12 Days of Trading – Day 6 of 12: Election Results

Day 6 of 12: Election Results – UK large and mid cap market volumes by trading mechanism The impact of the results of the UK General Election on market volumes was dramatic, with UK volumes more than doubling. We looked more closely at how the underlying venues and mechanisms benefitted...

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12 Days of Trading – Day 5 of 12: Price Movement

Day 5 of 12: Price Movement as a Measure of Stock Sensitivity London Stock Exchange Group price movement by trading mechanism and traded value during H2 2019 Price movement after a trade or reversion can be used as a measure of toxicity, aggression, or stock price sensitivity. Today we are returning to...

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12 Days of Trading – Day 4 of 12: Periodic Auctions

Just as market share and trade size give us measures of market quality for lit markets, similar metrics can be applied to periodic auctions. The overall share of periodic auctions as a mechanism has been remarkably stable over the last year but the share and average size amongst the...

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12 Days of Trading – Day 3 of 12: Liquidity vs Turnover

We have demonstrated in previous posts that there is a correlation between spreads and market share. The venue with the highest turnover tends to have the best prices. However, as the regulators keep reminding us, best execution should factor in liquidity as well as price. In the chart today...

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12 Days of Trading – Day 2 of 12: Alternative Closing Mechanisms

MiFID I opened the door to exchange competition in Europe. Whilst the central limit order books of the exchanges have seen their monopolies challenged, one area has remained the domain of the primary exchanges. However, with increasing focus on closing auctions driven by passive investing and ETFs, it is...

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12 Days of Trading – Day 1 of 12: Impact on Liquidity for the LSE Stock

Liquidity on lit order books is driven by pre-trade transparency. Therefore, tighter spreads or deeper visible liquidity can lead to market share growth on one venue at the expense of another. Alternative mechanisms also play their part in particular circumstances. Take the example here where major news on two occasions throughout the year caused...

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How price movement measures can inform execution decisions

By Mark Montgomery, Strategy & Business Development, big xyt For participants in the European equities markets, the use of smart measures around price movements before and after each trade can help to better inform execution decisions, and therefore optimise and improve execution quality. By capturing every tick in the market for...

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Uncovering a True Picture of Systematic Internaliser Liquidity

By Mark Montgomery, Strategy & Business Development, big xyt When navigating through the complexities of European equity liquidity, one could be forgiven for wondering whether, for many market participants, the changes in regulation brought about since January 2018 through MiFID II have been a help or a hindrance. MiFID II...

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Maximising double volume cap data

By Mark Montgomery, Strategy & Business Development, big xyt The introduction of the double volume cap (DVC) mechanism as part of MiFIR has heralded a new era in European equity trading, limiting for the first time the universe of securities that can be traded on dark pools. Nearly eight months...

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