UK-based broking house Winterflood Securities has implemented LiquidMetrix, a transaction cost analysis and best execution product suite developed by market data analysis firm Intelligent Financial Systems (IFS), to independently verify the quality of its execution services.
LiquidMetrix provides access to a consolidated multi-year trade and full-depth order book history covering instruments traded on European primary exchanges and MTFs, and trades sent to reporting facilities. The system allows users to analyse the relative trading performance of their trade flow versus individual or multiple trading venues.
Electronic liquidity providers, such as Winterflood, can measure potential price improvement of every executed trade versus any individual or group of European execution venues using either ‘depth weighted’ or ‘touch’ reference prices.
“Analysing Winterflood’s trade flow has been very interesting. Whilst most of our clients analyse their own order book flow in order to measure the performance of their smart order router, Winterflood also uses LiquidMetrix to measure how much improvement they offer their clients versus the chosen benchmark,” said Sabine Toulson, managing director of IFS, in a statement.
Phillip Yarrow, director of electronic trading at Winterflood Securities, added, “Whilst validating our execution quality over hundreds of thousands of client trades each month is key, of equal importance to us is being able to share these independent results with our customers.”