Trading Dashboard - LPs Tab
The LP tab in the trading dashboard provides various analytics around LP pricing performance. Choosing an Instrument Selector allows you to compare how each of your LPs stack up against each other per instrument, enabling you to make better informed decisions on the utilisation of available liquidity, for example for use in pricing, continuity or externalising flow (via STP and hedging).
Read more on how to assess and manage your LPs here:
LP Analytics Charts
- Arb counts - how often and in which instrument is an LP arbitrageable. If someone is always arbitrageable and they are incorporated in aggregation, you may be slowing your rate formation down. The other side of the coin is that this may indicate an opportunity for prop strategies and provide another resolution of visualising during the trading week, on when they may appear.
- Price Variation - the average change in price in $/M terms from an LP. The higher the $/M, the higher the variation. High variation can indicate an LP is flappy and unnecessarily moving the price too often, this can increase the risk of hitting client SL/TP/SO limits and so you may want to exclude from rate formation.
- Price Opinion - how far in $/M terms is an LP from its peers? Are some LPs more opinionated than others? Opinions are good: where they are right, it's good to listen to; where they are wrong, they can be good sources for risk clearance.
- Price Laggard Count - which LP is closest to where the price was 500ms ago i.e. who is slowing your rate formation down. Should they really be used in aggregation at all? Should you be doing aggregation in the first place?
- Tick Count - how high are the tick counts for each LP? A high tick count can be good for predicitvity if an LP is posting up-to-date prices, however too high could indicate the LP is too chatty and result in using up all your bandwidth. A low tick count may result in latency and low predictivity as the LP isn't updating their rates fast enough. Predictivity engineering will want to produce the most informational price feed given the network bandwidth constraints. Clogged networks/switches/buffers and queues can cause your price to be latent down stream.
- LP Price Downtime - how many ms, seconds, minutes, hours etc each LP has spent not publishing a price in the period viewed. Some LPs may be predictive but have a proportionally high downtime, whereas others may lack predictivity but have a low downtime score, these LPs can be used in different parts of the system. Where LPs with high downtime are used in conjunction with other price sources, they can be a good source of information for your price feed. LPs with higher availability can be used as failovers where the primary LPs are down. Read more about utilising the downtime measures in Continuity Pool.
- Price TOB Spread - what is the $/M charged to execute via each LP at the 50th and 98th quantile? Does a single venue have the best spreads across all instruments? Can that LP be used for cheap risk clearance?
- Price Large Spread - The top of book spread may be nice, but sometimes the quantities displayed in these numbers mean that almost any meaningfully sized order has to consume liquidity from lower down in the stack.
- Price Depth - How much depth each LP is showing at 50th and 98th quantiles. Who is showing you depth is important, particularly changes to that period on period and through differing market states.
- Fill Ratio - order fill ratio rebased every X mins.
Also see
Back to Trading Dashboard - Overview | Compass Contents