Liquidity Optimiser

In order to maintain a fair balance between buy-side and sell-side participants, Digital Vega has continued to maintain a maximum of 5 Liquidity Providers per individual RFQ. However as Digital Vega’s Liquidity Provider list has expanded to 21, it may be difficult for users on busy execution desks to constantly monitor granular provider performance at a currency pair level and then make adjustments to their provider panels. Digital Vega data analysis demonstrates that provider pricing consistency can progressively deteriorate or improve over time; changes which are not easily identified without automated tools.

Working closely with key clients to optimise pricing and best execution analysis, Digital Vega developed Liquidity Optimiser which is a fully automated “algo wheel” that continuously monitors pricing quality down to individual currency pair level based on configurable criteria, and adjusts the relevant provider panel automatically.

Once Liquidity Optimiser is activated, an initial monitoring period reviews the data in the pricing panels.  It then substitutes the lowest ranking liquidity providers using a configurable substitution metric. Our proprietary methodology ensures that providers that are consistently delivering competitive pricing are retained within the panel. Users can manually override the Optimiser at any time. Liquidity Optimiser has demonstrated tangible benefits in terms of cost saving and analytics for clients using the solution.