Index Fragulation – 3 November 2009
First Published Tuesday, 3rd November 2009 03:06 pm from Fidessa : Fidessa
The opinions expressed by this blogger and those providing comments are theirs alone, this does not reflect the opinion of Automated Trader or any employee thereof. Automated Trader is not responsible for the accuracy of any of the information supplied by this article.
Following a number of requests the boys in the Labs have
now added the ability to fragulate entire indices, not just
stocks. To do this you can either click the abacus icon next to
each index on the main site or select them directly from the
This helps provide another dimension to understanding
what's really going on in Europe. I've been having an
initial fragulate comparing different date ranges across various
indices and have come up with some interesting facts:
target="_blank">FTSE 250 total markets (i.e. lit and
dark) has almost halved in just a year from 62% to 35%.
target="_blank">BATS Europe has managed to get
nearly 5% market share of the total liquidity (lit and dark) in
the FTSE 100.
Average trade value on the title="DAX"
target="_blank">DAX has fallen from €34,000 to
€15,000 in the last 18 months.
title="SIX Swiss Exchange"
target="_blank">SIX Swiss Exchange's share
of the SMI has fallen by 10% in the past twelve months.
There is increasing convergence of trade sizes between
the lit and dark categories on nearly all stocks and
Perhaps most interesting of all is
the growth in non-lit volumes (dark, OTC and SI) and this
highlights how the market needs greater transparency in
reporting. It seems unfair that the areas that are growing at the
fastest rate have the least obligation to report their activities
clearly, concisely and in a timely manner. Anyway, have a title="Fragulator"
target="_blank">fragulate of your own and let me
know what results you manage to come up with.
On a different note, thanks to Helle Søby
Thygesen who invited me to participate at an event for the title="Danish Securities Traders Association"
target="_blank">Danish Securities Dealers
Association in Copenhagen last week. The event was
packed and the conclusion reached was that the Nordic markets
show all the same signs of fragmenting as their European
counterparts. The real question is whether the trading community
is ready in terms of making the necessary investment in
And finally, it's nice
fragmentation and will be simplifying its clearing
structure to allow easier access by MTFs. This highlights another
at the Copenhagen event. Karel was explaining how the next round
of legislation from Europe will be armed with real teeth and that
the new regime will be far more rules based than the principles
based approach we have witnessed up to now. Karel even went on to
say that we will end up with a single European style title="FSA" href="http://www.fsa.gov.uk/"
target="_blank">FSA to enforce all this regulation
on every country. Let's just hope the guys making the
decisions avoid the ready, fire, aim approach that seems to have
characterised their approach so far.