ProcessIntermediate
Liquidity Aggregation
The process of pooling quotes and depth from multiple liquidity providers to create a more competitive and resilient pricing environment.
Last updated: February 1, 2026
1
The broker establishes connections to multiple liquidity providers via FIX protocol.
2
Each LP streams continuous price quotes and depth information.
3
The aggregation engine normalizes quotes from different LPs into a unified format.
4
Best bid and best ask across all LPs are identified in real time.
5
The resulting aggregated stream is used for price display and order execution.
6
The engine continuously monitors LP quality, adjusting weights based on fill quality and reliability.