Data – trueMIDS

LiquidityWell Ltd (LW) has created pricing and execution software for the financial markets. LiquidityWell can produce universal implied prices using its fast, proprietary Matching Engine and complex mathematics.

For any listed exchange quoted product LW can create, for Data and for Execution: prices where there are none, better prices where there are some already, and an accurate calculation of a market mid-price (trueMid)

Markets within which we can provide this improved liquidity, include, but are not limited to Short Term Interest Rate Markets (STIRS), Energies, Precious Metals, Agricultural products.

Implication applies to any instrument with a term structure, on or off-exchange, such as FX, Energies, Commodities, Agricultural Markets, and STIRS (across outright, spreads, butterflies, double butterflies, and condors). Equally adapted to OTC fixed-income trading.

LW trueMid Theoretical Curve: LW has created a mid-curve for derivatives products using all the executable unseen implied prices across all the strategies (spreads, butterflies, double butterflies, condors) to plot a curve.

The result is a view of the market which can be used to highlight areas of the curve that are misaligned and likely to trade. These trueMids are superior to standard VWAP mid-prices. VWAP can, and are often, manipulated and they are generated only by the prices in that one instrument. Our trueMids are supported by all strategies that feed into that instrument – hence more information is used to calculate and reinforce each trueMid.

These trueMids, being reinforced by all the strategies and orders across the entire market, are more persistent and more accurate than the individual instrument mid-prices that are often manipulated and volatile.

LW provides the ability to build better curves and more accurately measure risk – of significant interest to Risk Managers, Compliance, Best Execution, and Market Makers.

Gasoil PnL Profile  – Client Case Study