The Fidessa Fragmentation Index (FFI) is a measure of the fragmentation of a particular stock or share index that is traded on multiple order driven markets. It is defined as the inverse of the sum of the squares of the market shares of each individual trading venue: ie the inverse of (the average market share, weighted by market share). [...more]
The Fidessa Fragmentation Index (FFI) is a measure of the fragmentation of a particular stock or share index that is traded on multiple order driven markets. It is defined as the inverse of the sum of the squares of the market shares of each individual trading venue: ie the inverse of (the average market share, weighted by market share). [...more]
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Fidessa Fragmentation Index (FFI)