5 FTSE 100 stocks break the FFI 2 barrier
Yesterday 5 FTSE 100 stocks broke through the statistically significant barrier of having an FFI of 2 or above – these stocks were Sage Group (FFI 2.28), Johnson Matthey (FFI 2.14), AB Food (FFI 2.13), 3I Group (2.12) and Standard Life (2.11) which seems to show that no one sector is necessarily fragmenting quicker than any other. The beneficiaries were, of course, Chi-X and Turquoise but interestingly the honours were pretty evenly split between them in terms of market... Read More
MTF Price War Hots Up
NASDAQ OMX Europe has taken the lead by setting out the most aggressive pricing policy yet. By offering a .25 bps rebate for posting liquidity (maker) and a .25bps fee for removing liquidity (taker) – it looks like NASDAQ is getting ready for a war of attrition. It will be interesting to see how the other MTFs react. This comes not too long after the LSE introduced its own maker/taker pricing model. Assuming a 50:50 split of makers and takers, the net fees are zero... Read More
MTF’s can’t make decisions on new symbology by themselves
Interesting to see that MTFs ( BATS, Chi- X and Nasdaq Europe) are going to be creating a steering group to agree a common symbology. This initiative goes hand in hand with the drive to produce a consolidated tape of prices so that MTFs ( and some brokers’ SOR technology) are not dependent upon primary exchanges for reference prices. The aim is to “reduce the back office complexities” according to Todd Glub at Nasdaq Europe – so why not involve the back office system... Read More
Fragmentation goes down when volatility goes up?
Looking at the FFI over the past week or so shows that when markets get highly volatile (as has been the case recently) then volumes on alternative venues like Chi-X and Turquoise seem to go down. This inverse correlation may be down to a couple of reasons. The first is that in times of market stress, traders would rather deal on venues that have an established pedigree in the market. The fact that Fortis fulfils the CCP role for Chi-X naturally must have made traders nervous... Read More
Good week for LSE and Chi-X but LSE domination of FTSE 100 looks unlikely
It was a crazy week for markets last week but it looks like the beneficiaries in terms of venues were Chi-X and the LSE at the expense of Turquoise. I guess that’s a reflection that Chi-X is now seen as an established venue (alongside the LSE) whilst Turquoise has still to prove itself. It may also reflect the fact that that Turquoise’s members have had other things on their mind (like survival). It’s also interesting, however, if you take a longer term view as the future... Read More
Making Sense of Fragmentation
Welcome to the world of fragmented liquidity. 18 months ago few of us realised just how disruptive MiFID was going to be on the structure of financial markets. This site aims to provide a forum to understand these changes and provide an evolving consensus within the Fidessa community on the impact of current changes. It will also look forward to the next wave of changes and assess their impact on the community at large, on trading styles and on the use and adoption of... Read More
