European Equities Market Microstructure Survey 2022

Welcome to our annual survey of European trading volumes and market fragmentation at the end of yet another highly eventful year of trading. We aim to provide a brief overview of the key trends and patterns in the market microstructure in 2022 by comparison with the previous five years. The survey is based on a vast amount of data. Since the beginning of the new MiFID2 regime in Europe, we have collected over 2.5 trillion data points from the European equity markets. Back in Q1 2020 it felt like we were watching a truly exceptional event but despite lower volatility, the markets managed to deliver something even more unpredictable. Please have a read of our latest European market microstructure and let us know your thoughts or ideas for any further investigations.

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12 Days of Trading 2022 Day 12: Rockin’ around the big xy Tree – Merry Christmas and Happy Holidays to all

With his circumnavigation complete, Father Christmas has earned some rest and recuperation, as have all of you after a year of challenges and surprises. Looking back over the last five years of this campaign, we thought it would be fun and perhaps of interest to reintroduce an old favourite - the big xy Tree.

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12 Days of Trading 2022 Day 11: Those elves are an odd lot

​​​​Tolkien had them as tall, fast runners and excellent archers. The Grimm brothers portrayed them as short but benevolent shoemakers, and the Christmas tradition as hard working folk, who with the reindeer, form a magical team of the Fast and the Fairy-ous.

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12 Days of Trading 2022 Day 10: Santa’s got it taped

​​Father Christmas has continued his journey west and is now on the final leg of his deliveries. Like Vespucci, Columbus et. al. (Jolson, Capone, Pacino?) he is keen to learn more about this great continent before him.

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12 Days of Trading 2022 Day 9: Does Santa have a personalised number plate?

​​Very few people have actually seen Santa’s sleigh but there are unverified reports that it is a highly customised vintage Porsche.  At big xyt we are betting that the number plate must be FC 1 (second favourite is DA 05 HER), carefully adapted to avoid those pesky but ever-present speed cameras. 

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12 Days of Trading 2022 Day 8: RFQs… everyone’s favourite

​​RFQs - Ready for Quality Street…… Roses, Celebrations or whatever the contents might be in the festive family bowl of chocolates?  One thing is for sure, there’ll be some variety at the bottom which lie there having left a bad taste in the mouth.

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12 Days of Trading 2022 Day 7: Hold on for deer life

​​To finish off the week, the 12 Days of Trading 2022 continues its longitudinal leaping, this time southwards across the Alps from Prague to Bergamo, famous for its Elfredo pasta.  Today’s festive topic is deer to our hearts; latency. Given the proposed changes mentioned this week, we take a look at how DVC and SI activity has changed over time, which may help us anticipate what to expect next. But hold on, it just occurred to us that this actually has a lot in common with a practice in equity markets. Managing index constituents during a rebalance with a target benchmark of the Closing Price. 

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12 Days of Trading 2022 Day 6: Does Santa have a Czech mate?

Of course, Santa has plenty of friends and it looks like some people in the market have some pals in Prague as the dark caps are looking to be relaxed (if not abolished) under the Czech presidency. The restrictions around Systematic Internaliser trading could also be eased. Given the proposed changes mentioned this week, we take a look at how DVC and SI activity has changed over time, which may help us anticipate what to expect next. But hold on, it just occurred to us that this actually has a lot in common with a practice in equity markets. Managing index constituents during a rebalance with a target benchmark of the Closing Price. 

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12 Days of Trading 2022 Day 5: Ho Ho O…TC volumes bring seasonal rewards for some

Father Christmas may not have target benchmarks or KPIs but he does have to manage and deliver all the presents to the correct recipients by the end of the day.  But hold on, it just occurred to us that this actually has a lot in common with a practice in equity markets. Managing index constituents during a rebalance with a target benchmark of the Closing Price. 

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12 Days of Trading 2022 Day 4: Using good data can avoid disappointment

At this time of year, we work hard to ensure that we don’t disappoint our friends and relatives on the big day.  We order the food and drink well in advance, we carefully choose the gifts, and we stock up on spare batteries for the remote control.  It’s all about avoiding disappointment by creating certainty.

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