The Bacon Roll Theory

Posted by Steve Grob on October 16, 2009 · 6 Comments 

I wrote a while ago about the impact on fragmentation caused by an outage at NYSE Euronext (see The Croissant Hypothesis, April 2009). Well, we had another chance to re-run the experiment here in London this week. Basically, what happened was that on Wednesday the LSE suspended trading in a small handful of stocks because of some technical glitch in part of its market data feed. Spotting the opportunity, all the MTFs enthusiastically emailed the market confirming that they were... Read More

Filed under Europe Lit venues

Fragmentation Diversifies

Posted by Steve Grob on October 14, 2009 · Leave a Comment 

It’s hard to miss the widening gulf in fragmentation between the London Stock Exchange and the other primary markets. The gap started to appear during the summer but seems to have been widening to the point that fragmentation on FTSE 100 stocks is now around 30% higher than in France or Germany. NYSE Euronext and Deutsche Börse will doubtless be monitoring the London situation carefully as, so far, the London experience of fragmentation has been played out in mainland Europe,... Read More

Filed under Dark pools Europe Lit venues

Fragulation Fever

Posted by Steve Grob on October 7, 2009 · 1 Comment 

Firstly thanks to everyone who has emailed me with such positive responses to the Fragulator. Thousands of fragulations have taken place on the site since Friday and it’s great to know that so many of you are finding it useful. We’ve had all sorts of interesting feedback, especially in terms of the classifications we have chosen and the different levels of reporting transparency. A full guide to the different trade types can be found on the FAQ page but basically we... Read More

Filed under Dark pools Europe Lit venues

Turquoise, the LSE and the Fragulator

Posted by Steve Grob on October 2, 2009 · 1 Comment 

I was wondering the other day whether we might run out of space on the web site soon as more and more venues are created. Well, the good news is that Xavier Rolet and Eli Lederman may have helped us solve that problem (LSE in talks to buy Turquoise). Assuming that the proposed acquisition does indeed go ahead, it will be interesting to see how this will affect the trading landscape. What will happen to the liquidity currently residing in Turquoise? Will the LSE want to reinstate... Read More

Filed under Dark pools Europe Lit venues

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