12 Days of Trading 2021 Day 1: Closing Auctions… the desserts of the trading day
Inevitably at this time of year our thoughts turn to the important matter of choosing the right dessert to round off a hearty Christmas lunch. To get us in the mood, for our first 12 Days of Trading 2021 post, we decided to look at the Closing Auctions, the...
Royal Dutch Shell – is the party over?
Is the fun about to come to an end for those trying to optimise (and capitalise on) their interaction with one of the most heavily traded equities in Europe? It has to be one of our favourite stocks for the complexity it presents for equity exposure to a single organisation....
big xyt launches European ETF Launches weekly update
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...
European Equities Market Microstructure Survey Q3 2021
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...
How fast is the market?
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...
ESG ETF trends
Greenwashing disinformation disseminated by an organisation so as to present an environmentally responsible public image. "while they can be useful, these sorts of standards are sometimes used quite cynically—as corporate greenwash" There is a difference between what people say and what they do. Companies are realising the importance of actions speaking...
European Equities Market Microstructure Survey Q2 2021
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...
Is anyone else worried about this?
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...
big xyt launches Market Microstructure in Practice with big xyt’s API
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...
When is a Block not a Block?
In the search for liquidity, particularly whilst minimising market impact, a means to identify large trades and where they take place is key for the investing community. The regulatory changes in MiFIDII introduced the concept of Large In Scale (LIS). No, not not a post-Brexit way to limit fishing quotas,...
New dark pools map reveals cosmic mystery
We’re not too sure what all the excitement is about... at big xyt we have been researching the changing shape of the dark landscape for years. In fact, rather like long established theories, on the face of it European dark trading volumes have remained relatively steady. Our team of curious...
European Equities Market Microstructure Survey Q1 2021
Welcome to our latest quarterly survey of market volumes and fragmentation trends in European equities. Following a desolate second half in 2020 and despite ongoing Covid-19 and Brexit-related uncertainty, the first quarter of 2021 saw a return to some kind of normality in market volumes. View the complete report here. ***** All the...
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