Analysis | Market fragmentation
10 11 12
6 7 8 9
01-Jan-12 01-Apr-12 01-Jul-12
Best Bid/Offer spreads narrowed in the second half of 2012 and have remained at relatively low levels in the current quarter.
On Book liquidity continued the increase that started in the Autumn and remains at higher levels than in the same period for 2012.
Primary markets lost some market share to MTFs in Q1 2013. The LSE market share reduction was the greatest at 4.77% decrease from the previous quarters fi gures, with Turquoise gaining over 2% and gains on both Chi-X and BATS of 1%. The exception to the primary decline was SMI which
Market share Q1 2013 (change on Q4 2012) 1
Primary CHIX BATE TRQX BURG QMTF XEQT XHFT
55.65% -4.77 62.97% -2.10 67.26% 2 27.35% 1.17 22.39% 7.81% 8.87%
1 2
3
1.07 2.74
3
4.89% 8.00%
0.03 20.64% -1.94
1 2
0.05% -0.05 0.02% -0.03 0.02% 0.20% -0.16 1.70% 0.07%
0.00
0.01 0.32% 0.02%
DAX -0.15
Q4 2012 Q1 2013
01-Oct-12 01-Jan-13
8.52 8.12
€ €861.85
€960.62 Change -0.40 +€98.77 Based on European fragmented stocks
200 400 600 800 1000 1200
0
Major European indices
gained over 1% market share. There were mixed results for MTFs on other markets with Chi-X losing share on DAX and SMI, but gaining in IBEX. Turquoise gained on all markets. BATS Europe also benefi ted especially on FTSE and DAX.
SMI
0.09 5.82% 0.91 7.34% 0.04 2.98% 0.32 6.93% 3
1 68.42% 2 17.59% 3
0.01 0.06
-2.41 12.84%
1.98 5.93% 1.14 6.58% 1.35 3.26% 1.02 4.39% 0.81 2.10% 3.66% 0.05%
3
0.06% -0.11 0.01% -0.01 0.31%
-0.05 -0.01
LiquidMetrix are pioneers in the measurement of European fragmented markets, and provide research, best execution and TCA analysis for fi nancial market participants and regulators –
www.liquidmetrix.com
Best Execution | Spring 2013 81 0.00% -0.01
-0.17 7.69% -0.03 1.46% 3
-0.10 -0.04
1.12 80.59% -2.40 2
1 1.11
1 62.06% 2 22.91% 3
-0.47
1 88.75% -1.93 2
1.08 0.31 0.55
Best bid offer spread
10BPS liquidity in € 000’s
Page 1 |
Page 2 |
Page 3 |
Page 4 |
Page 5 |
Page 6 |
Page 7 |
Page 8 |
Page 9 |
Page 10 |
Page 11 |
Page 12 |
Page 13 |
Page 14 |
Page 15 |
Page 16 |
Page 17 |
Page 18 |
Page 19 |
Page 20 |
Page 21 |
Page 22 |
Page 23 |
Page 24 |
Page 25 |
Page 26 |
Page 27 |
Page 28 |
Page 29 |
Page 30 |
Page 31 |
Page 32 |
Page 33 |
Page 34 |
Page 35 |
Page 36 |
Page 37 |
Page 38 |
Page 39 |
Page 40 |
Page 41 |
Page 42 |
Page 43 |
Page 44 |
Page 45 |
Page 46 |
Page 47 |
Page 48 |
Page 49 |
Page 50 |
Page 51 |
Page 52 |
Page 53 |
Page 54 |
Page 55 |
Page 56 |
Page 57 |
Page 58 |
Page 59 |
Page 60 |
Page 61 |
Page 62 |
Page 63 |
Page 64 |
Page 65 |
Page 66 |
Page 67 |
Page 68 |
Page 69 |
Page 70 |
Page 71 |
Page 72 |
Page 73 |
Page 74 |
Page 75 |
Page 76 |
Page 77 |
Page 78 |
Page 79 |
Page 80 |
Page 81 |
Page 82 |
Page 83 |
Page 84 |
Page 85 |
Page 86 |
Page 87 |
Page 88 |
Page 89 |
Page 90 |
Page 91 |
Page 92 |
Page 93 |
Page 94 |
Page 95 |
Page 96 |
Page 97 |
Page 98 |
Page 99 |
Page 100