oneZero has announced a data-driven approach to evaluate the impact of last look that aids the implementation of the recommendations set out in last month’s Global Foreign Exchange Committee: Execution Principles Working Group Report on Last Look. The analytics, which are available in oneZero’s Data Source Insights product, calculate the estimated economic impact of trades rejected in a last look protocol so clients are able to better understand the relationship between the type of flow they send to LPs, quoted spreads and the impact of last look rejections when constructing their pricing and hedging functions.
The Standard package reports showcase fill times by LP on a source of flow, size and/or currency pair basis to help clients more clearly visualize when and for how long the last look may be taking place. The Advanced package enables clients to compare LPs with different last look approaches by taking into account estimates of the impact of the last look rejection on spreads, in addition to trade acceptance rates, when making their liquidity choices. Clients can further leverage oneZero’s position as a neutral provider of both aggregation technology and analytics, by adding a pre-aggregation adjustment to reflect the impact of last look into the construction of their pricing and hedging functions.
Furthermore, the new tool showcases the performance of liquidity providers who are supplying both high quality pricing and executions. These capabilities, along with other Data Source Insights offerings, empower greater understanding of the type of flow clients are sending to their liquidity providers, greater discernment of possible rationale behind liquidity provider pricing functions, and the ability to gain insights about how to better organize their liquidity supply chain relationships.
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.”