TAG, the provider of independent execution quality and transaction cost analysis metrics, is developing a "comprehensive" market quality assessment report for the Canadian equities markets.
The report should be launched in the second quarter of 2011. It will enable both exchanges and trading firms to access TAG's library of market performance metrics to conduct customized market quality evaluations, based on the individual user's specific need.
In addition to tracking liquidity fragmentation across the Canadian equities markets, TAG's market quality report will evaluate each market and provide 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 TAG's 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.
"The 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," says Roger Post, executive vice president at TAG.
Post adds: "Canada is continuing to following the same pattern we've 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."