On the back of the announcement of our partnership with ETFbook yesterday, we’re pleased to provide investors with our first weekly summary report of transparency in European ETPs, by consolidating all issued products and their liquidity across the fragmented landscape. These updates are for product issuers to monitor the evolving European ETP landscape, for market makers to gain an insight into primary and secondary market liquidity, and for buy-side investors to see new investment opportunities.
Partnership will consolidate all issued products and their liquidity across the fragmented landscape 09 November, 2021: London / Zurich – big xyt, the independent provider of smart data and analytics solutions to the global trading and investment community, is pleased to announce its partnership with ETFbook, a leading ETF information and analytics platform, to provide daily fund data for their Liquidity Cockpit for ETFs solution.
The summer saw increased nervousness in the European markets in reaction to a fragile recovery from the pandemic and concerns about the spectre of inflation. However, trading in equities remained quite buoyant, especially in September, and Q3 volumes returned to their seasonal, pre-pandemic average, in contrast to last summer’s record breaking doldrums. Welcome to our latest quarterly survey of market volumes and fragmentation trends in European equities. If you are unfamiliar with the topic, we encourage you to visit our website to read our Microbites series for an explanation of European market microstructure.
Appointment of Gilles Meyruey increases big xyt footprint in the region 23 September, 2021: Paris, London: big xyt, the independent provider of smart data and analytics solutions to the global trading and investment community, is pleased to announce Gilles Meyruey has joined their executive team as Head of Business Development (Continental Europe). Gilles’ 35-year career in Europe covers senior positions in equities, derivatives, and bonds trading, execution services management and client management for leading firms including Société Générale Corporate and Investment Banking (SGCIB), Dexia Securities France, Exane and Deutsche Bank.
Successful implementation provides exchange with independent data analytics to further enhance market quality and performance reporting 15th September, 2021: London: big xyt, the independent provider of smart data and analytics solutions to the global trading and investment community, is pleased to announce that Equiduct, the pan-European equities and ETFs exchange, has implemented big xyt’s Liquidity Cockpit to gain new insights into the pan-European liquidity landscape and the quality of execution achieved via Equiduct’s Apex service.
Do some traders have an advantage over others… and does it matter? How fast are equity markets? Or how much of the market operates at high speed? big xyt took an electron microscope to our normalised market data to find out. We analysed UK lit markets to measure the time between a trade and the last relevant orderbook change. The FCA established 500μs as a speed benchmark in their latency races paper. This is 200x faster than the 1/10 of a second after the gun in which a sprinter can false start.
There is a difference between what people say and what they do. Companies are realising the importance of actions speaking louder than words and are beginning to focus on changing behaviours not just the “Values” statement on their website. Investments are no different as can be seen in our analysis today. Investment in companies with strong Environmental, Social and Governance (ESG) mandates are already being grouped together by ETF issuers to facilitate easier investment in ready-made portfolios of socially responsible companies.
Welcome to our latest quarterly survey of market volumes and fragmentation trends in European equities. If you are unfamiliar with the topic, we encourage you to visit our website to read our Microbites series for an explanation of European market microstructure. With the major European indexes enjoying substantial price gains in H1 2021, we might have expected a similar boost in market volume. However the quarter just finished was the weakest Q2 in over four years. In this edition of the survey we have added a view of the ETF market, which by contrast has grown in volume terms by 6.5% versus 2020, albeit on a cross-asset basis.
As a trailer for our forthcoming Q2 2021 survey of European equity market microstructure, we thought you might like a sneak peek at what’s been happening to fragmentation. Following Brexit and the divergence of dark trading rules, we have been monitoring the trend in the UK. The graph below shows the UK250 index where on-order book ‘lit continuous’ trading has reached a 5-year low in terms of the daily market share traded in June at just 28.5%, while auction market share is a whisker under the previous record high in December at 22.7%. Meanwhile, dark trading has risen to over 12% from 9% prior to October 2020.
We have just launched the Market Microstructure in Practice for Equities with big xyt’s API interactive presentation on the big xyt Academy. If you are a quantitative analyst or developer, trader, portfolio manager, or anyone interested in market microstructure for sales and marketing, this could be of interest to you. Explore big xyt’s powerful and flexible API to see how convenient and reliable it is for conducting research and analysing market microstructure, as well as assessing trading performance and algos.
