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...
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...
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...
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...
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...
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...
Day 10 of 12: Price Movement – Closing Auctions Mid point price movement of Anglo American plc referencing 20th September 2019 Closing Auction Following previous observations of the growing significance of the closing auction we felt curious as to whether a benchmark price should be the best driver of liquidity. As...
Day 9 of 12: Opening Auction Activity 20 UK stocks with the greatest change (%) in opening auction value traded on 13th December 2019 On the morning after the General Election, the chart shows the 20 stocks with the greatest percentage change in opening auction turnover. This could be taken as a...
Day 8 of 12: Total vs Adjusted Volumes Traded How non-addressable SI volumes can mislead liquidity expectations. Understanding where the expected liquidity is available is key to any participation strategy. However, if your assumptions relating to expected liquidity include all reported trades, you could find yourself starting from the wrong place. This...
Day 7 of 12: Intraday Lit Volume Profiles 12th, 13th and 16th of December for UK blue chips There was too much happening on Friday not to revisit how the General Election result shifted traders’ focus from liquidity based benchmarks to urgency of execution. Having seen the increased opening auction activity on Friday...
