VBBO (Volume weighted Best Bid and Offer)

Pan European Best Price  

Equiduct consolidates Level 2 liquidity from the lit order books of Europe's major trading platforms (Exchanges and MTFs) and calculates a real time best price indicator called VBBO (Volume-weighted Best Bid and Offer). 

The VBBO represents the price you would achieve via partial executions on multiple venues and assuming optimum performance of aggressive Smart Order Router. 

The VBBO is therefore always better or equal than the Home Market Average price for any order size. 

Traded Price on Equiduct PartnerEx

For each execution on PartnerEx, Equiduct calculates and trades at the Volume Weighted Average Price for the executable volume against the pan European consolidated order book, i.e. the VBBO for the number of shares to be traded. 

The VBBO is dristributed through vendors or directly for 2 orders sizes and used for pre-trade transparency:

• Retail Market Size (~7,500€)  
• Standard Market Size (as defined by ESMA, always greater or equal to 7,500€)  

Market Data

VBBO is available for two price points from market data vendors such as Bloomberg (stock symbol with suffix "BQ") or Thomson Reuters (stock symbol with suffix ".EDv"), from ISVs such as Sungard or Fidessa and direct from Equiduct Systems through a market data server Fix 4.4.

The VBBO is also available through our Liquidity Viewer.

For a demonstration of VBBO on the Liquidity Viewer, please contact sales@equiduct.com.

VBBO inclusion criteria

The VBBO covers the most liquid stocks traded in Europe including all major index stocks. For an overview of the inclusion criteria and list of instruments traded, please visit the Instruments Traded page.