big xyt’s Liquidity Cockpit for ETFs solution is a consolidated source of security metrics for global exchange traded fund (ETFs), derived from multiple sources, encapsulating national regulated trading venues, multilateral trading facilities (MTFs) including ‘request for quote’ (RFQ) volume, and OTC/SI reported transactions, all disseminated through a single, standardised, data feed or consolidated view.
European market comment “…high demand for consolidated tape data and the benefits of delivering the data clearly outweigh the cost of implementing it…the delivery of Consolidated Tape data for the EU is already long overdue…”
Market partners report for EC (Sep 2020)
Utilising this core ETF dataset alongside the highest quality reference data, big xyt offers four core ETF services:
Peer Group Selection
For selected instrument(s), identify the peer group using a multitude of fund data characteristics, such as underlying asset class, geographic focus, sector, sub-sector, replication type, fund domicile, income treatment and tracking benchmark.
For selected instrument(s), reported volume from all regular markets (RMs), multilateral trading facilities (MTFs), incorporating Request for Quote (RFQ) volume along with all trade categories including OTC/SI transactions.
For selected instruments, various spread metrics (in bps) are available, e.g. ‘At Touch’ best bid offer (BBO), Effective spreads at flexible trade sizes such as 25k EUR, 25kUSD or 100k USD, along with Spread Presence (period of sufficient depth in the order book as %).
Load equity basket(s) with holdings (or % weighting and NAV), to generate a pre-trade view on basket with individual instrument nominal, price, notional (in local and fund currency), weighting, % ADV and the average spread (bps).
Access to big xyt’s Liquidity Cockpit for ETFs solution is available via a number of established engagement mechanisms:
Our dynamic dashboards provide simple, flexible views for dynamic interactive use, data download, custom design and white-labelled solutions.
Pre-designed or bespoke reports managed directly via our dashboard or configured as scheduled reports, distributed via email and/or secure file transfer protocol (SFTP).
Data extract via scheduled file delivery. Transfer batch files using secure file transfer protocol (SFTP), or utilise our API connectivity.
GUI access to individual European domiciled ETFs
T+1 venue volume and spread data in a single view
Prior 30 day view
Return multiple ETFs
Peer group compare
Date range history (to 2 years)
Daily volume + trade category
Daily spread depth
As per ‘PROFESSIONAL’ plus
Data access via API or SFTP
Visualisation technology such as Tableau/Power BI
Pre-trade basket analysis