BestX Fixed Income Volume Model

Trading volume is an important indication of market activity. In the equity world, traders use daily, weekly or monthly average volume to estimate relative volume executed. The average daily volume (ADV) calculation is straightforward; however, it does rely on access to volume data - may it be directly from exchanges, venues or market data vendors. In the fixed income space, trading data may not be readily available and this poses a challenge to estimate volume and as a result ADV is less frequently used. To help tackle this problem, BestX introduces a model to help estimate fixed income volume. Users may use this model to calculate the probability to complete an order for a fixed income instrument within a 1-day period or estimate volume distribution for a fixed income instrument over the course of an entire trading interval.

Please email contact@bestx.co.uk if you are a BestX client and would like to receive a copy of the paper, which is also hosted within our FAQ section of the UI.