Intelligent Financial Systems

Email: liquidmetrix@if5.comTel: +44 203 432 5610

LiquidMetrix pre- and post-trade analysis services, covering global equities and FX, provide the sophisticated analytics required for performance measurement, and are made possible through a suite of proprietary tools for optimal storage and retrieval of trades, and full depth order book data from multi-terabyte databases of venue data. The TCA methods Intelligent Financial Systems has developed are suited to reflect modern multi-venue trading realities and, among other features, include the modelling of venue latency effects allowing for realistic performance analysis on both algorithmic and smart order routed trade flows. LiquidMetrix allows brokers and the buy-side to monitor and compare the performance of their order routing technology/algorithms/broker direct market access. LiquidMetrix uses information that ranges from individual fills, market orders, smart order router/algo orders, broker placements and portfolio manager releases.

Benchmarks

Benchmarks include: fill improvement bps and value;
fill spread capture; adverse selection; TWAM; previous close; open; arrival
touch; arrival mid; first fill touch; first fill mid; interval VWAP (primary
exchange or whole market); daily VWAP (primary exchange or whole market);
participation rate; % average daily volume; close; participation VWAP (Variable
and 5%,10%,15%,20%); delay cost; opportunity cost; order spread capture;
reversions (5,10,15,30, 60mins); momentum (1,3 and 5 days); alpha on day;
interval alpha.

Reporting & consultancy

Clients can use the analytics workstation to drill
into depth of results as well as configurable reports that can be scheduled for
automated production on daily/week/monthly/qtr basis. Report output can be in
either pdf or Excel format. Consultancy and bespoke analysis services on algo
and smart order router execution performance are offered.

Pre-trade analysis

Pre-trade estimates of impact and volatility are provided

Future plans

Intelligent Financial Systems implemented granular
detail on performance some years ago and already fully utilise any available
Fix tags.