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Deriving Equities Market Share

Last Friday, the 17th September, highlighted again the interrelationship between derivatives and equities in terms of fragmentation. The third Friday of the month is associated with futures and options expiration and so market participants close out positions with a resultant surge in volumes on the primary exchange. You can see this effect clearly in the US, Canada and London as... Read More

Welcome to Global Fragmentation

As you can see, the clever guys at Fidessa Labs have been pretty busy over the summer. They’ve added coverage for the USA, Canada, Japan and the rest of Asia – all in all around 200,000 individual stocks and indices (and growing!) to provide a truly global view of fragmentation. The new site also provides further insight into the world-wide experiment that is going on in... Read More

Trading US Stocks European Style

Few can have missed the announcements from the LSE’s Turquoise and NYSE Arca Europe that they will each soon begin trading US stocks. Both venues will aim to attract the HFT/algo community which will be able to exploit differences in prices between these platforms and their US counterparts. On this point, the Turquoise plan is particularly aggressive as it will allow users to... Read More

Jumping the Queue for Order Flow

A couple of announcements have caught my eye over the past few days. This week saw the launch of a smart routing service called CYCLE from BATS Europe and, last week, I was at a seminar in Stockholm where Turquoise’s Adrian Farnham presented its own liquidity aggregation service – TQ Lens. Both of these announcements highlight how venues are starting to overlap with... Read More

Tick Size Fever

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... Read More

The Future Shape of Trading

Looking at the FFI today, I was intrigued to see that fragmentation in Paris and Amsterdam went down last week (by nearly 10%) compared to a small increase in London and a relatively unchanged week in Frankfurt. Looking at the data more closely, the difference seems to be that Chi-X and BATS did less volume in Paris and Amsterdam than they have in previous weeks. This is even more... Read More

The Croissant Hypothesis

It was interesting to read Jeremy Grant’s piece in today’s FT about the outage at NYSE Euronext yesterday. Somewhat counter-intuitively volume didn’t move to the MTFs but, according to Jeremy, traders simply “munched on their croissants” whilst the techs fixed the problem. This outage highlighted again the difference between the US and Europe where US volumes are much... Read More

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