Trading technology provider Fidessa has added a new feature to its online Fragmentation Index that allows users to analyse the dispersion of trading in individual stocks across Europe’s displayed and non-displayed trading venues.
The tool, called the Fragulator, indicates where an individual stock was traded over a user-specified time period. The tool’s database currently contains one year’s worth of data – more than 1 billion trades.
As well as showing the percentage of the stock traded on each category of venue (dark, lit, over-the-counter, systematic internaliser), the Fragulator gives a per-venue breakdown of share volume, number of trades, average trade size, market share and volume-weighted average price.
According to Steve Grob, Fidessa’s director of strategy, the Fragulator will allow buy-side traders to compare the fragmentation patterns of their own executions in a stock with those of the overall market.
In addition, Grob says the Fragulator’s average order size statistic could explode some myths about non-displayed trading. “People assume that larger blocks are traded in the dark, but this isn’t the case with some stocks,” he told theTRADEnews.com. The Fragulator also consolidates European post-trade data from a variety of sources.
Launched in November 2008, the Fidessa Fragmentation Index aims to give users a snapshot of liquidity dispersion across Europe. The service gives scores to each of the major European indices and their constituents that indicate the average number of venues a trader would need to visit to execute orders in those indices or stocks.