News

12 Days of Trading – Day 10 of 12: ETF Spreads by Venue

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...

Read more...

12 Days of Trading – Day 9 of 12: Average Equity Spreads

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...

Read more...

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...

Read more...

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...

Read more...

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. ...

Read more...

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...

Read more...

Newsletter