Aleri launches market liquidity analysis engine

Source: Aleri

Aleri, the leading provider of enterprise-class complex event processing (CEP) technology, today announced the launch of its new Market Liquidity Analysis (MLA) engine.

MLA engine implemented on Aleri's CEP technology for low-latency processing, unlimited scalability, and simple customization

The new MLA engine provides traders and brokers with the ability to consolidate order books across multiple exchanges in real-time to create a single virtual order book that represents the liquidity of the visible market. MLA's high level authoring tools allow easy implementation of custom analytics to derive continuous real-time insight into market liquidity as well as to automate tasks such as order placement.

Aleri is launching this product in direct response to the increasing demand for tools that can analyze full market depth. This is being driven in part by RegNMS in the US where the new order protection rule is changing the way firms place their orders and by MiFID in Europe which removes the barriers to competition among exchanges.

"There is clearly a need for tools like Aleri's new Market Liquidity Analysis server to help firms analyze market depth in a fragmented market. Aleri's out-of-the-box support for full market depth via Reuters RMDS and RDFD servers makes this an attractive product for firms that want to move quickly to enhance their market depth analysis capabilities," said Mike Powell, VP Datafeeds, Reuters.

The Aleri MLA engine provides a powerful tool for trading in fragmented markets by consolidating multiple order book feeds from individual exchanges, ATSs and MTFs, to create a virtual market book. This allows for analyzing liquidity across the full market, not just a single exchange.

MLA maintains the virtual book at multiple levels of aggregation showing both individual markets by price and full market depth at price. The configuration can be customized to:
  • apply venue filters controlling which venues contribute to a book
  • apply currency normalization when combining books in different currencies
  • apply venue-specific price offsets to normalize for trading costs and other factors

"With the fragmentation of liquidity pools, we saw a clear need for a better approach to consolidating and analyzing market liquidity," said Don DeLoach, CEO of Aleri. "While there are tools out there for viewing a consolidated order book, there haven't been any good tools for analyzing a consolidated market. We believe this puts significant power into the hands of brokers and traders who are looking to optimize results across competing exchanges."

Aleri's MLA server is now available for demonstration and will be available for installation next month.

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