Goldman Sachs expands MTF data distribution with QuantHouse

QuantHouse has expanded its API Ecosystem with market data from the Goldman Sachs SIGMA X MTF, including indicative auction quotes.

Market data from the Goldman Sachs SIGMA X multilateral trading facility (MTF) is now accessible via QuantHouse, providing users with information on executed trades within the bank’s auction book.

QuantHouse said in a statement that SIGMA MTF market data, including indicative auction quotes, is now available through its QuantFEED service, which normalises and disseminates information for users via a single API (application programming interface).

“SIGMA X MTF continues to meet the needs of our clients as transparency develops in the equities landscape post-MiFID II,” said Paul Brennan, chief operating officer of SIGMA X MTF at Goldman Sachs. “We think the QuantHouse community will benefit from accessing SIGMA X MTF market data, offering the opportunity to identify high quality liquidity to help improve trading and execution outcomes.”

The Goldman Sachs MTF offers liquidity on the basis of non-discretionary crossing with flow from external participants and the US investment bank, with its periodic auction book currently the second largest in Europe by volume traded.

Goldman Sachs said that following a recent analysis of its SIGMA X MTF auction activity, which have surged in popularity among traders following the introduction of MiFID II, there is often a surplus of unexecuted liquidity in most periodic auctions.

“Our store acts more and more as a “Netflix kind of” portal for the API user community to source advance solutions. We are happy to now offer Goldman Sachs’ SIGMA X MTF market data to our client base across the globe,” added Stephane Leroy, chief revenue officer and co-Founder of QuantHouse.