October 2012 - LiquidMetrix European Battlemap Report

Transcription

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LiquidMetrix
FTSE -100 BATTLEMAP
October 2012
October 2012 Highlights
The MTFs gained market share at the expense of LSE.
Spreads tightened slightly at touch and for larger deals.
On-book liquidity increased top of the book on LSE but remained largely the same on
CHI-X, Turquoise and BATS. At 50 BPS depth liquidity increased on all venues.
At touch CHI-X continues to quote best prices most often ahead of LSE though 79% of the
time there are price ties. For larger deals LSE continues to lead the table ahead of CHI-X.
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CAC-40 BATTLEMAP
October 2012
The MTFs gained market share at the expense of Euronext.
Spreads tightened at touch on CHI-X, BATS, Turquoise and Euronext. For larger deal sizes
spreads tightened on CHI-X and BATS but widened slightly on Euronext and Turquiose.
CHI-X now offers the tightest spreads at touch ahead of Euronext.
On-book liquidity increased compared to September on Euronext and BATS but fell on
CHI-X and Turquoise.
CHI-X now offers best prices most often at touch. Euronext continues to offer best prices
for larger deals.
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AEX-25 BATTLEMAP
October 2012
The MTFs gained market share compared to September at the expense of Euronext.
Spreads tightened across most venues both at touch and for €25,000 deal sizes. CHI-X
continues to offer the tightest spreads at touch, just ahead of Euronext.
On-book liquidity increased on Euronext and TOM at the top of, and deeper into, the book
but fell on CHI-X, BATS and Turquoise.
Euronext continues to offer best prices at touch and for €25k deal sizes.
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MIB-40 BATTLEMAP
October 2012
CHI-X, BATS and Turquoise increased market share compared to September, mainly at the
expense of Borsa Italiana.
Spreads tightened both at touch and for €25,000 deal sizes across most venues.
Liquidity increased compared to September on CHI-X, BATS and Borsa Italiana at the top
of the book. At 50 BPS depth liquidity increased on Borsa Italiana and CHI-X but fell
slightly on BATS and Turquoise.
Borsa Italiana continues to offer best prices most often both at touch and for €25k deal
sizes though there are now price ties over 67% of the time compared to under 60% in
September.
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DAX-30 BATTLEMAP
October 2012
CHI-X and BATS increased market share compared to September mainly at the expense of
Xetra.
Spreads tightened on Xetra, CHI-X and BATS both at touch and for larger deal sizes. Xetra
continues to offer the tightest spreads just ahead of CHI-X.
Liquidity increased on Xetra but fell slightly on all other venues at the top of the book. At
50 BPS depth liquidity increased on all venues.
Xetra continues to offer best prices most often at touch and for larger deal sizes. At touch
there are price ties over 63% of the time.
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IBEX-35 BATTLEMAP
October 2012
CHI-X, BATS and Turquoise increased market share compared to September but Bolsa de
Madrid still has just over 90% market share. CHI-X in second place has almost 7% share
followed by Turquoise and BATS.
Spreads tightened across all venues both at touch and for €25k deal sizes except Turquoise
where spreads widened slightly for €25k deal sizes.
Liquidity increased on CHI-X, BATS and Turquoise at the top of the book and at 50 BPS
depth but fell on Bolsa de Madrid.
Bolsa de Madrid offers best prices most often although CHI-X offers best prices at touch
almost 10% of the time and Turquoise nearly 8% of the time.
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OMXS-30 BATTLEMAP
October 2012
CHI-X and BATS gained market share at the expense of OMX Stockholm, Burgundy and
Turquoise.
Spreads tightened slightly on OMX Stockholm, CHI-X and BATS at touch. For larger deal
sizes spreads remained relatively unchanged from September, tightening slightly on BATS.
Liquidity increased on OMX Stockholm and BATS at the top of the book but fell on CHIX, Burgundy and Turquoise. Deeper into the book liquidity increased on all venues except
Burgundy.
CHI-X continues to offer the best prices at touch, followed closely by Burgundy though
there are price ties 87% of the time.
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OMXH-25 BATTLEMAP
October 2012
CHI-X, BATS and Turquoise gained market share compared to September mainly at the
expense of OMX Helsinki.
Spreads tightened on most venues at touch but widened slightly on Turquoise. For larger
deal sizes spreads tightened on all venues except BATS.
On-book liquidity increased on all venues at the top of the book except Turquoise. Deeper
into the book liquidity increased on all venues.
OMX Helsinki continues to quote absolute best prices most often both at touch and for
€25k deal sizes though there are now price ties almost 75% of the time compared to just
under 70% in September.
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OMXC-20 BATTLEMAP
October 2012
CHI-X, BATS and Burgundy gained slight market share mainly at the expense of OMX
Copenhagen.
Spreads tightened on most venues both at touch and for €25k deal sizes.
On-book liquidity increased on all venues both at the top of the book and deeper into the
book except on Turquoise were liquidity fell deeper into the book.
OMX Copenhagen continues to offer best prices most often, at touch and for larger deals
though there are price ties at touch over 70% of the time.
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OBX BATTLEMAP
October 2012
CHI-X, Nasdaq OMX and BATS increased market share compared to September, mainly at
the expense of Oslo Bors.
Spreads tightened on Oslo Bors, BATS and Turquoise at touch. For larger deal sizes
spreads tightened on CHI-X and Burgundy. Oslo Bors offers the tightest spreads ahead of
Nasdaq OMX.
Liquidity increased on CHI-X and Burgundy at the top of the book but fell on all other
venues. At 50 BPS depth liquidity increased on Oslo Bors and Burgundy.
Oslo Bors continues to quote best prices most often at touch and for larger deals.
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SMI-20 BATTLEMAP
October 2012
The MTFs gained market share compared to September at the expense of the SIX.
Spreads tightened on all venues except Quote MTF both at touch and for €25,000 deal
sizes. SIX continues to offer the tightest spreads for the SMI-20.
Liquidity increased at the top of, and deeper into the book on SIX and Quote MTF but fell
on all other venues.
SIX continues to quote best prices most often at touch and for larger deals, though there are
price ties almost 80% of the time at touch.
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Battlemap Methodology (the small print)
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ATX-20 BATTLEMAP
October 2012
Turquoise, CHI-X and BATS gained market share at the expense of Wiener Borse which
now has less than 70% market share.
Spreads tightened on all venues at touch and for €25,000 deal sizes.
On-book liquidity increased on all venues at the top of the book. At 50 BPS depth liquidity
increased on CHI-X and Turquoise but fell on Wiener Borse and BATS.
Wiener Borse continues to offer best prices most often for the ATX, although CHI-X offers
best prices almost 15% of the time at touch and Turquoise over 10% of the time.
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Market Share
Market shares are based on the relative notional trading values of all trades executed 'on book'. We count all on book trades during normal
trading hours. We also include the uncrossing trades of on-book auction periods and 'Dark' or 'Hidden' order types on lit venues. We
exclude all off-book 'reported' trades (so venues such as XPLU and BOAT don't feature in the battlemaps).
We treat instruments as fungible if they have the same ISIN and currency. For some indices, i.e. AEX or CAC we count more than one listed
instrument on the MTF venues as the same instrument when accessing volumes.
Spreads
‘At touch’ spreads
To calculate spreads we first replay order books and measure the best bid and offer prices every 30 seconds. The 'spread' is the difference
between bid and offer prices divided by mid price. This is then converted to basis points (0.01%).
Where a book is empty or one sided or where the spread is very large (>200BPS), we mark that data value as 'bad' and assign a default
spread of 201BPS for averaging purposes. If more than 10% of values are 'bad' for a venue then we exclude that venue from the results and
show 'n/a'. The spread statistic we report for an instrument for a given venue is the average of all 30-second measured spreads over the
period analysed.
The spread we report for an index is the average of the individual instrument spreads weighted by the traded volume of each instrument.
'Depth Weighted Spreads' - i.e. 25K EUR Spread
For a depth weighted spread, instead of measuring the simple best visible bid and offer in the order book, we 'match' a deal of a certain size
up or down the best bids/offers available in the book until the deal size is fully matched.
So, for instance, if the best bid price in a book is 1.00 EUR with volume 20,000 and the next best bid is 0.99 EUR with volume 100,000 then
the depth weighted 25,000EUR bid price is ((1.00*20,000)+(0.99*5,000)) / 25,000 = 0.998 EUR.
Apart from this initial step of finding depth weighted bids and offers, the methodology for the rest of the calculation of the depth weighted
spreads is the same as for the 'Simple' spread.
Book Depths
To calculate depths we replay order books and measure the total value (i.e. price*volume) of all visible bids and offers within 'X' Basis Points
of the mid price every 30 seconds. The value quoted for depth is then the average of these 30-second values over the period.
So, for example, if the mid price of a stock is 5.00 EUR, the '50BPS liquidity' figure will measure the total value of all bids and offers in the
order book with prices between 4.975 and 5.025.
For indices the liquidity value quoted is the average of the depths of all the constituents of the index.
Best Prices
'At Touch'
For this statistic we simultaneously replay all order books for an (ISIN, CCY) instrument for all venues on which it trades. Then, every 5
seconds we look at the best bid prices on all venues and see if there is either a single 'winning venue' with the absolute best bid price or a
tie. Once this is done for a complete trading day we record the percentage of time each venue has the absolute best price. Although we
measure this separately for bids and offers, we generally average the results over the bids and offers when reporting.
These percentages do not add up to 100%! For instance, say the percentages are (LSE 20%, CHIX 20%, TRQX 10%, BATE 8%, NURO 5%). This
would imply that (100-(20+20+10+8+5)) = 37% of the time there was a 'tie' for the best price in the market and no one venue was 'best'. The
other 63% of the time a single venue had the best price.
'Depth Weighted Best Prices'
-
For depth weighted best prices, instead of using the best bid or offer price in the book, we 'match' up or down the book to get
weighted bid and offer prices for different size deals [same methodology as for depth weighted spreads, see above]. Apart from this
way of determining the best bid and offer prices, the rest of the methodology for determining the At Best Percentages using depth
weighted measures means that the volumes available at the best price and also the prices and volumes below the best price come
into play.
The spread we report for an index is the average of the individual instrument spreads weighted by the traded volume of each instrument.

October 2012 - LiquidMetrix European Battlemap Report

Transcription

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