Puddles and pools: how to optimise FX liquidity

Fragmented pricing makes it hard to compare and analyse market-makers, say HSBC quants

Water pools - liquidity.jpg
Liquid assets: it is critical for providers to generate independent sources of alpha for consumers to build a diversified pool

Liquidity pool optimisation is critical for the success of any trading operation. Historically, the main metrics that trading desks would review to assess the quality of their liquidity pool were average spread, depth of book and fill rate.

As foreign exchange liquidity has become increasingly fragmented, mass aggregation has deteriorated the quality of market liquidity due to the mirage created by liquidity providers that replicate the pricing of each other, dubbed non-orthogonal providers. 

Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.

To access these options, along with all other subscription benefits, please contact [email protected] or view our subscription options here: https://subscriptions.fx-markets.com/subscribe

You are currently unable to copy this content. Please contact [email protected] to find out more.

To continue reading...

You need to sign in to use this feature. If you don’t have a FX Markets account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an indvidual account here: