London-based research and data analytics provider Intelligent Financial Systems has expanded its LiquidMetrix WorkStation best execution and transaction cost analysis service to cover US equity markets using data from low-latency data provider Activ Financial, in response to demand from large global institutional clients.
LiquidMetrix—which previously only provided analysis on European markets—went live with Activ’s US equity data at the end of December to support its post-trade analytics, says Mark Ford, sales and marketing manager at IFS.
IFS downloads the data from an FTP server in Activ’s Slough datacenter. As a result of creating the FTP download capabilities for all US markets for IFS, Activ can also offer the service to other potential partners as well, says Dane Thacker, sales director of EMEA at Activ.
“IFS and other analytics companies want the data, not in a normalized or particularly low-latency format, but for the comprehensiveness we provide. It’s not just bid and offer, but other fields like alerts and ex-dividend information, and even fields that can be programmed so data can be calculated into different fields, as per the client’s requirements,” Thacker says. “This way, they can get as wide or as narrow of a view as they require for the analytics that they’re publishing.”
While latency is not necessarily important for LiquidMetrix, as its services are generally provided on a next-day basis, Ford says that Activ’s position as a low-latency data provider means that the vendor provides the granularity required to support IFS’ services, down to millisecond-level individual order book messages for each venue.
Along with data from Activ, LiquidMetrix also uses trading data provided by clients—typically on a daily basis—to benchmark their performance and generate reports that show, for example, where else a firm could have executed a trade based on the size of the trade and the volume traded on each venue, and market activity immediately before and after a trade. Large institutional fund managers typically use LiquidMetrix for TCA measurements, looking at execution performance across all venues for individual fills to gauge the performance of executing brokers, while retail brokers may use it to prove best execution to clients and regulators, and institutional and agency brokers use it to measure the performance of their algorithms and smart order routers.
Demand for the broader coverage came primarily from existing LiquidMetrix clients with global operations who wanted to run the same performance measurements in markets beyond Europe—mainly in North America—though the move means that IFS can now also target potential new clients in the US, Ford says. In fact, IFS is also already evaluating next steps, and is considering expanding its relationship with Activ to include data from Canadian venues as well, to round out its North American coverage, Ford adds.