Platometrics Highlights Addressable Liquidity
Platometrics, a quality metrics tool has been launched for European equity markets, as European regulators said MiFID II has failed to lower the cost of market data in the region.
The new service has been created by Plato Partnership, the not-for-profit company working to improve the European equities marketplace, and BMLL Technologies, the data engineering and analytics firm. Platometrics provides an aggregated picture of trading data from all European venues. The data is free of charge on a transaction date plus one day basis (i.e. up to the end of the prior trading day) with up to six months of historical data.
Johannes Sulzberger, chief executive of BMLL, told Market Media: “We have been talking to Plato for a while as they wanted to solve a problem for the community and shed light on the complexity of European market microstructure. It is very complicated to get answers to simple questions as there are 13 exchanges, in addition to multilateral trading facilities and systematic internalisers.”
Delighted to launch Platometrics with @bmlltech. Platometrics provides market participants with a complete picture of trading data and trends from European venues, entirely free of charge
— Plato Partnership (@PlatoMarkets) December 3, 2019
Mike Bellaro, chief executive of Plato Partnership, said in a statement: ”Whilst trading data from different venues is available, it is disparate and spread across multiple platforms for different exchanges and regions. Platometrics offers the first viable solution to this market-wide challenge, and we are delighted to be able to offer this tool to all participants, free of charge.”
Sulzberger continued that Platometrics includes data on consolidated liquidity, the European best bid offer and allows investors to compare quality metrics across venues. The metrics cover European equities and equity like instruments, including shares, exchange-traded funds, depository receipts and certificates. Users can view the aggregated data or drill down to explore multiple metrics by market, venue or specific security.
“Our new intellectual property is providing classifications of liquidity and showing what is addressable,” added Sulzberger.
BMLL has constructed four liquidity buckets in consultation with the Plato working groups:
– lit addressable with transparency on a pre-trade and post-trade basis;
– grey addressable with post-trade transparency only;
-bilateral addressable from SIs;
– and non-addressable, which consists of technical trades and post market-close trade reports.
Platometrics is a unique dashboard that answers 3 questions: Where is the true liquidity? What is the best price across every venue I trade? How is the market quality on each venue changing the way I trade? Elliot Banks explains https://t.co/6pNKlMGXUQ @PlatoMarkets
— BMLL Technologies (@bmlltech) December 16, 2019
“We hope the Platometrics classifications take hold as the buy side finds this gives them superior information to create their own insights and strategies,” said Sulzberger. “It is a showcase for BMLL’s capabilities and is an extremely important stepping stone for showing how derived data works, how the industry benefits and how it can solve client problems.”
He told Market Media in September that BMLL provides access to Level 3 data, which displays all individual messages in the limit order book at each venue. The firm’s derived data capability can typically process hundreds of billion messages in a matter of hours rather than days. BMLL normalises and compresses all messages from the full order book so the data can then be easily analysed by clients.
The European Securities and Markets Authority said this month that MiFID II, the regulation which went live at the start of last year, has not met its objective of reducing the cost of market data for users. The regulator also recommended the establishment of a real-time consolidated tape for equity instruments across the region.
📣ESMA recommends real-time consolidated tape for equity
— ESMA (@ESMAComms) December 5, 2019
Bellaro said in an email that elements of Platometrics align with Esma’s proposal in their consultation on cost of market data and consolidated tape but there are some notable differences.
“Platometrics is broader than an equities consolidated tape in that it provides 13 market quality metrics, allowing users to perform performance comparisons between different trading venues on a T+1 and an historical basis, while an ECT would only cover two metrics – price and volume – and would be more focused on real-time trading decisions,” added Bellaro.
Rebecca Healey, co-chair EMEA regional committee and EMEA regulatory subcommittee at FIX Trading Community and head of EMEA market structure and strategy at Liquidnet, told Markets Media earlier this month that there will be operational challenges in establishing a consolidated tape, but the first step is to ensure FIX MMT typology is used in a standardised manner in equities by market participants.
She said: “There has been progress and we are 90% there.”
The MMT (Market Model Typology) initiative is a collaborative effort established by the broad range of industry participants in FIX to develop consistent standards for post-trade data across all asset classes subject to the MiFID II regulations.
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