A Shot in the Dark

Posted by Steve Grob on June 30, 2009 · Leave a Comment 

Nice to see that BATS Europe has announced that it, too, is going to launch a dark pool service. While not too surprising, it is interesting to note that they will be offering a maker taker pricing model as this will be sure to extend the current price war into the dark arena as well. BATS joins a long list including Chi-X, Turquoise, NYFIX Euro Millennium, SmartPool, Pipeline, NEURO Dark and, of course, Baikal, that will all offer traders different destinations for their dark... Read More

Filed under Dark pools Europe Lit venues

Tick Size Fever

Posted by Steve Grob on June 19, 2009 · Leave a Comment 

There has been much debate this week around the move to smaller tick sizes as Chi-X, Turquoise and BATS all announced that they will unilaterally reduce tick sizes in the stocks most commonly traded on their platforms. This is in the belief that smaller tick sizes lead to tighter spreads and so will attract even more volume on to these MTFs. This move was taken ahead of the planned initiative by the Federation of European Exchanges (FESE) to try and harmonise tick sizes and so... Read More

Filed under Europe Lit venues USA

Be careful what you wish for

Posted by Steve Grob on June 9, 2009 · Leave a Comment 

It was great to see the success last week of the new “inverted” pricing model at BATS Europe. As a result, BATS weighed in with 6% of the CAC 40 and just over 4% of the DAX. Other MTFs were successful in Europe too and so, in just a week, the FFI of the CAC 40 and the DAX rose by 6% and 10% respectively and both have now reached convergence with what is happening in London. Also, for the first time, all of the top twenty most fragmented stocks had an FFI of 2 or above. Life... Read More

Filed under Europe Lit venues

Having your cake and eating it

Posted by Steve Grob on June 2, 2009 · Leave a Comment 

The FFI clearly shows that fragmentation is steadily rising as smart routers continue to spread trading volume across different venues. Looking at last week’s data, though, I couldn’t find a single venue (primary or MTF) that wasn’t showing a decline in its overall volume for the week. Obviously the bank holiday and half term break affected the figures but this still highlights the simple fact that the total quantity of order flow is substantially lower than it was in pre-credit... Read More

Filed under Dark pools Europe Lit venues Systematic Internalisers

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