Volume Profiles Equities – Liquidity Cockpit Enterprise Content

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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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...

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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...

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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...

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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...

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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...

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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...

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