Understanding liquidity shifts triggered by double volume caps
London, Frankfurt, 20th September 2018. big xyt, the independent provider of high-volume, smart data and analytics capabilities, is delighted to announce a key enhancement to the Liquidity Cockpit to include a Double Volume Cap (DVC) dashboard, allowing clients to understand where volume migrates when the DVCs change.
The big xyt Liquidity Cockpit is widely recognised as an essential independent data analytics tool for exchanges, sell-side and increasingly buy-side market participants, provided via interactive dashboards and direct access to the underlying data and analysis. Data quality is a key component, as is a robust process for normalisation so that like-for-like comparisons and trends over time have relevance.
Further to recent market discussions about the impact of DVCs on liquidity and where it migrates, big xyt have taken onboard comments, observations and suggestions from a number of clients and other industry experts.
This new dashboard has been created to respond to The European Security and Markets Authority (ESMA) updates to DVC calculations under the Markets in Financial Instruments Directive (MiFID II). The latest ESMA announcement delivers updates to data and calculations for the period of 1st August 2017 to 31st July 2018 as well as lifting suspensions for many stocks, such as for many UK blue chip securities.
Mark Montgomery, Business Strategist at big xyt, said “At big xyt we take great pride in providing solutions to the complex challenges of data analysis. Navigating in fragmented markets remains a challenge for all participants.” adding “We recognise that the investing community needs and expects continued innovation as the volume of data and related complexity continues to increase.”
This dashboard maintains the flexible access offered with existing Equity dashboards and includes the ability to do the following with respect to DVCs:
- Examine the change at each of the 7 review dates
- See patterns of liquidity shifts for suspended and for lifted stocks
- Investigate the impact by trade category, e.g. dark or periodic auctions
- Understand the impact across regions and indices
- Review individual stocks
Robin Mess, CEO of big xyt commented “We are proud that the big xyt team was able to respond to the most recent changes in DVCs in less than a week. This new enhancement demonstrates that the trading community can rely on our core capability instantaneously converting new requirements into solutions on the ever-changing equity market structure.”
big xyt provides data and analytics solutions as a service, enabling firms from the global trading and investment community to process and normalise large data sets on demand and in real time. This critical functionality enables them to comply with regulatory requirements and reduce complexity within their own operations.
The Realization Group
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