Welcome to the World of Fragmented Liquidity

This site aims to provide a forum for the better understanding of the changing structure of the European markets following the introduction of MiFID and to provide an evolving consensus within the financial community on the impact of these developments. It also aims to anticipate the next wave of changes we can expect in the market and assess their impact on the community at large, on trading styles and on the technology required to navigate the new liquidity.

In November 2008 we launched the Fidessa Fragmentation Index (FFI) - a simple, unbiased measure of how different stocks are fragmenting across primary markets and alternative venues.

In short, the FFI shows the average number of venues you should visit in order to achieve best execution when completing an order. So an index of 1 means that the stock is still traded at one venue. Increases in the FFI indicate a fragmentation of trading across multiple venues and as such any firm wishing to effectively trade that security must be able to execute across more venues.

Once a stock’s FFI exceeds 2 liquidity in that stock has fragmented to the extent that it no longer “belongs” to its originating venue.

And so, it’s now easy to compare fragmentation between different stocks, indices and venues.

Since its introduction the FFI has become the standard reference point for measuring how trading in a stock or index is spreading across different lit venues.

For a full technical understanding of how the FFI is calculated, please refer to the science bit.

To date, we have calculated the FFI across all the constituents of the major European indices. One year on two further requirements have emerged – the first is to provide a breakdown of non-lit trading (i.e. dark pools, systematic internalisers and bilateral OTC trades) and the second was to allow the trading community to analyse the way in which specific stocks are traded in more detail.

Introducing the Fidessa Fragulator™ – a billion trade records at your fingertips!

It was to meet these twin requirements that the Fragulator™ was developed as a way of providing an immediate view of the complete trading pattern of any European stock over any time period.

Using the Fragulator™ it’s possible to query around a billion trade records to get a complete picture of how trading in a given stock is broken down across lit venues, dark pools, systematic internalisers and bilateral OTC trades.

This is no mean feat so, you may well ask, how have we achieved this?

The first step was to collect the trade records for every European stock – we currently have a year’s worth of data which equates to around a billion records. This data comes from over 40 different sources so the next challenge was to clean this data and then structure it in such a way that it could be easily analysed.

Manipulating a database that grows at over a billion records a year usually requires a never ending cycle of investment in computer hardware and software and so this seemed like an ideal opportunity to exploit the potential of cloud computing.

Once the Fragulator™ database was designed and built it was then lifted into a cloud environment and the necessary secure links to the different data sources added.

We then had to develop a web based front end that would allow users to rapidly search through the data and deliver results that would define how a stock has been traded at a number of levels – by category and then by venue.

For a full explanation of trade types and more information about the Fragulator™, please refer to the science bit.

Now that we’ve integrated the Fragulator™ into this site, it’s easy to analyse the precise trading pattern of a selected stock over any date range – all in the blink of an eye!

Feel free to use the Fragulator™ in any way you wish but we anticipate a number of important uses:

Assess Broker Performance
Access the Fragulator™ to compare how a broker traded a stock compared with the overall trading patterns for that stock for the same time period.

Pre-trade analytics
Use the Fragulator™ to analyse where to trade based upon the historical trading patterns for the stock in question

Correlation with other data
Correlate the Fragulator™ with other data sources such as volatility or other macro information to make better decisions

The possibilities are endless!

The following copyright and trademarks are acknowledged:

AEX, BEL 20 and CAC40 indices and Euronext data: Euronext N.V.
Athens data: Athens Exchange S.A.  
BATS data: BATS Trading Ltd.
BOAT data: Boat Services Ltd.
Budapest data: Budapest Stock Exchange Ltd.
Bucharest data: Bucharest Stock Exchange.
Burgundy data: Burgundy AB.
Chi-X data: Chi-X Europe Limited.
DAX index and Deutsche Börse data: Deutsche Börse AG.
Dublin data: Deutsche Börse AG.
FTSE 100 and FTSE 250: FTSE is a trade mark of the London Stock Exchange Plc and The Financial Times Limited and is used by FTSE International Limited (”FTSE”) under licence.
IBEX35 index and SIBE data: Sociedad de Bolsas S.A.
Liquidnet data: Liquidnet Holdings, Inc.
LSE data: London Stock Exchange.
MIB30 index and Borsa Italiana data: Borsa Italiana S.p.A.
Moscow data: Russian Trading System Stock Exchange.
NASDAQ OMX Europe data: NASDAQ OMX Europe.
NYFIX data: NYFIX, Inc.
NYSE Arca Europe data: NYSE Euronext.
OMX C20, OMX H25, OMX S30 indices and OMX data: Nasdaq OMX Europe.
Oslo data: Oslo Børs Informasjon AS.
Plus data: Plus Markets plc.
Posit data: Investment Technology Group Ltd.
Prague data: Prague Stock Exchange.
SMI index and SWX Europe data: Exfeed Ltd.
Turquoise data: Turquoise Services Ltd.
Vienna data: Wiener Börse AG.
Warsaw data: Warsaw Stock Exchange.

Fragulator™ is a trademark of Fidessa group plc.