Day 7 of 12: Today we look further at SI volumes to see if the imposition of Double Volume Caps resulted in any observable change in Systematic Internaliser volumes either above or below Large In Scale (LIS)
As shown yesterday Pan European average reported volumes by Systematic Internalisers now total around €30bn per day. Of this SI volume, approximately 50{a77189467baebe99d0d59363c4c17c76ac761b303fd809242b1d06b2b931be6c} can be removed by identifying condition codes or trade flags that indicate the transaction was non-price-forming. If we then identify trades reported outside market hours, we are left with a further reduction.
Today’s charts provide a further breakdown of adjusted SI volumes, i.e. excluding non-price-forming condition codes and ignoring trades reported outside market hours.
Some observations:
- Chart 1 (top): Did Systematic Internalisers report increased volumes (sub-LIS) during DVC suspension?
- Chart 2 (below): Did Systematic Internalisers report increased block trades during DVC suspension?
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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.
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This content has been created using the Liquidity Cockpit API.
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