Liquidity Aggregation

Liquidity aggregation is the process of combining price streams from several liquidity providers into one consolidated book, from which a broker builds the quote its clients see. The aggregator ranks incoming bids and offers, forms a best bid and offer, and routes each order to the venue or bank able to fill it. Aggregation generally tightens the spread and increases the depth available at a given moment compared with relying on a single provider, and it allows orders larger than one provider's quote to be filled in pieces. It also introduces routing decisions that affect rejection rates and slippage, which is why execution policies describe how providers are selected and monitored.