Firstly, thanks to Olof Neiglick and the title="Burgundy" href="http://www.burgundy.se/home"

target="_blank">Burgundy team for hosting an

enlightening

href="http://www.burgundy.se/news-events/events/copenhagen"

target="_blank">seminar on the state of liquidity

fragmentation in the Nordics earlier this week. The sessions

included presentations from brokers, vendors and clearers and

helped highlight a number of issues facing the broking community

as a whole and particularly in terms of dealing with fragmented

liquidity. The first point is that, in terms of SOR,

it's now a question of "how" to

implement it rather than "if". Robert Barnes,

head of market structures at

href="http://ubs.com/" target="_blank">UBS for the

past five years and recently named

href="http://automatedtrader.net/news/algo-appointments-news/39932/robert-barnes-named-ubs-mtf-ceo"

target="_blank">chief executive of its new European dark

pool, made an excellent case for how large brokers can

take the pain away in terms of cost and complexity by allowing

other brokers to reuse their smart technology to access the

myriad pools of liquidity that now exist across the lit-dark

spectrum. This makes perfect sense for some firms provided that

they can demonstrate their own value-add on the trading food

chain and can be clear about whether they are trading with or

through these larger brokers. Other technology vendors made the

alternative case for buying in third party technology. This is

probably the only other viable alternative as the market is

changing so fast that the "roll your own"

option is simply unaffordable for all but the largest players.

The sentiment, however, seemed to be that any such third party

option needs to fully respect the entire (fragmented) workflow

involved and not just chop orders up and ping them out to

different venues.

On this point, the chaps

back at the lab have now added the

href="http://www.stoxx.com/indices/index_information.html?symbol=SX5E"

target="_blank">EURO STOXX 50 Index into the title="Fragulate SX5E"

href="http://fragmentation.fidessa.com/fragulator/?fim=.SX5E.DJ"

target="_blank">Fragulator (thanks to Malcolm Ford

for his useful suggestion on this). If this is any kind of proxy

as to how other national indices are going to end up then life is

going to get a lot more complicated for us all. I started trying

to add up all the different potential paths an order might take

(including clearing and settlement) over the 35 different venues

but soon gave up - might make a good idea for a

competition?

Anyway, it was a great event in

Copenhagen and the tour and dinner at the nearby Carlsberg

Brewery proved an ideal opportunity to refresh ourselves on a

similarly dazzling array of liquidity.