As the holiday season lights up the markets, there’s one star on the ETF tree that deserves special attention: the European Best Bid and Offer (EBBO).
Today we have reached deep into Santa’s sack, had a rummage, and found something really unique. Courtesy of our partners at the JSE we present a highly insightful dataset that only a trading venue can produce.
As the holidays draw near, the spirit of giving has reached the trading world, bringing with it a shiny new offering: the rise of Midpoint execution innovation.
Predicting the volume curve depends on detailed analysis of the factors affecting the distribution of liquidity over time with the chief event being the Closing Auction.
Just like Father Christmas, we are obsessed with sharing. So a natural starting point is a quick look at how the various types of European liquidity pools have been sharing the trading volumes this year.
Mark discusses our growth and areas of interest, what is changing in the market, and what we can expect for the industry next year.
Fragmentation comes in different forms which makes filtering the data an endless source of entertaining insights and relevant information for those who care about this sort of thing.
As the UK gears up for another general election on July 4th, it’s worth taking a look at what this might mean for liquidity based on the patterns observed following the 2019 election.
Last year we observed how mid spread executions at the time of an RFQ execution did not tell the whole story about best price during a longer ‘execution window’. Using the xyt lab we applied the same logic to other mechanisms to establish if there are other questions traders should be asking when performing execution analysis to optimise their transaction costs.
OTC reported equity volumes have been growing steadily since MiFID II. The result was less transparency for a larger portion of the market. Our measure of non addressable volumes grew from less than 10% of reported pan European equity turnover before 2018 to around 33% in February this year.
