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Trading Insights

Missed Opportunities — Liquidity

Improve Fill Rates on Nasdaq

Missed Opportunities — Liquidity helps improve trading behavior on The Nasdaq Stock Market by analyzing if a firm could have received better fill rates by oversizing an order or adjusting its smart order routers. The solution calculates several metrics on a daily basis including missed opportunity quantity and missed opportunity cost, and delivers the results in T+1 and monthly reports to help:


  • Detect orders where larger trades could have been executed;
  • Improve trading performance based on greater visibility into missed order volume; and
  • Get better fill rates by locating enhanced liquidity on The Nasdaq Stock Market.


Missed Opportunity—Liquidity


After a firm sends an order into Nasdaq, Missed Opportunity—Liquidity reviews all subsequent orders within 100 microseconds that are priced less than or equal to the firm’s order. The resulting analysis identifies the total number of shares missed at the order price, within 100 microseconds of the firm’s initial trade. Missed Opportunities - Liquidity is currently one of three components that make up Nasdaq Trading Insights.


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The Approach

  1. Based on MPID’s orders through each port, we identify executed aggressive orders that captured all displayed liquidity for a price level but left other liquidity on the book.
  2. The size of the missed opportunity is based on the depth at the executed price level or better (in the case of Min Quantity restrictions).
  3. We then monitor subsequent orders for that port / MPID and symbol to uncover additional indications of interest and detect executions at inferior prices.

Data Delivery Options

  • SFTP download
  • Files produced Monday to Friday by 6:30 a.m. ET on a T+1 basis
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