12 Days of Trading – Day 5 of 12: Price Movementadmin
Day 5 of 12: Price Movement as a Measure of Stock Sensitivity
London Stock Exchange Group price movement by trading mechanism and traded value during H2 2019
Price movement after a trade or reversion can be used as a measure of toxicity, aggression, or stock price sensitivity. Today we are returning to our example of LSEG both as a bidder and a target. The metrics we are using relate to price movement in two key trading mechanisms; lit & dark.The bottom chart shows traded value in the stock and helps us to pinpoint the days when the respective news stories broke.
The top chart shows the price movement (absolute change of the mid price within 1ms) for every trade aggregated up as a daily average. This would seem to indicate greater stock sensitivity at times of increased turnover. However, look closer and when comparing lit and dark we see that the summertime Refinitiv announcement resulted in increased dark sensitivity in advance of the lit peak, whereas for the September HKSE approach the peaks are simultaneous.
Lots of lessons here for the wary trader.
Liquidity Cockpit users are able to look at any stock this way and see the venues broken down. Take it from us, they don’t all look the same. Clients using our Execution Analysis/TCA are able to measure execution performance with the demonstrated precision and flexibility.
Do you want to receive future updates directly via email? Use the following form to subscribe.
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.
For existing clients – Log in to the Liquidity Cockpit.
For everyone else – Please use this link to register your interest in the Liquidity Cockpit.