3 Ways to Compare Trading Venues

“Data is the new oil” has been the widespread maxim in Capital Markets for the past decade and we’re here to demonstrate why that’s the case. At TickSmith, we’ve recently introduced a Market Insights portal where users can access a suite of analytics including exchange performance metrics.

Here’s a quick explanation of how Nasdaq uses our Market Insights portal to evaluate the performance of their competitors. 

In this post we’ll go over 3 of these effective metrics used by industry leaders to rank and compare the performances of Canadian trading venues all with the click of a button!

#1. Measuring Liquidity Across Exchanges

The “Ranking Model 1 (SIP)” metric here is shown as a log-scaled visual of liquidity rankings between each Canadian trading venue over the past few weeks (XTSE is the market identifier code for the Toronto Stock Exchange, CHIC is Nasdaq CXC, OMGA is Omega ATS, etc.)

Liquidity rankings between each Canadian trading venue

TickSmith’s “Ranking Model 1 (SIP)” calculation complies with the CSA Staff Notice 21-319 Data Fees Methodology. We have extensive documentation on all of our analytics:

“Ranking Model 1 (SIP)”

#2. Determine Which Exchanges Have the Best Quotes

The graph you see below compares performance based on the % of time each exchange has the best quotes. We use a version of the “% of Time at the National Best Bid and Offer” analytic developed by TickSmith in conjunction with university researchers that minimizes the natural skew of results.

Performance based on the % of time each exchange has the best quotes

Essentially, we’ve aggregated all TSX-listed tickers for the month of June and calculated the time each venue sits at the best bid and ask prices. You can see all the data easily through a simple filter on the portal here:

Simple filter

#3. Execute On The Best Prices

Let’s dig deeper and explore how you can extract insights from granular data. As an example, let’s say you’re a trader that wants to know which venue has the best execution prices for a specific ticker (Shopify) on a specific day (June 1, 2020):

Best execution prices for a specific ticker (Shopify) on a specific day

This type of data is available easily via point and click as well! We can effectively compare the percent of time each venue has the most accurate execution prices for specific stocks on any day.

Percent of time each venue has the most accurate execution prices

Free 14 Day Trial

Access to the portal and underlying data back to January 2016 is available for a simple subscription fee. If you would like to use the portal to see if the product is the right fit for your team, click the button below and we’ll be happy to provide you with a demo and a 2-week free trial.

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