Fidessa Fragmentation IndexMaking Sense of Fragmentation
Following the introduction of MiFID, the pattern of equity trading in Europe is changing rapidly. The Fidessa Fragmentation Index (FFI) has emerged as the definitive measure of how trading is fragmenting across established and new venues.
Click here to see the top 20.
Fidessa Fragmentation Index
Week Ending 5 Mar
| Index | FFI | (Prev) | |
|---|---|---|---|
| FTSE 100 | 2.38  |
2.32 | .UKX |
| FTSE 250 | 2.09 |
1.98 | .MCX |
| CAC 40 | 1.89 |
1.93 | .CAC40 |
| DAX | 1.89 |
1.93 | .DAX |
| AEX | 1.85 |
1.95 | .AEX |
| OMX S30 | 1.80 |
1.73 | .OMXS30.ST |
| BEL 20 | 1.77 |
1.80 | .BEL20 |
| SMI | 1.75 |
1.79 | .SMI |
| OMX H25 | 1.73 |
1.70 | .OMXH25.HE |
| FTSE MIB | 1.57 |
1.57 | .MIB |
| ISEQ | 1.53 |
1.61 | .IEOP-I |
| OMX C20 | 1.28 |
1.29 | .OMXC20.CO |
| OSLO OBX | 1.18 |
1.19 | .XOBX.OL |
| PSI 20 | 1.16 |
1.14 | .PSI20.LS |
| IBEX 35 | 1.03 |
1.02 | .IBEX |
To analyse this summary click here.
From the blog...
Freaky Fridays – 4 March 2010
A few of us here at Fidessa Towers have been wondering about the spiky path fragmentation has taken over the past year or so. Whilst the overriding trend is upwards there have been a number of times when the rate of fragmentation has suddenly dipped only to recover its upward trajectory the next day. This was particularly evident with the FTSE 100 last month where the LSE’s average market share for February was around 40% and its average trade size was around 2,600 shares. Yet on Friday the 19th its market share suddenly jumped to 53% and its average trade [...]
Tick Tax – 25 February 2010
Jumping the Queue for Order Flow – 19 February 2010
Latency Wars – The Empire Strikes Back – 5 February 2010
The Luck of the Irish – 27 January 2010
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