Frequently Asked Questions

What is this site all about ?

Fidessa Fragmentation Index (FFI)

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

Fragulator®

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

Tradalyzer™

1. What is the Tradalyzer™?
2. How do I use the input form?
3. What does the Consolidated Trading Summary tell me?
4. Which benchmarks are included in the Tradalyzer?
5. Does the Tradalyzer provide analysis across lit and dark venues?

Fidessa Fragmentation Index (FFI)

1. What is the Fidessa Fragmentation Index?

The FFI was launched in November 2008 to provide a simple, unbiased measure of how different stocks are fragmenting across primary markets and alternative venues.

In short, it 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.

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.

The FFI 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.

The FFI is calculated for the constituent stocks of the major indices in each region.

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.

2. How is the FFI calculated?

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).

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.

3. 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.

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

The reports include the FFI and information for the constituent stocks within these major indices:
AEX, BEL 20, BSE Sensex, CAC 40, DAX, DJ Industrial Average, FTSE 100, FTSE 250, FTSE Bursa Malaysia KLCI, FTSE MIB, IBEX 35, ISEQ, Hang Seng, KOSPI, NASDAQ 100, Nikkei 225, OMX C20, OMX H25, OMX S30, Oslo OBX, PSI 20, S&P 500, S&P/ASX 200, S&P CNX Nifty, S&P/TSX, S&P/TSX 60, S&P/TSX Venture, SET 50, Shanghai SE A & B, Shenzhen SE A & B, SMI, Straits Times (STI), Taiwan Weighted Index.

Only order book trades are included in the FFI calculations (for a complete picture of how trading is broken down across lit venues, dark pools, systematic internalisers and bilateral OTC trades take a look at the Fragulator).

Fragulator®

1. What is the Fragulator?

The Fragulator was developed to give a complete picture of how trading in a given stock is broken down across lit venues, dark pools, systematic internalisers and bilateral OTC trades.

Using the Fragulator it’s possible to query several billion records from over 250 different sources to see how a given stock has been traded at a number of levels – by category and then by venue – and over any date range.

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

2. How do I use the Fragulator?

To use the Fragulator simply type a stock code into the ‘Stock or Index’ 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.

3. 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®. You need only do this once (and it’s free).

4. 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.

5. What are the categories?

‘LIT’ indicates trades executed on-book.
‘Dark’ indicates trades executed on a dark pool where the orders are not 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.

6. 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.

The following additional trade types apply:

For Australia:

AX – On-exchange cross.
O – Off book trade.
X – Off book cross.

For Canada:

AT – On-exchange cross.
X – Off-exchange cross.

For the USA:

Listed stocks:
EA – Exchange Open/Close Action Trade (X, M, Q, O, 5, 6).
LT – Late Trade (L, Z).
OH – Out of Market Hours Trade (T,U).
NS – Non-regular Settlement Trade (C, N, R).
AP – Reference/Average Price Trade (P, B, 4).
OT – Stock Options Trade (V).
IS – Intermarket Sweep Trade (F).
OS – Other SRO Type Trade (E, H, I, K).
AT – Normal trade (@).

NASDAQ stocks:
EA – Exchange Open/Close Action Trade (X, M, Q, O, 5, 6).
LT – Late Trade (L, Z).
OH – Out of Market Hours Trade (T,U).
NS – Non-regular Settlement Trade (C, N, R, Y).
AP – Reference/Average Price Trade (W, P, 1, 4).
OT – Stock Options Trade (V).
IS – Intermarket Sweep Trade (F).
OS – Other SRO Type Trade (A, B, D, E, G, H, K, S).
AT – Normal trade (@).

OTCBB/Pink stocks:
LT – Late Trade (L, Z).
OH – Out of Market Hours Trade (T,U).
NS – Non-regular Settlement Trade (C, N, R).
AP – Reference/Average Price Trade (W, P).
OS – Other SRO Type Trade (A, B, D, G, K, O, R, S).
AT – Normal trade (@).

For London:
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):
AX – Cross.
AY – Basket Cross.
T – Off Market.
TB – Block Trade.
XB – Cross Block.
AL – On Market Odd Cross.

For PLUS Markets:
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:
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

For Japan:
AT – Automatic Trade, done on-book.
K – On-exchange block trade (ToSTNeT).
XB – Off-market cross block.
AL- On-market odd-lot cross.
AP – Snapshot price.

For Asia:
AT – Automatic Trade, done on-book.
K – Block Trade, a transaction using the block trade facility.

7. Which venues are covered?

We cover most of the main markets in Canada, USA, Europe, Japan and Asia, along with most of the alternative trading venues, including:

Alpha ATS
Athens Exchange
Australian Securities Exchange
BATS
BATS Europe
BATS Dark
Berne eXchange
BlockMatch
Börse München (Munich)
Börsen Hamburg-Hannover
Bolsa de Madrid
Bombay Stock Exchange (Mumbai)
Borsa Italiana (Milan)
Budapest Stock Exchange
Burgundy
Bursa Malaysia
Chicago Board Options Exchange
Chicago Stock Exchange
Chi-Delta
Chi-X Australia
Chi-X Europe
Chi-X Canada
Chi-X Japan
Deutsche Börse
DirectEdge
Equiduct
Euronext Amsterdam
Euronext Brussels
Euronext Lisbon
Euronext Paris
FINRA OTC
Fukuoka Stock Exchange
GreTai Securities Market
Hanoi Stock Exchange
Ho Chi Minh Stock Exchange
HKEx
Indonesia Stock Exchange
International Securities Exchange
Irish Stock Exchange (Dublin)
JASDAQ
Korea Exchange
KOSDAQ (Korea)
Latibex (Madrid)
Liquidnet
London Stock Exchange
Madrid Alternative Market
Markit BOAT
Nagoya Stock Exchange
NASDAQ
NASDAQ Capital Market
NASDAQ Europe
NASDAQ Global Select
NASDAQ NMS
NASDAQ OMX BX
NASDAQ OMX Baltic (Riga, Tallinn, Vilnius)
NASDAQ OMX Nordic (Copenhagen, Helsinki, Iceland, Stockholm)
National Stock Exchange (NSX)
National Stock Exchange of India
New Zealand Stock Exchange
Nomura NX
NSX
NYFIX
NYSE
NYSE Amex
NYSE Arca
Omega ATS
Osaka Exchange
Oslo Børs
Philippine Stock Exchange
Pink Sheets
Pink Sheets Grey Market
PLUS Markets
POSIT Marketplace
Prague Stock Exchange
Pure Trading
RASDAQ
RTS Stock Exchange (Moscow)
Sapporo Securities Exchange
SBI Japannext
Shanghai Stock Exchange
Shenzhen Stock Exchange
Singapore Exchange
SIX Swiss Exchange
SmartPool
Stock Exchange of Hong Kong
Stock Exchange of Thailand
Taiwan Stock Exchange
Tokyo Stock Exchange
ToSTNeT
Toronto Stock Exchange
TriAct Match NOW
TSX Venture Exchange
Turquoise
Vienna Stock Exchange
Warsaw Stock Exchange

Tradalyzer™

1. What is the Tradalyzer™

The Fidessa Tradalyzer analyses the performance of a specific trade against the consolidated view of the market. It includes a number of industry-standard benchmarks to provide a complete and accurate assessment of trades and trading strategies.

In the absence of a European consolidated tape it is difficult for the trading community to independently benchmark performance in the highly fragmented trading landscape that has evolved in the wake of the MiFID regulations. The Tradalyzer allows market participants of all types to better understand their execution quality and meet the ever-growing demands for transparency from buy-side clients, investors and regulators.

For brokers the Tradalyzer provides a measure of the effectiveness of their smart order routing technology and independent validation of the execution services they provide for their buy-side clients.

For buy-side firms the Tradalyzer provides the intelligence they need to interpret and compare specific trades against the market and to review their broker’s performance against the market.

Trading venues can use the Tradalyzer to monitor their performance against the market, track competitor activity and demonstrate the value they offer.

Based on the consolidated picture provided by the Fidessa Fragulator®, the Tradalyzer brings greater intelligence and deeper insight to the analysis of trading activity across the multiple lit and dark venues that have emerged since MiFID came into force.

Data feeding the Tradalyzer is updated at the end of the trading day and is available for analysis from the following day. Calculations can be conducted on trading data going back 90 days. The Tradalyzer initially covers European stocks.

2. How do I use the input form?

Enter the details of your trade and hit the Show report button.

3. What does the Consolidated Trading Summary tell me?

4. Which benchmarks are included in the Tradalyzer?

The benchmarks show the value difference (in the stock currency) between the traded price and a number of different benchmarks. A positive amount indicates that the trade price was superior to the benchmark; a negative amount indicates that the trade price was inferior.

5. Does the Tradalyzer provide analysis across lit and dark venues?

Yes. This table shows the trading breakdown across lit and dark venues of the trades that occurred between the arrival time and the completion time.