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 […]

12 Days of Trading – Day 7 of 12: DVC and Systematic Internaliser Volumes

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 […]

12 Days of Trading – Day 6 of 12: Systematic Internaliser Volumes

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 […]

12 Days of Trading – Day 5 of 12: DVC and LIS

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 […]

12 Days of Trading – Day 4 of 12: Dark Trading since June 2016

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 […]

12 Days of Trading – Day 3 of 12: DVC and Auctions

Day 3 of 12: Having looked at auction volumes in our previous view, we will now drill down into the two auction types that have seen increased use over the last year.

Some observations:

MiFID II was a catalyst for Periodic Auction use and the introduction of Double Volume Cap suspensions resulted in further acceleration.
Interestingly, the volumes were sustained after […]

12 Days of Trading – Day 2 of 12: Liquidity Trends since June 2016 #2

Day 2 of 12: After our initial market overview yesterday, today we take closer look at the development of auctions.

Some observations:

The two largest gainers appear to be the Closing Auctions and Periodic Auctions.
Some have observed that more lit trading has moved to the closing auction as the benchmark drives index & ETF traders.
The inference then for Periodic […]

12 Days of Trading – Day 1 of 12: Liquidity Trends since June 2016

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 receive a link to a different 2018 big-xyt observation each day.

With the countdown […]

Uncovering a True Picture of Systematic Internaliser Liquidity

By Mark Montgomery, Strategy & Business Development, big xyt

When navigating through the complexities of European equity liquidity, one could be forgiven for wondering whether, for many market participants, the changes in regulation brought about since January 2018 through MiFID II have been a help or a hindrance. MiFID II was designed to introduce more transparency. But have aspects of it […]

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big xyt was founded by a team of experts combining more than five decades of experience in risk management, regulatory and financial reporting, analytics solutions arising from regulatory requirements, e.g. MiFID II, and engineering for data management and analytics. The team of seven founders has been working together since 2005 and in 2014 they formally formed big xyt to continue and expand this work.

With big xyt you can leverage our seasoned capabilities in your markets. Get in touch with us and get yourself some innovation.

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