Welcome to the world of daytime fragulation!
First Published Tuesday, 15th May 2012 02:31 pm from Fidessa : Steve Grob
The opinions expressed by this blogger and those providing comments are theirs alone, this does not reflect the opinion of Automated Trader or any employee thereof. Automated Trader is not responsible for the accuracy of any of the information supplied by this article.
As some of you have already seen, the clever chaps back
at Fidessa Labs have created a
href="http://bit.ly/fragliveb" target="_blank">live version of
our award-winning Fragulator. This enables you to watch
the ebb and flow of fragmentation for any European stock or index
on a real-time basis (sorry, no other markets just
yet).
As you can see below, it was especially
target="_blank">when Deutsche Börse had a
hiccup and delayed its opening by 80 mins.
href="http://fragmentation.fidessa.com/wp-content/uploads/DAX-8th-May-2012.png">
class="aligncenter size-full wp-image-3659" title="DAX - 8th May
2012"
src="http://fragmentation.fidessa.com/wp-content/uploads/DAX-8th-May-2012.png"
alt="" width="565" height="240" />
The absence of trading during the outage proved, yet
again, that the market is still overly dependent upon the
primaries for price formation. The irony of this was highlighted
as well by NYSE Euronext's Duncan Niederauer who believes that
href="http://online.wsj.com/article/BT-CO-20120508-719939.html"
target="_blank">exchanges risk becoming mere show rooms for
prices and that all the real trading might end up
taking place on alternative lit and dark venues.
Some of you have been kind enough to let us know that
href="http://bit.ly/fragliveb" target="_blank">Fragulator
Live useful in a number of ways, including for
observing how fragmentation varies during the trading day as
liquidity shifts across venues; discovering which European venues
benefit the most from the US market opening; checking how SORs
behave when the LSE goes into auction mode; and comparing indices
and stocks across different geographic regions.
href="http://bit.ly/fragliveb" target="_blank">Fragulator
Live - let us know what interesting things
you discover and what else you'd like to see.
