big xyt adds Market Impact Analysis to Liquidity Cockpit allowing trading firms to optimize trading and execution

big xyt adds Market Impact Analysis to Liquidity Cockpit allowing trading firms to optimize trading and execution

Liquidity Cockpit now offers a dashboard for Market Impact Analysis

The market impact dashboard offers various measures to estimate expected transaction costs. It allows to investigate the price change before and after a trade. The measures are calculated on every single trade for all securities across venues and trading days.

The interactive dashboard provides essential insight for trading firms as it helps to understand average market impact in dark pools. This information allows firms to reduce transaction costs by optimizing their trading and execution algos.

The market impact analysis consists of the following two measures:

  1. Price Impact (prior and after the trade): the difference between the mid price (as-of-trade) and the mid prices preceding or following the trade during given time distances from the trade time.
  2. Ratio of Market Moves in % (number of trades with an observed price change>0 at a particular time point – prior and after each trade): the ratio of price changes>0 observed during given time distances from the trade time.

The measures are aggregated by index, by date range and by venue using a simple average of the corresponding measure.

Venue Coverage

The market impact analysis focuses on hidden liquidity and covers the following venues:

Venue Identifier Venue
BATD Bats Europe – BXE Dark Order Book
BATF Bats Europe – Bats Off-Book
BATP Bats Europe – BXE Periodic
BLNK Blink MTF
BLOX Blockmatch
CHID Bats Europe – CXE Dark Order Book
CHIO Bats Europe (CXE) Off-Book
LIQU Liquidnet
LISX Bats Europe – LIS Service
TRQD Turquoise Dark
TRQD-Plato Uncross Turquoise Plato Uncross
XPOS Posit
XUBS UBS MTF

Analytics as a Service, e.g. TCA as a Service

The Liquidity Cockpit demonstrates big xyt’s capabilities around tick data analytics. Please contact us to understand how we can deliver bespoke analytics to your firm through innovative services, e.g. TCA, markets monitoring and optimization of execution strategies.

For more information, please visit liquiditycockpit.com, big-xyt.com or follow us on twitter @bigxyt