As some of you have already seen, the clever chaps back at Fidessa Labs have created a live version of our award-winning Fragulator. This enables you to watch the ebb and flow of fragmentation for any European stock or index on a real-time basis (sorry, no other markets just yet).
As you can see below, it was especially useful last Tuesday when Deutsche Börse had a hiccup and delayed its opening by 80 mins.
The absence of trading during the outage proved, yet again, that the market is still overly dependent upon the primaries for price formation. The irony of this was highlighted as well by NYSE Euronext’s Duncan Niederauer who believes that exchanges risk becoming mere show rooms for prices and that all the real trading might end up taking place on alternative lit and dark venues.
Some of you have been kind enough to let us know that you’ve found Fragulator Live useful in a number of ways, including for observing how fragmentation varies during the trading day as liquidity shifts across venues; discovering which European venues benefit the most from the US market opening; checking how SORs behave when the LSE goes into auction mode; and comparing indices and stocks across different geographic regions.
Anyway, enjoy the Fragulator Live – let us know what interesting things you discover and what else you’d like to see.