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Virtu MatchIt

Main Crossing Session Liquidity Profiles

Within the main crossing session of Virtu MatchIt, we categorize each subscriber into one of 5 liquidity profiles, based on one or more quantitative measurements. At our discretion, we may allow subscribers to limit their interaction with orders coming from other subscribers within specific liquidity profiles. The following FAQs describe when and how liquidity profiles work in greater detail. For specifics about your own profile category, you may contact us at matchit@virtu.com or speak with your account manager.
 

How are MatchIt liquidity profiles generated and how does the blocking work?

  • Only Removal flow is categorized (IOC and Day orders removing liquidity).
  • Profiles are updated quarterly but may be reviewed more frequently.
  • Five liquidity profile buckets are created by sorting subscribers by mark-out score.
  • Subscribers that rest order flow in MatchIt can elect to prevent various combinations of the quintiles from interacting with their resting orders.
  • New clients may be placed into a quintile at MatchIt’s discretion.
  • MatchIt reserves the right to move a participant’s liquidity profile bucket intra-quarter

If I want to utilize blocking, how is it implemented?

Blocking can be done on an order-by-order basis using tag 9137 or at the session level. If you would like to use blocking for your add flow at the session level, please email matchit@virtu.com.

Why do I care about liquidity profiles and segmentation?

If you add liquidity, you can block any of the buckets below from interacting with your add flow. If you take liquidity, you will potentially interact with the entire pool (no blocking offered). When removing liquidity, others may block your flow based upon your liquidity profile quintile.

Email matchit@virtu.com to request blocking for your add flow. 

Sample Liquidity Profile: