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Instinet Incorporated, a global leader in electronic trading and agency-only brokerage services, today announced that Intelligent Financial Systems Limited’s (IFS) independent evaluation of Instinet Europe Limited’s SmartRouter found that by value traded, its ability to identify and achieve the best possible displayed price was within 99.9997 percent of perfection for its March 2011 UK equities trades. IFS also found that the technology, which accesses both dark and lit liquidity, provided an average of 1.12 bps in overall price improvement* and an effective spread reduction of 10 percent.
Commenting on the findings, Richard Balarkas, CEO of Instinet Europe, said:
“As a result of the fragmentation that has occurred in the European equity markets following MiFID’s introduction, we have focused on measuring the execution performance of our SmartRouter, which is core to our ability to capture the best available price and liquidity opportunities for our clients. As part of this effort, and reflecting the complexity of markets in which the price of a single stock may change more than 1,000 times a second across multiple lit and dark venues, we believed it was important to use IFS, a leading consolidator of accurate tick data, to perform the independent evaluation. While we are delighted that IFS concluded that by value traded Instinet’s ability to identify and achieve the best possible price was within 99.9997 percent o f perfection, rest assured that we’re working on the other 0.0003 percent!”
IFS’ LiquidMetrix WorkStation product suite, which was used to monitor Instinet Europe’s performance, provides access to a multi-terabyte, consolidated, full-depth (Level 2) order book history covering instruments traded in Europe on Primary Exchanges, MTFs or off book. With the LiquidMetrix WorkStation, Instinet Europe was able to analyse the performance of its trade flow on individual and multiple trading venues with millisecond precision, a standard far in excess of that normally expected by regulators. The actual and potential price improvement for each executed trade using “depth weighted” and “touch” reference prices were measured. The analysis can also be performed across the entire trade set or filtered by attributes including client, counter party, trading desk, order size and trading strategy.
Sabine Toulson, Managing Director of IFS, commented: “We are pleased that we were able to help Instinet Europe analyse its millions of monthly trades using the LiquidMetrix WorkStation. Our service allows the most technically advanced brokers such as Instinet to assess their performance in today’s fragmented and fast moving equity markets.”
* Price improvement is defined as the difference between the Instinet execution price and the best quoted price at the time of execution.
