Case Study: Liquidnet analyzes 100% of daily executions in minutes with MathWorks (MATLAB)

Liquidnet Develops Execution Performance Measurement Tool

Liquidnet, an alternative trading system for institutional equity traders, needed a way to measure order execution performance at micro time scales. The firm's prior Excel-based, manual process (SQL queries copied into spreadsheets) was slow and error-prone, so Liquidnet turned to MathWorks and its MATLAB platform with companion toolboxes to automate and accelerate analysis.

Using MathWorks' MATLAB, Liquidnet built Execution Analyzer to import Oracle execution and market data, model short‑term price trends, and compute statistically meaningful execution metrics (using Database Toolbox, Curve Fitting Toolbox, and Statistics and Machine Learning Toolbox). The MathWorks-based solution reduced analysis time from hours to minutes, enabled automated evaluation of 100% of daily transactions, and eliminated manual data‑entry errors.

Liquidnet

Shelly Shi

Quantitative Analyst