct volumes : RMS (7.500 €) and SMS (up to 100.000 e) as defined by CESR. A solution which only allows a top of the book (EBBO) view is as vague as a house price without the information about the number of bedrooms.

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