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

href="http://fragmentation.fidessa.com/fragulator"

target="_blank">Fragulator™ page.

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:

The LSE's share of the

href="http://fragmentation.fidessa.com/stats/index/UKX.html"

target="_blank">FTSE 100 and

href="http://fragmentation.fidessa.com/stats/index/MCX.html"

target="_blank">FTSE 250 total markets (i.e. lit and

dark) has almost halved in just a year from 62% to 35%.

In just 12 months

href="http://fragmentation.fidessa.com/stats/exchange/BTE.html"

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"

href="http://fragmentation.fidessa.com/stats/index/DAX.html"

target="_blank">DAX has fallen from €34,000 to

€15,000 in the last 18 months.

title="SIX Swiss Exchange"

href="http://fragmentation.fidessa.com/stats/exchange/VTX.html"

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

indices.

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"

href="http://fragmentation.fidessa.com/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"

href="http://www.dbmf.dk/content/us/about_dbmf"

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

technology.

And finally, it's nice

to see that

href="http://www.ft.com/cms/s/0/6d223bd0-c4ab-11de-8d54-00144feab49a.html"

target="_blank">Spain now gets the joke with regard to

fragmentation and will be simplifying its clearing

structure to allow easier access by MTFs. This highlights another

point made by Karel Lannoo, CEO of the

target="_blank">Centre for European Policy Studies,

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.