CS Cuts AA 2009 EPS Forecast from $1.50 to $0.15
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EUR/USD Consolidating Just Above 1.3420
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BoC To Auction C$2bln In 28 Day TLF on Jan 12
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BoC To Auction C$1bln In 14 Day PRA on Jan 12
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C, MS in Talks to Merge Brokerage Units --CNBC
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Merkin Leaving GMAC Board
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C: Rubin Will Stay on as Director Until Term Expires --CNBC
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Moody's Puts FDX (Baa2) on Outlook Neg
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WSJ reports Robert Rubin is "tired of defending" his Citi tenure
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Rubin Leaving Citigroup --WSJ
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NY FED Board Will Meet Tomorrow to Consider Geithner Replacements --Reports
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Boeing to Cut 4,500 Jobs --WSJ
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'Wickedly Nasty' Recession; Zero Upward Pressure on Rates --Pimco's McCulley on Bbg TV
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Pemex: Fisherman Protest at Salina Cruz Terminal Jeopardizes Shipments
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YHOO Likely to Pick Decker, Bartz, or 3rd Candidate for CEO Next Week
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Crude Down 3.5% at 40.27
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Exxon: Planned Repairs to Torrance, CA Refinery (150k BPD) Include Hydrotreater, Alky, Sulfur, FCC Units
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10yr Up 0.75% at 126-08
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Exxon Closes Units at Torrance, CA Refinery (150k BPD) for Maintenance
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Barclays Cuts J Crew from $10 to $5
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Automated Trader : Front Page Archive

November 18th, 2008 - Fidessa announces launch of the Fidessa Fragmentation Index

Fidessa launches Fragmentation Index

Steve Grob, director of strategy, Fidessa:

"It’s clear that the ability to seek out liquidity in an intelligent fashion, coupled with the ability to trade across multiple venues is going to be key to successful operation in this market.”

Fidessa group plc has today announced the launch of the Fidessa Fragmentation Index (FFI) which will provide the trading community with a measurement of the true state of liquidity fragmentation across order-driven markets in Europe.

Liquidity in European markets is fragmenting rapidly as new MTFs have unveiled a range of low cost alternative trading platforms. Understanding how different stocks are fragmenting across these new venues is essential to implementing effective best execution strategies for both the buy and the sell side.

"Everyone agrees that liquidity is moving away from primary venues but there is no industry standard way to compare fragmentation quickly and easily between different stocks, indices and venues," explains Steve Grob, director of strategy at Fidessa. "This is exactly what we set out to achieve through the creation of the Fidessa Fragmentation Index."

The Fidessa Fragmentation Index provides a single number to show how a stock or index is fragmenting and so it’s now easy to measure and compare fragmentation across Europe. In this way, the FFI can help the sell side understand where and how it should implement Smart Order Routing (SOR) and help buy side firms identify where to direct their flow.

The FFI is calculated using proven mathematical principles, and shows the average number of venues that should be visited to achieve best execution when completing an order. An index value of 1 means that the stock is still traded at a Primary Exchange. Increases in the FFI signify increasing fragmentation of liquidity across further venues. An index value of 2 or more shows that the stock has been fragmented significantly and to the extent that it can no longer be regarded as having a Primary Exchange.

Steve Grob continues: “Each day we calculate the FFI across all the constituents of the major European indices, and this has shown us just how many stocks are fragmenting and the rate at which they are doing so: the FFI for the FTSE 100, for example, has risen to a peak of 1.77 and some individual stocks are already breaking the 2.0 barrier on a regular basis. It’s clear that the ability to seek out liquidity in an intelligent fashion, coupled with the ability to trade across multiple venues is going to be key to successful operation in this market.”

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