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The shape of block liquidity

Now we are all back from summer hols it seems like everyone is getting ready for the final push that will propel our industry into its post-MiFID II future. Much still needs to be done, not least of which by ESMA in telling us what all the rules actually mean and what game we are supposed to play as a result of them.

This is particularly true in the case of block liquidity which will be very different in 2018. Amidst the Orwellian chants of “lit markets good, dark pools bad” we now have arbitrary caps on dark pool volumes, unless of course you trade in large enough size to cross the magic LIS threshold. But you still have a choice to make as new venues have emerged such as Bats LIS and Turquoise Plato which now sit alongside traditional block matching systems such as Liquidnet and POSIT. So does this help or just fragment those precious blocks further? Moreover, where is the unique liquidity which represents the real prize in successful block trading? Well, help may be at hand thanks to the clever chaps back at Fidessa Labs. They have developed a new report, cunningly named ‘Top of the Blocks’, that provides a weekly snapshot of where the unique blocks are and the relative LIS volumes at a variety of venues. We plan to add a bunch of other cool features, but if you have suggestions in the meantime then please email the team.

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