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Fixed Income Trading Analytics

Fixed Income Trading Analytics

Increase transparency and help modernize your fixed income order flow

Technology enhancements are facilitating the electronification of fixed income markets. And with increased electronification, new practices are emerging—an increase in electronic trading, the automation of trading workflows, an introduction of new trading protocols, and increase in the number of firms engaging in portfolio and ETF trading—just to name a few.

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Trading Analytics

Learn how ICE trading analytics can help across your entire fixed income workflow.

To help support the evolution of the fixed income market structure, ICE provides more timely fixed income data related to pricing, liquidity, execution quality, transaction cost analysis, market depth and market sentiment. Insightful, high-quality fixed income evaluated pricing and trading analytics data can be critical components to help inform fixed income trade execution.

ICE offers a comprehensive suite of fixed income trading analytics.

Data: Transparency & Aggregation

Analytic Use-Cases

Develop or enhance low-touch trading

  • Algorithmic automated trading
  • Automate RFQ request & response

Improve overall high-touch trading

  • Increase electronic trade flow
  • Higher quality, more informed trade decisions
  • Reduce information leakage
  • Attribute trading

Expand fixed income trading protocols

  • Portfolio trading
  • RFQ
  • Create / redeem
  • Central Limit Order Book
  • Crossing

Broker selection & ranking by

  • Asset class
  • Sector
  • Tenor
  • Instrument

The suite of content solutions

Support intra-day workflows with our innovative, rules-based pricing applications. Overseen by a team of evaluators, our fixed income evaluations systematically capture and incorporate market information and are designed to be responsive to market conditions.
We define liquidity as “the ability to exit a position at or near the current value.” For fixed income securities, ICE developed quantitative and heuristic models to solve for this definition -- whether we are measuring liquidity for instruments that have generally experienced infrequent trading or for instruments that have an abundance of observable trading activity.
Transaction Cost Analysis
The Transaction Cost Analysis (TCA) model was created based on observing the relationship between BestEx Scores and the ICE Liquidity Indicators™ scores. The regression model runs using a rolling, timeweighted lookback during the trading day, to establish near-term market trend sensitivity while accumulating a reasonable amount of trade data to produce statistically viable results.
Continuous Market Depth Indicators
Continuous Market Depth Indicators provide perspective on the number of sources quoting a security as well as the number of trades executed on the security.
Market Sentiment Service
For even greater clarity on how fixed income markets are trending, our Market Sentiment Service can help provide perspective on the direction in which the market is trending.

Best Execution Service

An approach for measuring bond trade execution quality, our Best Execution (Best Ex) Service utilizes our Continuous Evaluated Pricing to help users monitor trading activities, meet regulatory compliance requirements, and measure more closely the trading effectiveness across a growing number of venues and protocols.

Our Best Execution Service generates Best Ex Scores, which rank the execution quality of a trade versus other comparable trades within a selected universe.

Best Ex currently covers more than 2.8mm fixed income securities, including TRACE and MSRB eligible securities as well as fixed income asset classes where trade details are not publicly disseminated.

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