While tracking a recent delivery on the Amazon app, I couldn’t help but notice that Santa was out on the sleigh very close to my street.
The presents have been unwrapped, the Bellini glasses have been drained, the kids have gone back to their rooms and the out-laws are about to arrive. After a relentless pre-Christmas week at work, it’s hard to concentrate on the tasks at hand.
About this time of year, the old family argument kicks off over which colour lights to put on the Christmas tree. At big xyt we believe that pink and purple is the answer.
Here at big xyt, we believe that Christmas is about both the liquid and the illiquid. A mulled wine is nothing without a mince pie, the turkey needs its gravy, and of course the Christmas pudding won’t flame without a drop of brandy.
Lit Continuous market share draining away in Q2. Intra-day trading in the Lit order books for equities has reached a new quarterly record low, as seen in our first graph.
If you are trading €10m per day, one basis point of slippage against any benchmark adds up to €250k in cost per year. One such benchmark is the EBBO, which is the key measure available for evaluating whether you are obtaining the best prevailing market price.
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.
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.
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.
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.
