The ETF trading community requires a consolidated view of market volumes and market quality in order to compare liquidity and spreads.
Exchange operators, issuers, liquidity providers and investors need practical insights from increasingly large and complex data sets.
Trade Report Complexities
Post-trade, the market encounters complexities in gaining access to harmonised trade reports across venues and trading mechanisms. Reported volumes on Request For Quote (RFQ) platforms have not been available from an independent source alongside exchange and MTF activity.
An understanding of addressable volumes is required in order to create a realistic denominator’ for these calculations, i.e. you should only measure the liquidity that you have access to, excluding what you do not. This applies to venues and market mechanisms.
Pre-trade, observed spreads are often calculated using simple averages and merely at top-of-book (‘touch price’) which does not provide a realistic measure of the true cost of liquidity access.
Accurate datasets are essential. These must be harvested, curated and processed consistently over time to provide precise results and a reliable history.
Comparing Liquidity and Spread
Comparing the liquidity and spread across multiple issuers, venues and currencies is not an easy task, especially when additionally looking to identify trends over time.
Independence is key. A standalone viewpoint provides a different perspective than the snapshot offered by any given venue in isolation.
How we can help
Our experience with the Liquidity Cockpit, used universally as a comparative reference for European market share and market quality for all listed equities, has evolved over the last five years, with new features and content continually being added to enhance the user experience.
Additional reference data in the ETF Liquidity Cockpit allows users to filter and compare using ETF Umbrella, ETF Benchmark Group and Benchmark Name, along with individual instrument views.
Results can be accessed via visualisation tools, our API, or file delivery.
Visualisation: What we provide
Our standard measures allow the user to observe the following:
- Market quality measures for more than 7,500 UCITS and ETF listings in Europe.
- Market share across all venues (lit, dark, auction, RFQ, OTC, etc.).
- ETF liquidity comparisons across issuers, benchmarks and venues.
- Time-weighted spreads.
- Effective spreads for several sizes (up to 100k EUR).
- Trend analysis for all measures with at least two years of history.
Spread Ranking – ETF Heatmap
Integration for Systematic Analysis and
In-depth Quantitative Research
Our dashboards provide simple, flexible views into complex calculated metrics and measures.
However, the underlying datasets can yield a far greater range of results when accessed via big xyt’s APIs which sit behind all of our products, and as a result can be used to support:
- Bespoke analytics.
- Custom dashboards.
- White-labelled solutions for client access.
- Introduction and overlay of proprietary data.
- Generation of additional measures by our team.
- Integration with pre and post-trade execution analytics.