By Mark Montgomery, Strategy & Business Development, big xyt
For participants in the European equities markets, the use of smart measures around price movements before and after each trade can help to better inform execution decisions, and therefore optimise and improve execution quality.
By capturing every tick in the market for each stock across all venues, we can see how a share […]
Press Release
Changing the way data is interrogated and benchmarks viewed
London, Frankfurt, 23 April 2019. big xyt, an independent provider of high-volume smart data and data analytics, is pleased to announce that, following consultation with a number of clients, the big xyt analytics platform has been extended to include Transaction Cost Analysis (TCA).
It is recognised that post-trade TCA is transitioning from […]
Case Study
The Client
One of largest financial companies and a major provider of institutional banking, investment management and broker services. Long-standing experience of trading electronically in European equities, offering a market-leading suite of algo execution and analysis tools to its clients.
The Challenge
Although the client was already using a white-labelled transaction cost analysis (TCA) service from another vendor, as a highly sophisticated […]
Press Release
Analysing trading data from multiple points of view one year on from MiFID II
London, Frankfurt, 28th January 2019. big xyt, the independent provider of high-volume, smart data and analytics capabilities is pleased to announce the launch of www.250days.com, a collection of views reflecting the evolving market dynamics over the past year. The new site leverages the Liquidity Cockpit, the industry […]
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 […]