12 Days of Trading – Day 6 of 12: Systematic Internaliser Volumes

12 Days of Trading – Day 6 of 12: Systematic Internaliser Volumes

Day 6 of 12: Breaking Down Systematic Internaliser Volumes by Condition Codes

Some observations:

  • Pan European average reported volumes by Systematic Internalisers now total around €30bn, representing 30% of equity turnover.
  • Of this SI volume, approximately 50% can be removed by identifying condition codes or trade flags that indicate the transaction was non-price-forming ( we can provide a long list of these that we have identified for exclusion).
  • If we then identify trades reported outside market hours, we are left with a further reduction (see chart).
  • Many observers see Large In Scale trades reported by Systematic Internalisers as representative of a bilateral negotiation and therefore not representative of liquidity available to all at that price.
  • Filtering out the Large In Scale SI trades leaves daily adjusted volumes of around €3bn ie 3-4% of total equity turnover.
  • This adjusted sub category of sub-LIS SI trading has shown steadily growing volumes.

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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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