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:
- 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.
- 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.
The market impact analysis focuses on hidden liquidity and covers the following venues:
|BATD||Bats Europe – BXE Dark Order Book|
|BATF||Bats Europe – Bats Off-Book|
|BATP||Bats Europe – BXE Periodic|
|CHID||Bats Europe – CXE Dark Order Book|
|CHIO||Bats Europe (CXE) Off-Book|
|LISX||Bats Europe – LIS Service|
|TRQD-Plato Uncross||Turquoise Plato Uncross|
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.