Day 12 of 12: Impact of DVC on the Liquidity Landscape
In our final view of the series we return to one of the most controversial MiFID II introductions, Double Volume Caps, with a different attempt to assess their impact by examining how UK blue chip volume dispersed before during and after DVC suspensions.
As an explanation for the methodology used for […]
Day 11 of 12: ETF Spreads by Issuer
Another comparative way to look at ETF spreads is by issuer. For today’s review the issuer names are anonymised (issuers A to F), but consistent across both charts.
In the 2 charts today, we can see the choice facing investors when looking to trade an ETF representing a particular underlying benchmark. Whilst many issuers compete […]
Day 10 of 12: ETF Spreads by Venue
From our consolidated view of lit markets in ETFs, it is not surprising to see that At Touch Spreads vary by venue.
However, looking at the second chart, it would seem wise for the end investor to be aware of where the underlying constituents are quoted. In other words liquidity in ETFs can depend […]
Day 9 of 12: Average Equity Spreads for the past 2 years
The chart shows at touch time-weighted average spreads for blue chip UK stocks since December 2016
Some observations:
There was observed impact of MiFID II with a new tick size regime and an increasingly competitive market.
The influence of macro-economic uncertainty on volatility during February 2018 and Q4 2018.
It is […]
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 […]
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% can […]
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 […]
Day 5 of 12: As mentioned yesterday, block trading, represented by Large In Scale (LIS) executions, has been growing steadily over the last 2 years.
Some observations:
Trading behaviour has adapted to seek out blocks and advances in technology have created better tools to identify and match block trading opportunities.
This is illustrated by the chart which seems to infer a […]
Day 4 of 12: In today’s view we take a look at some evolutionary themes in European Equity dark and block trading over the last 2 years.
Some observations:
As expected, DVCs had an impact on dark traded volumes particularly in trades below Large In Scale (LIS).
In fact this reduction in sub-LIS during the DVCs resulted in average trade sizes […]