Frequently Asked Questions What is this site all about? What is the Fidessa Fragmentation Index? How is the FFI calculated? How do you derive the venue market share figures? What is the Fragulator? How do I use the Fragulator?

Can I have access to the underlying trade data? What are the trade categories? What do all the trade types mean? Which venues are covered? What benchmarks are available? What is the Fragulator Live? How do I use the Fragulator Live? Which stocks and venues are covered? The FFI was launched in November to provide a simple, unbiased measure of how different stocks are fragmenting across primary markets and alternative venues.

In short, it shows the average number of venues you should visit in order to achieve best execution when completing an order. So an index of 1 means that the stock is still traded at one venue. Increases in the FFI indicate a fragmentation of trading across multiple venues and as such any firm wishing to effectively trade that security must be able to execute across more venues. Since its introduction the FFI has become the standard reference point for measuring how trading in a stock or index is spreading across different lit venues.

The FFI is defined as the inverse of the sum of the squares of the market shares of each individual trading venue: As such, it can range from 1 to Vn moving from all trading residing on only one venue to an even amount of trading across Vn venues where Vn is the number of venues trading the stock.

Increases in the FFI indicate a fragmentation of trading across multiple venues and as such a firm wishing to effectively trade that security must be able to execute across more venues. In order to link stocks together across different trading venues the FFI references the ISIN code and currency to match each stock. This does have the effect of excluding fungible stocks but fungibility is different from liquidity.

Given that many trading firms have very different and conflicting views on fungible stocks they are deliberately ignored by the index. The calculation of the FFI is the inverse of the Herfindahl Index. The Herfindahl index is a widely used measure of the size of firms in relationship to the industry and an indicator of the amount of competition among them.

The rationale behind taking the inverse of this value is that we are measuring a move away from the status quo of a single stock exchange with monopolistic hold on liquidity to a fragmented marketplace with a number of new trading venues taking market share; thus, the FFI will range from 1 for a single execution venue to Vn where Vn is the total number of venues trading the stock.

The major benefit of the FFI in relation to other such measures is that it gives more weight to venues with the largest market share. The Fidessa Fragmentation Index for these two situations makes the concentration of the liquidity in the second case strikingly clear:. The index involves taking the market share of the respective market venues, squaring it, adding them together and then taking the inverse.

A low index score close to 1 indicates a stock is almost exclusively traded on a single venue. If all venues have an equal market share the index shows the number of venues trading the stock. The market share of each venue is calculated as the percentage of the total consideration traded by that venue over the total consideration traded by all the venues, in the supported indices.

The reports include the FFI and information for the constituent stocks within these major indices: For Europe, the USA, Canada and Japan only 3 bedroom house for rent in stockport book trades are included in the FFI calculations. The Fragulator was developed to give a complete picture of how trading in a given stock is broken down across lit venues, dark pools, build an automated stock trading system in excel lawrence klamecki internalisers and bilateral off-book trades.

Feel free to use the Fragulator in any way you wish paddy power stock market we anticipate a number of important uses:. Access the Fragulator to compare how a broker traded a stock compared with the overall trading patterns for that stock for the same time period. Use the Fragulator to analyse where to trade based upon the historical trading patterns for the auto trade binary option in question.

Correlation with other data: Correlate the Fragulator with other data sources such as volatility or other macro information to make better decisions.

As you type, the Fragulator will give you suggestions for the stock you are typing. You can click on these suggestions if they find the one you are looking for. The suggestions will match on stock code, description or ISIN. Yes, registered users can amend the start and end date transaksi forex bank mandiri by simply clicking on the field and selecting the required dates from the calendar.

Note, the Fragulator will not allow a date range beyond a year, or dates in the future. For any additional data requests, please email fragmentation fidessa. AT — Automatic Trade, done on-book. UT — Uncrossing Trade. These trades are normally part of an opening, closing or intra-day auction.

H — Hidden Order Martingale strategy for binary options. These trades result from a hidden order being executed.

AT — Normal Trade. AD — Dark Trade. M — Market Close. O — Odd Lot Trade. LT — Late Trade L, Z. OP — Official exchange opening or closing Price. OH — Out of Market Hours Trade T,U. NS — Non-regular Settlement Trade C, N, R. OT — Stock Options Trade V. IS — Intermarket Sweep Trade F.

OS — Other SRO Type Trade E, H, I, K. Fragmentation of stock markets — Normal trade. NS — Ncs forex/ncs holidays Settlement Trade C, N, R, Y. OS — Other SRO Type Trade A, B, D, E, G, H, K, S. OS — Other SRO Type Trade A, B, D, G, K, O, R, S.

IF — Inter-Fund cross -delayed publication requested. LC — Cancellation of trade more than 3 days old. NK — Negotiated Trade — delayed publication requested. NT — Negotiated Trade. OC — Cancellation of OTC trade more than 3 days old. OK — Ordinary trade — delayed publication requested. OT — OTC Trade. PC — Order book contra — not same day. SK — SI trade — delayed publication requested. TK — OTC trade — delayed publication requested.

Market fragmentation of securities market: traditional exchanges versus alternate trading venues: Macroeconomics and Finance in Emerging Market Economies: Vol 7, No 2

SI — SI trade. SC — Cancellation of SI trade more than 3 compare foreign exchange rates australia old. CT — Same day order book contra. Money winnings at 2016 masters — Not to Mark.

For Euronext markets Paris, Amsterdam, Brussels, Lisbon: AY — Basket Cross. T forex candle charts Off Market. TB — Block Trade. XB — Cross Block. AL — On Market Odd Cross. L — Large In Scale.

NB — Negotiated Broker to Broker. NM — Negotiated Market Maker to Market. NP — Negotiated Portfolio. NR — Negotiated Riskless Principal. NX — Negotiated Crossed. OB — Broker to Broker. OM — Market Maker to Market Maker.

OR — Riskless Principal. T — Protected Trade. Z — No Trade Type. AH — After Hours.

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AX — Agency Cross. BB — Broker to Broker. CP — Connected Party Trade. LT — Late Trade. PP — Protected Principal. PT — Portfolio Trade. RP — Riskless Principal. SS — Special Settlement. VW — VWAP Trade. WT — Worked Trade. K — On-exchange block trade ToSTNeT.

XB — Off-market cross block. AL — On-market odd-lot cross. AP — Snapshot price. T — Off market. O — Off-book trade. We cover most of the main markets in Canada, the USA, Europe, Japan, Asia and Australia, along with most of the alternative trading venues. For your selected instrument you can tailor reports by consideration, volume or trade count. Fragulator Live allows you to view the pattern of trading for a stock or index, intraday, with market data delayed by 15 minutes.

This additional stock-related intelligence and unique insight into trading patterns allows users, amongst other things, to:. See how fragmentation varies during the trading day as liquidity shifts across lit venues; b. Discover which European venues benefit the most from the US market opening; c.

Check how SORs behave when the LSE goes into auction mode on the third Friday of the month; d. Compare indices and stocks across different geographic regions; e. Check how the market responds to venue outages and significant news events.

Activity is measured in shares traded per minute, averaged over a 10 minute interval. In Europe, we support all stocks which are traded on Chi-X, as well as the major European indices.

In Canada, we support the constituents of the TSX60 and TSX Composite indices, as well as the indices themselves. The information contained within this website is provided for informational purposes only. Fidessa will use reasonable care to ensure that information is accurate at the time it is made available, and for the duration that it remains on the site.

The information may be changed by Fidessa at any time without notice. We also reserve the right to close the website at any time. No representation or warranty, expressed or implied, is given on behalf of Fidessa or any of its respective directors, employees, agents, or advisers as to the accuracy or completeness of the information or opinions contained herein or its suitability for any purpose and, save in the case of fraud, all liability for direct, indirect, special, consequential or other loss or damages of whatever kind that may arise from use of the website is hereby excluded to the fullest extent permitted by law.

Any decisions you make based on the information in this website are your sole responsibility and information on the website should not be relied upon in connection with any investment decision. The copyright of this website belongs to Fidessa.

All other intellectual property rights are reserved. Reproduction or redistribution of this information is prohibited except with written permission from Fidessa. Our privacy policy describes how Fidessa uses cookies on our website. If you continue using our website, you are consenting to our use of cookies.

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