Less haste more speed – 8 April 2010
First Published Thursday, 8th April 2010 02:06 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.
Quite a lot has been written over recent
href="http://fragmentation.fidessa.com/stats/exchange/LSE.html"
Exchange's market
share and last week helped to clarify some of the issues. Prior
href="http://fragmentation.fidessa.com/stats/exchange/LSE.html"
enjoyed a temporary boost in volumes driven by the triple
witching hour on March 19th when many traders go to the
href="http://fragmentation.fidessa.com/stats/exchange/LSE.html"
order to cover their equity options positions. But this was just
a small kink in the underlying trend which shows the
href="http://fragmentation.fidessa.com/stats/index/UKX.html"
100 stocks seemingly on a
never ending incline. The winners last week were, of course,
href="http://fragmentation.fidessa.com/stats/exchange/CIX.html"
href="http://fragmentation.fidessa.com/stats/exchange/BTE.html"
Europe is also steadily moving
up the rankings and accounted for just over 10% of the
href="http://fragmentation.fidessa.com/stats/index/UKX.html"
100.
To be
fair, it probably makes sense to add the title="Turquoise"
href="http://fragmentation.fidessa.com/stats/exchange/TRQ.html"
target="_blank">Turquoise
volume back to the title="http://fragmentation.fidessa.com/stats/exchange/LSE.html"
href="http://fragmentation.fidessa.com/stats/exchange/LSE.html">LSE
as they are now its majority owners but, nevertheless, the trend
appears to be almost irreversible. Further
analysis, however, shows that this might not be the case. Instead
of looking at actual market share take a look at average trade
size and value. Last week both the title="http://fragmentation.fidessa.com/stats/exchange/LSE.html"
href="http://fragmentation.fidessa.com/stats/exchange/LSE.html">LSE
href="http://fragmentation.fidessa.com/stats/exchange/CIX.html"
executed nearly the same number of trades in
target="_blank">FTSE 100 stocks (just over 1.1
million each) yet the average trade size and value of the
title="http://fragmentation.fidessa.com/stats/exchange/LSE.html"
href="http://fragmentation.fidessa.com/stats/exchange/LSE.html">LSE
trades was over twice those on title="http://fragmentation.fidessa.com/stats/exchange/CIX.html"
href="http://fragmentation.fidessa.com/stats/exchange/CIX.html">Chi-X.
The difference in trade size was even greater between the
title="http://fragmentation.fidessa.com/stats/exchange/LSE.html"
href="http://fragmentation.fidessa.com/stats/exchange/LSE.html">LSE
href="http://fragmentation.fidessa.com/stats/exchange/BTE.html"
The
newer venues appear to have been successful in attracting smaller
order sizes which, typically, are associated with larger orders
that have been sliced and diced algorithmically or generated by
the high frequency players. Given that the average order size in
href="http://fragmentation.fidessa.com/stats/index/UKX.html"
100 stocks has fallen
href="http://fragmentation.fidessa.com/stats/exchange/CIX.html"
href="http://fragmentation.fidessa.com/stats/exchange/BTE.html"
have been especially successful in appealing to these market
participants. To play in this game, of course, you need to be
able to offer a very fast matching platform. It makes perfect
sense, then, that the title="http://fragmentation.fidessa.com/stats/exchange/LSE.html"
href="http://fragmentation.fidessa.com/stats/exchange/LSE.html">LSE
is going full steam ahead to implement its new low-latency
Exchange, in
September.
On a
separate note, I took part in a lively debate at
href="http://www.quorum15.com/events.php?sid=28"
target="_blank">Q15's London Service
last week. One of the big themes for discussion was the
continuing dissatisfaction amongst buy-side firms trying to
achieve best execution within Europe's fragmented markets. Seems
there's still a way to go yet in meeting this
challenge.
