12 Days of Trading – Day 2 of 12: Liquidity Trends since June 2016 #2

12 Days of Trading – Day 2 of 12: Liquidity Trends since June 2016 #2

Day 2 of 12: After our initial market overview yesterday, today we take closer look at the development of auctions.

Some observations:

  • The two largest gainers appear to be the Closing Auctions and Periodic Auctions.
  • Some have observed that more lit trading has moved to the closing auction as the benchmark drives index & ETF traders.
  • The inference then for Periodic Auctions is that they have seen flow migrate from dark pools as Double Volume Caps took effect.
  • It is difficult to be certain of the reasons for this dispersion from this chart alone so we plan to investigate further in subsequent days.

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On our 12 Days of Trading

As the year draws to a close we have been asked by clients to look and highlight 2018 trends since the introduction of MiFID II. We thought we might make this a festive exercise on the 12 days leading up to the holidays. As a result, you will find a post to a different 2018 big-xyt observation each day.

We hope you enjoy them.

This content has been created using the Liquidity Cockpit API.

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