I was reading about the ‘MTF effect’ on Finextra this morning (see http://www.finextra.com/fullstory.asp?id=19416). This article echoed some of the themes from the recent TradeTech Liquidity event about the price improvements that can be enjoyed in the new MTF world. I expect that SOR vendors will soon start waving around their own statistics that show how their brand of SOR provides even better price improvements than the competition. To me this seems to be missing the point – stocks are fragmented and so the price isn’t improved it’s merely split over a multitude of venues. I think most people now acknowledge that the price of stock is increasingly decoupled from its primary exchange and when Europe has a consolidated tape (as we have in the US) then the concept of price improvement will become completely redundant.

Thanks to Andrew from A-Team for his comment yesterday about why Turquoise is more successful on FTSE 100 stocks than the 250. I think it’s in part related to the backers of Turquoise as you suggest, but it is also not completely clear the universe of stocks Turquoise trades. Its web site talks about the “Turquoise Liquid 271” which represents the “components of the European Benchmark Indices”, and 999 “additional securities less liquid to the Liquid 271”. These seem to be traded on its dark book – in which case why does Turquoise show any volume on the FTSE 250?

It all seems a bit over complicated to me but if anyone can shed any more light on the subject please let me know.