Frequently Asked Questions

    Fidessa Fragmentation Index (FFI)

  1. What is the Fidessa Fragmentation Index?
  2. How do you derive the venue market share figures?
  3. Where did the FFI come from?
  4. What stocks/markets are covered by the FFI?

    Fragulator™

  1. How do I use the Fragulator™?
  2. Can I see more than last week’s data?
  3. Can I have access to the raw trade data?
  4. What are the categories?
  5. What do all the trade types mean?
  6. Which venues are covered?

    Fidessa Fragmentation Index (FFI)

  1. What is the Fidessa Fragmentation Index?

    The Fidessa Fragmentation Index (FFI) is a measure of the fragmentation of a particular stock or share index that is traded on multiple order driven markets. It is defined as the inverse of the sum of the squares of the market shares of each individual trading venue: i.e. the inverse of (the average market share, weighted by market share).

    As such, it can range from 1 to Vn moving from all trading residing on only one venue to an even amount of trading across Vn venues (where Vn is the number of venues trading the stock). Increases in the FFI indicate a fragmentation of trading across multiple venues and as such a firm wishing to effectively trade that security must be able to execute across more venues.

    Stock Linking

    In order to link stocks together across different trading venues the FFI references the ISIN code and currency to match each stock. This does have the effect of excluding fungible stocks but fungibility is different from liquidity. Given that many trading firms have very different and conflicting views on fungible stocks they are deliberately ignored by the index.

    Worked Example

    The major benefit of the FFI in relation to other such measures is that it gives more weight to venues with the largest market share. Take, for instance, two cases in which the three largest venues trade 90% of the stock:

    Case 1: All three venues trade 30% each, and

    Case 2: One venue trades 70% while the other two trade 10% each.

    We will assume that the remaining 10% of output is divided among 2 equally sized venues.

    The Fidessa Fragmentation Index for these two situations makes the concentration of the liquidity in the second case strikingly clear:

    Case 1: FFI = 1 / ( (3 * 0.3 * 0.3) + (2 * 0.05 * 0.05) ) = 3.636

    Case 2: FFI = 1 / ( (0.7 * 0.7) + (2 * 0.10 * 0.10) + (2 * 0.05 * 0.05) ) = 1.942

    The index involves taking the market share of the respective market venues, squaring it, adding them together and then taking the inverse.

    A low index score (close to 1) indicates a stock is almost exclusively traded on a single venue. If all venues have an equal market share the index shows the number of venues trading the stock. When venues have unequal market shares, the index indicates the “equivalent” number of venues trading the stock.

  2. How do you derive the venue market share figures?

    The market share of each venue is calculated as the percentage of the total consideration traded by that venue over the total consideration traded by all the venues, in the supported indices.

  3. Where did the FFI come from?

    The calculation of the FFI is the inverse of the Herfindahl Index. The Herfindahl index is a widely used measure of the size of firms in relationship to the industry and an indicator of the amount of competition among them.

    The rationale behind taking the inverse of this value is that we are measuring a move away from the status quo of a single stock exchange with monopolistic hold on liquidity to a fragmented marketplace with a number of new trading venues taking market share; thus, the FFI will range from 1 (for a single execution venue) to Vn (where Vn is the total number of venues trading the stock).

  4. What stocks/markets are covered by the FFI?

    The reports include the FFI and information for the constituent stocks within the major European indices: AEX, BEL 20, CAC 40, DAX, FTSE 100, FTSE 250, IBEX 35, MIB 30, OMX C20, OMX H25, OMX S30, OBX and SMI. Only order book trades are included.

    Fragulator™

  1. How do I use the Fragulator™?

    To use the Fragulator™, simply type a stock code into the Stock entry box. As you type, the Fragulator™ will give you suggestions for the stock you are typing. You can click on these suggestions if they find the one you are looking for. The suggestions will match on stock code, description or ISIN. Once you have selected the required stock, click on ‘Show report’ to get the trade breakdown for the last trading week.

    Registered users can also amend the start and end date fields. To do this, simply click on the field and select the required date from the calendar. Note, the Fragulator™ will not allow a date range beyond a year, or dates in the future.

  2. Can I see more than last week’s data?

    Yes, you can view data for any date range up to a year by registering and logging in to the Fragulator™.

  3. Can I have access to the raw trade data?

    Not at the moment but we are currently looking into providing this feature, along with other enhancements and improvements to the site.

  4. What are the categories?

    ‘LIT’ indicates trades executed on-book.
    ‘Dark’ indicates trades executed on a Dark Pool where the orders weren’t visible pre-trade.
    ‘SI’ indicates trades executed by a Systematic Internaliser.
    ‘OTC’ indicates trades executed over the counter and reported to one of the reporting venues.

  5. What do all the trade types mean?

    The trade type codes vary from one exchange to another, although there are some common ones:
    AT - Automatic Trade, done on-book.
    UT - Uncrossing Trade. These trades are normally part of an opening, closing or intra-day auction.
    H - Hidden Order Trade. These trades result from a hidden order being executed.

    For London, the following trade types apply:
    IF - Inter-Fund cross -delayed publication requested.
    LC - Cancellation of trade more than 3 days old.
    NK - Negotiated Trade - delayed publication requested.
    NT - Negotiated Trade.
    OC - Cancellation of OTC trade more than 3 days old.
    OK - Ordinary trade - delayed publication requested.
    OT - OTC Trade.
    PC - Order book contra - not same day.
    SK - SI trade - delayed publication requested.
    TK - OTC trade - delayed publication requested.
    SI - SI trade.
    SC - Cancellation of SI trade more than 3 days old.
    CT - Same day order book contra.
    NM - Not to Mark.

    For Euronext markets (Paris, Amsterdam, Brussels, Lisbon) the following codes apply:
    AX - Cross.
    AY - Basket Cross.
    T - Off Market.
    TB - Block Trade.
    XB - Cross Block.
    AL - On Market Odd Cross.

    For Plus, the following codes apply:
    L - Large In Scale.
    N - Negotiated.
    NB - Negotiated Broker to Broker.
    NM - Negotiated Market Maker to Market.
    NP - Negotiated Portfolio.
    NR - Negotiated Riskless Principal.
    NX - Negotiated Crossed.
    OB - Broker to Broker.
    OM - Market Maker to Market Maker.
    OP - Portfolio.
    OR - Riskless Principal.
    OX - Crossed.
    T - Protected Trade.
    Z - No Trade Type.

    For Dublin, the following codes apply:
    AH - After Hours.
    AX - Agency Cross.
    BB - Broker to Broker.
    CP - Connected Party Trade.
    CT - Correction.
    LT - Late Trade.
    PP - Protected Principal.
    PT - Portfolio Trade.
    RP - Riskless Principal.
    SS - Special Settlement.
    VW - VWAP Trade.
    WT - Worked Trade

  6. Which venues are covered?

    We cover most of the main markets in Europe along with most of the MTF’s, including:
    Athens
    BATS Europe
    Berne
    Boat
    Budapest
    Burgundy
    Chi-X
    Copenhagen
    Dublin
    Euronext Lisbon
    Euronext Amsterdam
    Euronext Brussels
    Euronext Lisbon
    Euronext Paris
    Frankfurt
    Hamburg
    Hanover
    Helsinki
    Iceland
    Liquidnet
    Lithuania
    LSE
    Madrid
    Madrid Alternative Market
    Madrid Latibex
    Milan
    Milan Expandi
    Moscow
    Munich
    NASDAQ Europe
    NYFIX
    NYSE Arca
    Oslo
    Plus
    Posit
    Prague
    RASDAQ
    Riga
    Stockholm
    SWX Europe
    Tallinn
    Turquoise
    Vienna
    Warsaw
    Xetra