A global leader in multi-asset trading technology, oneZero, has introduced an approach designed to evaluate last look’s impacts in order to assist with the implementation of recommendations set forth by the GFC’s Working Group on Execution Principles.
oneZero CEO and co-founder Andrew Ralich said: “oneZero plays a critical role in the market as a counterparty-agnostic technology provider. Last look analytics will provide better information that will lead to more informed outcomes for our clients and the whole market. This is especially important at a time when the industry is focused on the development and fair and effective usage of the last look process.”
The analytics presented by oneZero’s Data Source Insights product calculates the estimated economic impact of trade rejection in the last look protocol, enabling clients to better understand how quoted spreads and the impact of last look rejections work together when building pricing models.
The Standard package reports provide an overview of fill times by LP on the basis of source of flow, size, and currency pair so that clients can better determine when and for how long the last look took place. The Advanced package allows clients to compare liquidity providers with different lastlook approaches by taking into account estimated spread impacts of lastlook rejections, in addition to trade acceptance rates, when determining their liquidity needs. OneZero’s role as a neutral platform for aggregation technology and analytics allows clients to adjust their pricing and hedge functions for pre-aggregation in order to increase pricing accuracy.
In addition to evaluating the quality of liquidity providers, the new tool evaluates their execution and pricing. These capabilities, as well as Data Source Insights’ other offerings, allow clients to gain a greater understanding of the liquidity flows being sent to their liquidity providers, understand how the pricing functions at liquidity providers operate, and better organ