The report is anticipated to be launched in the second quarter of 2011. It will enable both exchanges and trading firms to access TAGâs extensive library of market performance metrics to conduct highly customized market quality evaluations, based on the individual userâs specific need.
In addition to tracking liquidity fragmentation across the Canadian equities markets, TAGâs market quality report will evaluate each market and provide a full set of metrics measuring depth of book liquidity, spread analysis, participation rate and volume size at best bid and offer, price improvement performance, market impact on execution, among other aspects of market.
The launch of TAGâs Canadian Market Quality Report follows a period of swift and significant liquidity fragmentation and the subsequent increased use of automated order routing and execution technology by Canadian exchanges and trading firms.
âThe need to evaluate market performance is a natural progression for any trading community that has undergone the level of increased complexity that the Canadian market has undergone in the last several years,â said Roger Post, Executive Vice President at TAG. âCanada is continuing to following the same pattern weâve seen in the US and European markets, and we anticipate that as liquidity fragmentation continues and market data volumes increase, the demand for both market performance evaluation tools and TCA that measures broker performance will rapidly increase.â