4th Story has introduced new tools to give FX brokers and traders valuable insight into their liquidity providers’ pricing.
Dubbed 4S.Rocky Mountain, the tools provide detailed analytics of spreads, depth, relative book position and other metrics and display changes in the quote book history.
Collecting, manipulating and analyzing the vast quantities of data necessary is a non-trivial task. 4th Story’s objective was to offer firms an out of the box option for these key business metrics instead of having to go through a long and expensive internal development cycle.
The tools capture all of the tick data received from LPs and perform analytics at the millisecond level. The reporting side of the product presents the analytics in a series of PDF reports which can include charts, heatmaps/other visualizations and be automatically distributed.
Some of the analytics of LPs and pools include:
• Time spent at different spreads by volume band, time of day/trading session
• Median and spread percentiles by LP, time of day, volume band
• Liquidity depth by volume band, time of day, etc.
• Spread position in aggregated book by volume band (Top of band), time of day, etc.
• Spread changes over time – which LPs are improving and which are not
• Percent of time quoting both sides of the market
• ‘Bad’ ticks (inverted, wild, etc.)
In addition, there is an option for real time spread monitoring and alerts as well as a replay of quote book history. Also of note is that the summary data and analytics can be loaded into a data warehouse if desired.
“Many firms don’t have detailed metrics on the composition and quality of the individual streams provided by their LPs as well as the aggregated pools that are generated from them,” noted Steve Smith, 4th Story’s CEO. “These tools address this.”