Mostly… fixed income and cross product eTrading

October 21, 2010

What is an order routing hub for?

Filed under: FIX, Nuts and Bolts — John Greenan @ 7:46 am

Had a meeting with some interesting folks a little while back.

 A pet subject of mine came up, data mining based on real traded data.  Among other thin suggested a couple of things

A fuzzy logic based method to match up IOIs, ATs and real trade reports.  Regress them all against each other with appropriate lags and so on and provide a reporting tool to the buy-side to allow a buy side to assess the quality of the IOI based on historical trends.

 Why?  Well who actually looks at IOIs and thinks that they are real?  Same folks who believe in the tooth fairy?  But – the problem is structural.  The only firms who would have this data for a wide enough sample of buy and sell sides would be the order routing hubs.  And who pays their bills? The sell-side.  And who gets beaten up by this idea?  The sell-side.  Turkeys don’t vote for Christmas.   But it’s be fascinating to see the results of the analysis.

Anyone work for an order routing hub and want to comment?

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