x Days of Isolation – Day 09: ETFs – Expect to Trade for Free?
by Mark Montgomery, big xyt Day 9 – ETFs, Expect to Trade for Free? We saw how volatility during February and March resulted in an unsurprising widening of equity spreads. It sparked our curiosity to see how ETFs were affected during the same period. Market makers in ETFs base their pricing...
x Days of Isolation – Day 08: Measure for Measure.
by Richard Hills, big xyt Update: April market volumes reverted to long term average levels following the record month of March 2020. ADVT traded on the order books in European equities was 47B€, compared with 44 B€ ADVT for the full year 2019. Accompanying this apparent return to normality, the proportion...
x Days of Isolation – Day 07: Business As Usual ? (Probably Not).
by Richard Hills, big xyt Day 7 – Business As Usual ? Update: Following a bumper month for European Equity trading volumes during the Great Sell Off it seems that we may be reverting to type. Daily traded value broke through the four year record high of 148 B€ on no less...
x Days of Isolation – Day 06: How to Trade on The Stop Market
by Mark Montgomery, big xyt Day 6 – How to Trade on The Stop Market Update: For four hours on Tuesday liquidity dried up on the primary market in Germany (plus some other XETRA powered markets) due to a technical outage. Not for the first time we observed the importance of the...
European Equities – Market Microstructure Survey Q1 2020
by Richard Hills, big xyt Big -xyt confirms record equity turnover and changing behaviours during Q1 2020 Recent market volatility has created a domino effect of changing market behaviours as investors struggle to understand changing liquidity patterns. big xyt has received an increasing number of requests from the community for guidance...
x Days of Isolation – Day 05: Attack of the CLOBs
by Mark Montgomery, big xyt Day 5 – Attack of the CLOBs Update: Following our first post in this series, a number of people have asked if the trend we observed has continued over subsequent days. The ingredients are consistent - uncertainty, volatile markets, and unpredictable liquidity leading to opportunity cost with other...
x Days of Isolation – Day 04: Pump Up the Volume
by Richard Hills, big xyt Day 4 – Pump Up the Volume Summary It is not news to anyone that trading volumes have simply exploded this month to record levels. We put some eye watering facts and figures on this in a historical context and look at one surprising finding; the distribution...
x Days of Isolation – Day 03: Swiss Watch
by Mark Montgomery, big xyt Day 3 – Swiss Watch The chart today shows the changing market share of European Equity trading venues during 2020.The highlighted line is the focus of the following observations. Last Summer when Swiss non equivalence was announced, overnight competition from MTFs was outlawed and the SIX...
x Days of Isolation – Day 02: Mind the Gap
by Richard Hills, big xyt Day 2 – Mind the Gap: Close to Open price movements SUMMARY In this article, we look at the difference in price between two major benchmarks, the Previous Close and the Open – the ‘overnight gap’. The equities market is only open for around 8 hours a...
x Days of Isolation – Day 01: The Orderbook Strikes Back
by Mark Montgomery, big xyt Introduction During these unprecedented times we do not underestimate the professional and personal challenges that everyone is facing. There are far more important things to be doing in the community than looking at a screen. However, data and data analytics is playing a critical part in providing...
12 Days of Trading – Day 12 of 12: Merry Christmas
Day 12 of 12: Merry Christmas from big-xyt Well, it’s Christmas Eve folks and what better way to see out the old & see in the new year than to reflect on the changes in the last 12 months. We look forward to introducing new content to help provide 2020 vision...
12 Days of Trading – Day 11 of 12: Price Movement by Venue and Mechanism
Day 11 of 12: Price Movement by Venue and Mechanism Mid-point price movement for all reported trades on selected venues between 2nd & 6th December inclusive for UK Large Cap stocks The chart today returns to a theme we have covered before but with additional layers uncovered. In the past, we...
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