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Quantitative Finance · Glossário

O que é Market fragmentation?

Definition 8.1 Microstructure and Execution · Capítulo 8 — Fragmentation and Routing

Market fragmentation is the trading of one security on several venues at once, each with its own order book, rules and participants, so that the liquidity at any price is split among them.

Two views of one market. A trader with direct feeds builds the best prices from each venue’s own data; the consolidated feed receives every venue’s top of book, computes the NBBO and publishes it later. Delays are the simulation’s.
Figure 8.1. Two views of one market. A trader with direct feeds builds the best prices from each venue’s own data; the consolidated feed receives every venue’s top of book, computes the NBBO and publishes it later. Delays are the simulation’s.
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