MiFID I opened the door to exchange competition in Europe. Whilst the central limit order books of the exchanges have seen their monopolies challenged, one area has remained the domain of the primary exchanges. However, with increasing focus on closing auctions driven by passive investing and ETFs, it is not surprising to see innovative attempts to provide alternative means to deliver execution at the closing price.
Many exchanges already support a post trade phase (Trading at Last) sweeping up remaining interest once the price has been established. Aquis and Cboe have recently introduced their own twist on the Primary mechanisms.
Today’s chart shows that investors looking for liquidity at the closing price need to be aware of the growth of alternative mechanisms (shown in the inset), and taking the example of Total we see growth overall and in the monthly peaks traded. Later in this series we will examine whether choosing liquidity over price at the close may have some hidden risks.
If you have found these pieces of analysis useful you will find there is a lot more you can do with our Liquidity Cockpit.
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On our 12 Days of Trading
As the year draws to a close we have been asked by clients to repeat our festive exercise on the 12 days leading up to the holidays. As a result, you will find a post to a different 2019 big-xyt observation each day. We look and highlight trends since the introduction of MiFID II with a focus on this year’s changes or events.
We hope you enjoy them.
This content has been created using the Liquidity Cockpit API.
About the Liquidity Cockpit
At big-xyt we take great pride in providing solutions to the complex challenges of data analysis. Navigating in fragmented markets remains a challenge for all participants. We recognise that the investing community needs and expects continued innovation as the volume of data and related complexity continues to increase.
Our Liquidity Cockpit is now recognised as an essential independent tool for exchanges, Sell-side and increasingly Buy-side market participants. Data quality is a key component, as is a robust process for normalisation so that like-for-like comparisons and trends over time have relevance. However, our clients most value a choice of flexible delivery methods which can be via interactive dashboard or direct access to underlying data and analysis through CSV, API or other appropriate mechanism.
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