Crossing Liquidity Access

objective

Access crossing liquidity efficiently while controlling leakage and opportunity cost.

workflow

1. define crossing venue eligibility and order suitability rules.
2. estimate midpoint fill probability and expected waiting cost.
3. allocate flow between crossing and lit venues by expected value.
4. stress crossing access under fragmented and toxic conditions.
5. deploy only when crossing contribution is net positive and stable.

required diagnostics

• midpoint fill quality versus lit alternatives.
• crossing wait-time and missed-opportunity cost.
• leakage proxy behavior around crossing attempts.
• venue-level toxicity and reject-rate trends.
• net execution improvement by order class.