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.
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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

Auctions are simply a part of providing an orderly and effective market and the natural monopoly they produce is actually good for market participants.

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