Composite Liquidity Aggregation
Liquidity aggregation is what makes NDD spreads competitive. Instead of relying on a single LP's pricing, the aggregation engine combines quotes from multiple sources. The result is a composite stream where the client always sees the best available bid and the best available offer across all LPs.
Step-by-Step Breakdown
LP A Stream
Bank A sends continuous quotes via FIX: Bid 1.1048 / Ask 1.1051, depth 5M at each level.
LP B Stream
Non-bank market maker B sends: Bid 1.1049 / Ask 1.1051, depth 3M. Better bid, same ask.
LP C Stream
ECN C sends: Bid 1.1048 / Ask 1.1050, depth 2M. Worse bid, but best ask.
Normalization
Aggregation engine normalizes all quotes to a common format, adjusting for timestamp freshness and removing stale prices.
Composite Book
Best bid: 1.1049 (from LP B). Best ask: 1.1050 (from LP C). Composite spread: 1 pip. No single LP offered this spread alone.
Client View
The client sees the composite spread of 1 pip. Orders are routed to whichever LP owns the best price at the moment of execution.
Key Insight
The composite spread is almost always tighter than any individual LP's spread. This is the fundamental advantage of multi-LP aggregation: competition between providers benefits the end client through better pricing. The more diverse and high-quality the LP pool, the tighter the composite.