12 Days of Trading – Day 10 of 12: Price Movement – Closing Auctions

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...

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12 Days of Trading – Day 9 of 12: Opening Auction Activity

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...

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12 Days of Trading – Day 8 of 12: Total vs Adjusted Volumes Traded

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...

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12 Days of Trading – Day 7 of 12: Volume Profiles

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...

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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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