LFA is a tool for statistical analysis on the quality of trades across European markets. As from May 2009, the LFA service has enhanced its methodology to simulate best allocation of orders: not only the possible traded price on another venue will be considered for the optimal order routing but also the venue trading fees.
Our algorithm compares the real net traded price of all trades with the net prices available on each of the different venues at that precise point in time. It means that for each trade, the analysis includes the trading fees of the execution venue and compares it with the consolidated order book which also includes all the net prices of each order (price + trading fees for each originating venue).
LFA is based on the notion of best possible result, including two criteria: the price (trading prices) and the cost (trading fees). The stock universe covers more than 1150 (since April 2010) of the most liquid European equities, including all major index stocks.
You find more information on the methodology including the criteria to select stock in our LFA Product Information.
Or visit our Instruments Traded page, where you will also find a list of all instruments traded.
We offer subscriptions for different versions of the LFA data:
LFA Charts AVAILABLE ON REQUEST: Sales@equiduct.com
Sign up for the LFA raw data, subject to charge (delivered daily, weekly or monthly).
Optimal Trade Value Allocation per venue to obtain Best Execution
This chart shows how much of the total value traded on a given venue was executed correctly (grey bar) when considering best execution as a result of both price only and net price (price + fees), the value not correctly traded is broken down by trade venue and it is clear that this value increases when taking fees into consideration.
Pan-European Market Share Under Best Execution Routing
Equiduct simulates the theoritical market share of every venue by reallocating every trade on the platform to where it would receive the best execution conditions. The attached chart shows that a significant percentage of pan-European market share would have migrated from the traditional exchanges towards the new MTFs when considering price only and is further displaced when we take trading fees into account with the price.
Proportion of Trades That Missed Best Execution
This LFA chart demonstrates that a significant percentage of trades missed the best price, whether they are executed on an incumbent European exchange, or an MTF. When considering the net price (traded price + trading fees) then the proportion of missed best execution is generally even higher.
The Optimal Order Fragmentation increases as we move closer to Best Execution
The indexes measure the average number of venues (fragmentation) involved for each trade. The FFI is based on observed trades and the LFI on a theoretical pre-trade basis. The LFI shows that there should be a greater level of fragmentation to attain the best price, and even higher when considering the best net price.
All charts on this page will be updated on the first business day of each month.
The fragmentation data is based on internal calculations by Equiduct. These internal calculations are based on real-time market data information published by the execution venues mentioned and monitored by Equiduct. Equiduct uses industry standard methods for importing the data and calculating the fragmentation statistics and as such believes that this data is reliable. However, Equiduct cannot guarantee the complete accuracy of such data.