European Equities Market Microstructure Survey 2022

Welcome to our annual survey of European trading volumes and market fragmentation at the end of yet another highly eventful year of trading. We aim to provide a brief overview of the key trends and patterns in the market microstructure in 2022 by comparison with the previous five years. The survey is based on a vast amount of data. Since the beginning of the new MiFID2 regime in Europe, we have collected over 2.5 trillion data points from the European equity markets. Back in Q1 2020 it felt like we were watching a truly exceptional event but despite lower volatility, the markets managed to deliver something even more unpredictable. Please have a read of our latest European market microstructure and let us know your thoughts or ideas for any further investigations.

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12 Days of Trading 2022 Day 11: Those elves are an odd lot

​​​​Tolkien had them as tall, fast runners and excellent archers. The Grimm brothers portrayed them as short but benevolent shoemakers, and the Christmas tradition as hard working folk, who with the reindeer, form a magical team of the Fast and the Fairy-ous.

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12 Days of Trading 2022 Day 9: Does Santa have a personalised number plate?

​​Very few people have actually seen Santa’s sleigh but there are unverified reports that it is a highly customised vintage Porsche.  At big xyt we are betting that the number plate must be FC 1 (second favourite is DA 05 HER), carefully adapted to avoid those pesky but ever-present speed cameras. 

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12 Days of Trading 2022 Day 7: Hold on for deer life

​​To finish off the week, the 12 Days of Trading 2022 continues its longitudinal leaping, this time southwards across the Alps from Prague to Bergamo, famous for its Elfredo pasta.  Today’s festive topic is deer to our hearts; latency. Given the proposed changes mentioned this week, we take a look at how DVC and SI activity has changed over time, which may help us anticipate what to expect next. But hold on, it just occurred to us that this actually has a lot in common with a practice in equity markets. Managing index constituents during a rebalance with a target benchmark of the Closing Price. 

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12 Days of Trading 2022 Day 4: Using good data can avoid disappointment

At this time of year, we work hard to ensure that we don’t disappoint our friends and relatives on the big day.  We order the food and drink well in advance, we carefully choose the gifts, and we stock up on spare batteries for the remote control.  It’s all about avoiding disappointment by creating certainty.

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12 Days of Trading 2022 Day 1: What’s the Grinch up to Down Under?

As we gently ease into the festive season, the big xyt team is pleased to bring you Season 5 of the ‘The 12 Days of Trading’, a light-hearted look at some of the highlights of the trading year and its curiosities. This year, just like Santa, we begin our quest in the antipodes with a quick look at fragmentation in the region.

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European Equities Market Microstructure Survey Q1 2022

Trading turnover in European equities posted a new MiFID II era record in Q1, 34% higher than the four year average, as investors reacted to the cocktail of inflationary fears and war. Back in Q1 2020 it felt like we were watching a truly exceptional event but despite lower volatility, the markets managed to deliver something even more unpredictable. Please have a read of our latest European market microstructure and let us know your thoughts or ideas for any further investigations.

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European Equities Market Microstructure Survey Q4 2021

2021 has ended and all that remains are the tea leaves at the bottom of the cup. In our latest annual survey of market volumes and fragmentation trends in European equities, we gaze at the patterns to see how the story unfolded and what we can learn about the year ahead. Another turbulent year for equities globally played out in the daily ebb and flow of over 250 billion quotes, orders and trades, presented to you here in a short pictorial summary.

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12 Days of Trading 2021 Day 9: Buon Natale

Whilst the Italians enjoy a good hearty feast on Christmas Day, traditionally they give and receive gifts on January 6th – the 12th Day of Christmas. There was a big Italian gift in the spring of this year too when ownership of Borsa Italiana was transferred (for a small fee) by LSEG to Euronext. Given this change and the implications of Brexit for European exchanges and venues, it occurred to us that it might be interesting to take a look at the Italian market to see if things have settled back to (the new) normal.

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12 Days of Trading 2021 Day 8: Father Christmas… How does he do it?

At this time of year the discussion often turns to how Father Christmas is able to get around so many households in just one night. For sure, the sleigh is fitted with the latest technology such as smart routers and machine learning algorithms to plot the optimal course between well behaved children. But the evidence is building that in his day job the big man may be a high frequency trader. The time it takes to get between Madrid and London at light speed is around four milliseconds. Of course, that’s the physical limit and there are plenty of items that cause friction such as chimneys and church steeples, or if you are a high frequency trader, firewalls and trading controls. The parallels are obvious.

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