Fragmentation Index - Congratulations Fidessa

With the introduction of MIFID fragmenting liquidity was inevitable. Keeping a meaningful eye on it in a usable manner however is and will continue to be a challenge.

Congratulations to Fidessa for making a start with a reasonable quality fragmentation index.

I expect this will be the first of many such services. I predict over time we will also see - 

- more competitors

- divergence of offerings - transparent vs proprietary undisclosed index formulas

- improved timeliness - intraday?

- index aggregation (index on index :-)

- improved accessibility to the index via FIX or similar so trading engines can use the information more dynamically.

All of these are relatively obvious stuff, the real issue will be who is well placed to deliver them and if regulation creeps in since it will inevitability become another mechanism for influencing liquidity too.

I doubt we will see derivatives on this sort of index, it is hard to imagine any practical applications but index trends would be of interest for the analysts covering the trading venues.

Well done Fidessa for making a start in this potentially important area.