12 Days of Trading – Day 8 of 12: Average Price Move

12 Days of Trading – Day 8 of 12: Average Price Move

Day 8 of 12: Price movement as a proxy for market impact – A ripple before as well as after the pebble hits the water

Measuring the movement of mid point prices before and after the time of every execution allows us to see some interesting patterns emerge.

Some observations:

  • Different execution mechanisms exhibit distinct trajectories.
  • The patterns for lit markets, dark pools and blocks have been known for some time. Where do Periodic Auctions fit in?
  • Up to 100 ms ahead of the trade, Periodic Auctions show a similar probability for a market move as Dark Pools. Closer to the execution time as well as after the trade, the probability for a price movement is very low and close to blocks (LIS).

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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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