LiquidMetrix analyses consolidated performance figures for equities and ETFs traded in Europe in the previous quarter.
The charts and figures below are based upon LiquidMetrix’s unique benchmarking methodology that provides accurate measurements of trends in market movements. We have seen many changes in market microstructure over the last year, and here we present statistics based upon Q1 2019 market data to provide some insights on current trends.
To give an overall indication of the market in the first quarter of 2019, we again compare the Value Traded in Europe against the % Traded LIS. We can see in Q1 a continuing upward trend, and a significant increase in March despite Brexit uncertainty, but a fairly flat Total Value Traded.
One criteria to assess Venue quality is the % of times the Venue has a Best Price in the market. This is a measure of how competitive the Lit markets are as it is based upon the major index constituents of each market, and includes both price ties and unique best price.
The Lit markets have altered characteristics compared against the previous quarter, with Aquis now ranked second on DAX, SMI, MIB and OMX-S and third on FTSE and CAC Best Price % having replaced Chi-X on its previous second place ranking. The % Best Price increased across most markets during the quarter apart from the FTSE.
The Market liquidity picture has continued the trend from the previous quarter, with a lot less liquidity being made available on Lit Venues in the last quarter of 2018.
Taking a 10 basis point measure from the mid price, we can see that liquidity dramatically reduced on the FTSE, CAC, DAX, SMI and OMS-S with only the MIB seeing an increase. All MTFs had corresponding reductions/increases in the same direction as the Primary Venues.
The tables below give one method of how to assess performance of Dark Pools in Europe. For trades in each major index constituent stock we review the value traded during the period, the average trade size and the relative impact on the lit market using as a measure the % of times there is a corresponding movement on the lit market.
We can observe that there are different characteristics across the various market centres.
The value traded on FTSE increased in Q1 2019 when compared with the previous quarter, but reduced on all the other markets.
For Q1 2019, we observed that XUBS increased its share of the Dark flow in FTSE and MIB up to a 3rd place rank. XPOS reduced market share on several markets including FTSE, DAX, SMI and MIB.
Using the same methodology we assess performance of Periodic Auction Venues together. Ranking by Value traded, the clear leader over the period is Bats Periodic Pool, BATP.
SGMY moved to third rank on SMI with Aquis AQXA gaining market share (although with a much smaller average trade size). There was a dramatic reduction for XPOS on DAX, with SGMY and TRQA gaining over the period. On % Price Move correlation SGMY continues to have excellent performance with figures of less than 10% on SMI, MIB and OMX-S.