Analysis | Market fragmentation Spreads at touch Q3 2012 (change on Q2 2012)
FTSE 100
Primary CHIX BATE TRQX BURG QMTF XEQT XHFT
2 1
3
7.35 -0.22 5.81 2
1 6.96 -0.22
9.21 0.02 8.65 -0.38
9.24 -2.10
40.92 -50.82 32.08 32.86
-1.41
Spreads at touch illustrate the competitive landscape of the MTFs with regional differences in performance. We can see Chi-X offering the best spreads on London, but Burgundy being the most competitive on OMX Stockholm.
Spreads at €25,000 Q3 2012 (change on Q2 2012) FTSE 100
CAC
Primary CHIX BATE TRQX BURG QMTF XEQT XHFT
1 2
3
8.94 -0.44 6.61 2
1 9.75 -0.30
21.3 2.01 16.21 0.74
17.08 -2.01
42.83 -69.61 65.62 29.8
-4.81
For a larger deal size of €25,000, the results are predictably highlighting the greater volumes available on the Primary venues. Chi-X ranks consistently in second place, supporting their position as the MTF with significant market share across most markets.
7.05 19.75 -9.55 71.05 12.34 51.76 -16.48
Turquoise ranks in third position also consistently across all Indices. Spreads for larger deal sizes have also tightened on FTSE and CAC indices but generally widened on other European indices.
3 9.42
-0.72 6.31 2
1 -0.35
19.93 0.53 13.79 0.36
3 8.06 DAX 0.19
20.08 -0.42 15.49 2.81
0.19 11.64
1 2
3 8.60 53.42 -29.20 90.65 3.98 47.36 8.14
What is also interesting is Turquoise ranked as second on the SMI best bid / offer spread, just ahead of Chi-X. Touch spreads have tightened slightly on FTSE and CAC but widened on SMI, MIB and OMX Stockholm.
3 6.18 11.12 CAC
-0.46 5.14 2
1
-0.31 -0.42
8.05 -0.70 3 5.67 DAX 0.00
10.2 -1.20 8.34 0.27
0.06 10.39
1 3
2 SMI 8.71 0.35
11.72 0.45 10.15 0.18
0.46 15.65
1 2
3 MIB 11.96
0.40 1.61
22.06 2.04 21.82 -0.30
1
2 3
OMX-S
10.37 10.73 12.17 11.41 10.19 11.76
0.24 0.79 0.18
-0.01 0.22
-0.28
SMI 9.17 0.40
13.79 0.34 12.1 0.23
0.59 25.42
1 2
3
MIB 13.69
0.18 3.53
39.01 2.50 28.09 1.39
1 2
3
OMX-S
11.18 13.67 18.79 16.76 18.24 22.04
0.19 0.76 0.49 1.26 1.69 0.41
66
Best Execution | Autumn 2012
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