Orders, Order book, algo trading, algorithmic, best execution, MiFID, real-time, analysis, analyze
Overview
Reuters Order Book Analyzer is a cross-asset platform to aggregate, consolidate and analyze liquidity in real-time from across fragmented liquidity sources. ROBA (powered by Vhayu) complements Reuters Data Feed Direct fuelling automated trading environments with low latency connectivity to over 30 global venues.
Benefits
A discovery engine
Ultra-low latency
Liquidity views to power your trading applications
Easy and powerful storage
Liquidity discovery in Reuters 3000 Xtra
Features
Support for RDF-D low latency feeds across North American, European and Asian venues
Publishes virtual order books of consolidated liquidity from across multiple venues to RMDS
Aggregates liquidity/orders by price points
Stores order book data for historical reconstruction and backtesting
Can query over one Terabyte of intraday data in seconds
Supports multiple asset classes including equities, fixed income and futures
Combines view of Level 1 best bid/ask combination
Provides multiple views using APIs for C# and Java
