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Liquidity Fragmentation & SOR

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Liquidity Fragmentation & SOR Iosif Itkin EXTENT February 2011
Contents ,[object Object],[object Object],[object Object],[object Object],[object Object]
Technology & Regulations ,[object Object]
Technology & Regulations ,[object Object]
FTSE 250 Market Share ,[object Object]
FTSE 250 Market Share (MTFs) ,[object Object]
Fidessa Fragmentation Index ,[object Object]
Fidessa Fragmentation Index ,[object Object],[object Object],[object Object],[object Object],[object Object]
Fidessa Fragmentation Index ,[object Object]
Testing Trading Systems ,[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object]
Smart Order Routers Testing
Testing Principles ,[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object]
Complex Smart Order Router Treat the Test Farm as a Production System
1. Testing Principles Scheduled Tests vs. Test Markets during Business Hours
2. Testing Principles Scheduled Tests vs. Simulation Frameworks are Constantly Running
3. Testing Principles Treat the Test Farm as a Production System
3. Testing Principles Treat the Test Farm as a Production System
4. Testing Principles Reflect the Latest Production Observation in the Test Suites
5. Testing Principles Systems Require Careful Data Maintenance
6. Testing Principles Ensure Precision and Correctness of Latency Measurements
7. Testing Principles Due to Stochastic Behaviour the Same Tests are Repeated Multiple Times
Questions & Answers ,[object Object]

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