12 Days of Trading – Day 5 of 12: Price Movement

12 Days of Trading – Day 5 of 12: Price Movement

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.

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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

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