2 shots in the arm for markets, but at what cost to your trading?
The markets responded with the usual enthusiasm for major news yesterday with the announcement of Jenny Chen joining our team to extend our reach in the US market. In other news, we saw a likely result in the US presidential election and word of a vaccine. As with Q1, the...
European Equities – Market Microstructure Survey Q3 2020
A Comprehensive Review of Market Volumes, Fragmentation and Other Topics. by Richard Hills, big xyt It hasn't been a good quarter for the European Equity Market. In nearly every country, we've seen record lows for volumes throughout the summer. August delivered the slowest month for trading since the MiFID2...
Liquidity Intelligence: Ranking venues for larger trades
by Khalil Dayri, big xyt Having a good understanding of how to select a venue when executing a large trade is essential for successful performance. There are many venues to consider and each venue has its own "sweet spot", depending on the names and size traded and that varies...
European Equities Market Microstructure – September 2020 Snapshot
by Richard Hills, big xyt In this post we summarise 2020 volumes and market fragmentation up to the end of August. We note that volumes have decreased dramatically to produce the two quietest months of the MiFID2 era. The data is taken from our Liquidity Cockpit tool which...
European Equities – Market Microstructure Survey Q2 2020
Our Comprehensive Review of Market Volumes, Fragmentation and Other Topics. by Richard Hills, big xyt The strange times continue. While Q1 broke all the records, Q2 came up with a few surprises. The biggest MSCI rebalance in history pushed the figures up for May, thanks to some major index...
TRAVIS PERKINS: THE RIGHT TOOLS FOR THE JOB
by Richard Hills, big xyt Spotting volatile liquidity profiles in illiquid names. Checking liquidity data isn’t just something we need to do once a month using a summary report. It is part of the daily routine. Every stock has its own characteristics that can change significantly and surprisingly frequently, and...
Liquidity Intelligence – Understanding the nature of liquidity
by Khalil Dayri, big xyt Understanding the nature of liquidity We know that trading behaviour, microstructure and liquidity all vary significantly between venues and across individual stocks. Understanding these differences has become a very important prerequisite to any market participant. Armed with this knowledge, traders can substantially reduce their execution costs,...
Final Day of Isolation – Day 12: Rolls-Royce at a discount? Never!
by Mark Montgomery, big xyt Day 12 – Rolls-Royce at a discount? Never! It seems like a good time to leave the days of isolation behind us but fear not, our observations will continue this week. Following on from our previous post, we promised to take a closer look at one...
x Days of Isolation – Day 11: SpaceX for Stocks
by Mark Montgomery, big xyt Day 11 – SpaceX for Stocks Some of you may have been straining your eyes looking at the night sky during the recent SpaceX launch. The image above isn't a photographic negative image of heavenly bodies, it is actually a scatterplot of multiple European stocks. The...
European Equities – Market Microstructure Survey Q2 2020 May Update
May market volumes and fragmentation return to normal, but that is not the full story. by Richard Hills, big xyt May could almost be described as uneventful in that volumes and market share seem to have reverted to business as usual. A quick look at some market quality metrics tells us...
x Days of Isolation – Day 10: Auction Action
by Mark Montgomery, big xyt Day 10 – Auction Action Turnover of equities including ETFs in closing auctions reached record levels on Friday. The volumes were higher than any other day during the past 12 months (including all expiry dates and rebalancing dates). 40B€ total closing notional (incl. ETFs) was reported...
Introducing Enterprise Content
Download Samples The Liquidity Cockpit has evolved thanks to continuous feedback from our clients and we are delighted to be adding to the content with a brand new Enterprise section to the menu. The new additional content includes: Intraday volume profiles (by market mechanism), Price movement by venue, EBBO presence by size & Effective book...
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