OrangeLFI
To aid participants quantify and monitor best price fragmentation across Europe, Equiduct publishes the Liquidity Fragmentation Index (LFI) as part of the Liquidity Fragmentation Analytics suite.
LFI
The Fidessa FFI calculation measures the post-trade fragmentation. Based on the same calculation method, the LFI calculates in real-time for each stock a pre-trade fragmentation index. Explanation
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Difference between LFI and FFI
The difference between the LFI and the FFI measures the potential for liquidity to move between venues if market participants were using an optimal routing strategy. Explanation
Large difference = market is acting inefficiently
Small difference = market is acting in an efficient manner
All charts on this page will be updated on the first business day of each month.
Disclaimer
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.