It is not news to anyone that trading volumes have simply exploded this month to record levels. We put some eye watering facts and figures on this in a historical context and look at one surprising finding; the distribution of volumes throughout the trading day has hardly changed at all. Do we detect the cool hand of trading algorithms behind this remarkable observation ? We ask some questions as to why this might be, and reflect on how far we have come with electronic trading. Article We mentioned earlier in the week that volume was returning to the lit order books from other types of trading venue – such as the end of day auctions. Just taking trades executed electronically on lit markets, we find that volumes increased from an
The chart today shows the changing market share of European Equity trading venues during 2020.The highlighted line is the focus of the following observations. Last Summer when Swiss non equivalence was announced, overnight competition from MTFs was outlawed and the SIX Swiss exchange saw a 25% increase in share from 8% to 10% of European equity turnover. Without any legislative announcements, something even more dramatic has transpired since the beginning of February. The same venue has just grown its share by a further 50%. At the beginning of February the Swiss market was the fourth largest European venue by turnover with just under 10% market share.
In this article, we look at the difference in price between two major benchmarks, the Previous Close and the Open – the ‘overnight gap’. The equities market is only open for around 8 hours a day 5 days a week, or just under 24% of the time, leaving 16 hours (more at the weekend) for investors to absorb news from around the world and decide what to do next. The market Open can be thought of as a catch up on price formation. By keeping an eye on the volatility of this gap over time, we get a feel for whether the market is stabilising or destabilising and it can be a useful barometer of whether a consensus is forming. At the moment, there is no sign of that happening.
London, Frankfurt 24th March 2020 – big xyt, the independent provider of market data analytics, is pleased to announce Richard Hills has joined their executive team as Head of Client Engagement. Working alongside Mark Montgomery, Head of Strategy and Business Development, Richard’s appointment will accelerate the implementation of big xyt’s 2020 strategic business plans. Based in London, Richard joins big xyt from Société Générale, where he launched and built the equities electronic trading business, going on to become Global Co-Head of Cash Equities Execution encompassing electronic, program trading and high touch execution.
During these unprecedented times we do not underestimate the professional and personal challenges that everyone is facing. There are far more important things to be doing in the community than looking at a screen. However, data and data analytics is playing a critical part in providing solutions to the current global crisis. Furthermore, the markets remain open and whilst they do, the trading community needs to be well informed in order to understand the changing market landscape. As a result, big xyt is receiving an increasing number of requests for observations of changing trends and behaviours in the equity markets. We are excited to have recently expanded our London team to enrich our content and support for clients seeking greater market insights from an independent source. Whilst many adjust to the new experience of working from home we plan to share some of these thoughts, observations and questions in the coming days & weeks.
Having a large international financial institution going live with our API for advanced execution analytics at the beginning of the year was a great way to start. Throughout 2019 we have on-boarded a record number of new clients and have been very pleased to be nominated and more importantly win a number of industry awards in recognition of our reputation for delivering independent analytic solutions. Becoming the de-facto reference for all major European exchanges has been the icing on the cake. What does 2020 hold in store for the business? We already see a growing trend for outsourcing data analytics. By delivering our solutions as a trusted and independent partner we are able to facilitate the business transformation our clients need by allowing them to concentrate on their own proprietary needs.
Frankfurt, London, 27th February 2020 – big xyt, the independent provider of market data analytics, is pleased to announce that Kepler Cheuvreux, a leading independent European financial services firm specialising in research, execution services and advisory services, is implementing their award-winning Execution Analytics including Transaction Cost Analysis (TCA). big xyt takes execution analytics beyond Transaction Cost Analysis (TCA), transforming the traditional view of TCA with data science; applying advanced techniques to increase quality and deliver consolidated data views for its clients. TCA has transitioned away from being a routine compliance solution to being a critical business function. big xyt solutions capture, normalise, collate and store trade data at a granularity that has not previously been available in the market.
As we set forth into a new decade with 20:20 vision, we thought it would be appropriate to share some memories and developments from an award winning year for big-xyt in 2019. Most, if not all of these enhancements germinate from client conversations. We value feedback highly and would encourage you to continue to challenge, encourage and share thoughts with us. Looking back at 2019, we can see many ways in which big-xyt has developed, not just as an independent reference for European Equity market structure but as an external source of unbiased analytics, accessible & integratable through a unique proprietary API. Please let us know if you would like to know more about these service
Well, it’s Christmas Eve folks and what better way to see out the old & see in the new year than to reflect on the changes in the last 12 months. We look forward to introducing new content to help provide 2020 vision next year, so watch this space. In the meantime, the chart today, whilst festive in its intent does show some changing trends throughout the year. As a backdrop to these changes, overall volumes declined 12% during the period and the Swiss non-equivalence influenced that particular market from July. If you have found these pieces of analysis useful, you will find there is a lot more you can do with our Liquidity Cockpit. Clients using our Execution Analysis/TCA are able to measure execution performance with the demonstrated precision and flexibility
The chart today returns to a theme we have covered before but with additional layers uncovered. In the past, we have viewed the movement of the mid point before and after every trade to build up a pattern for each trading mechanism. We have developed this further so that each venue can be singled out whether lit, dark or periodic auction. We have anonymised the venues and excluded blocks and a generic view of Systematic Internalisers from this example. Subscribers to our Liquidity Cockpit API can see this detail in all its glory. Using these new metrics and categorisations is creating new thinking in execution analysis. In addition to comparisons with recognised benchmarks, traders can now see how they compare to a typical profile when they or their brokers route to different venues and market mechanisms.
