Fidessa Opens Up Fragmentation Index Data
The vendor currently uses the database to support the Fidessa Fragmentation Index, which calculates the level of market fragmentation for constituents of the leading European market indexes to provide traders with a view of where stocks are trading. The index provides a score for each stock and index, where a score of one denotes that 100 percent of liquidity is on a single venue, and a score of two or more denotes that liquidity is so fragmented that it no longer belongs to the originating
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