Had a couple of productive (and fun) days at title="TradeTech Europe 2010"

href="http://www.wbresearch.com/tradetecheurope/home.aspx"

target="_blank">TradeTech Europe last week. The

Fidessa airship flying round the exhibition hall served as a good

reminder to everyone that the switch by the

href="http://www.londonstockexchange.com/home/homepage.htm"

target="_blank">LSE Group onto its spangly new title="Millennium Exchange"

href="http://www.londonstockexchange.com/traders-and-brokers/products-services/millennium-exchange/millennium-exchange-migration/millennium-exchange-migration.htm"

target="_blank">Millennium Exchange platform is fast

approaching. This new matching engine will also be powering the

LSE's own MTF,

href="http://www.tradeturquoise.com"

target="_blank">Turquoise, which will be going live

ahead of the

href="http://www.londonstockexchange.com/home/homepage.htm"

target="_blank">LSE main market in

September.

Last week also saw the title="LSE Group"

href="http://www.londonstockexchange.com/home/homepage.htm"

target="_blank">LSE Group introduce a revised

pricing scheme that aims to support the HFT community. title="BATS" href="http://www.batstrading.co.uk/"

target="_blank">BATS moved quickly to try and shoot

holes in this by pointing out that it was only a few months ago

that the

href="http://www.londonstockexchange.com/home/homepage.htm"

target="_blank">LSE ditched a similar scheme in

favour of the wholesale trading community. Whilst title="BATS" href="http://www.batstrading.co.uk/"

target="_blank">BATS may well have a point, it seems

to me that every business is perfectly entitled to amend and

change its business model as it sees fit. In fact, the title="LSE"

href="http://www.londonstockexchange.com/home/homepage.htm"

target="_blank">LSE was often criticised in the past

for not moving quickly enough in terms of introducing new

initiatives or reacting to market changes. Now that it is

prepared to be a more nimble player, it becomes a far more

formidable participant in the battle for European

liquidity.

A quick look at the title="Fragulator"

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

target="_blank">Fragulator, however, shows just how

high the stakes are.

href="http://fragmentation.fidessa.com/stats/stock/PRU.L.html"

target="_blank">Prudential and

href="http://fragmentation.fidessa.com/stats/stock/ABF.L.html"

target="_blank">A. B. Food were the two most

fragmented

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

target="_blank">FTSE 100 stocks last week.

Market Share by Venue - A.B. Food (week ending

23 April)

href="http://fragmentation.fidessa.com/wp-content/uploads/abf-lit-23-april2.png"> class="alignnone size-medium wp-image-1095"

title="abf-lit-23-april2"

src="http://fragmentation.fidessa.com/wp-content/uploads/abf-lit-23-april2.png"

alt="" width="290" height="140" />

More interesting still is the fact that nearly 5% of

href="http://fragmentation.fidessa.com/fragulator/?fim=ABF.L"

target="_blank">A.B. Food stocks were traded on dark

venues last week. The importance of effectively navigating dark

liquidity was made by

href="http://instinet.com/index.jsp"

target="_blank">Instinet's own title="Richard Balarkas"

href="http://www.instinet.com/includes/index.jsp?thePage=/AboutInstinet/management/balarkas.html"

target="_blank">Richard Balarkas during his

TradeTech presentation. This is particularly important because,

counter to what the chaps at MiFID would have you believe, the

difference in order size between lit and dark trade sizes

isn't actually that great (the average trade size for

href="http://fragmentation.fidessa.com/fragulator/?fim=ABF.L"

target="_blank">A.B Food last week was 510 for lit

and 651 for dark). What this means is that the interaction of lit

and dark trading is going to become a key stronghold as both

types of venue seem to be covering pretty much the same territory

in terms of order size.

Whatever the outcome,

the events of last week were a good example of the old axiom that

all's fair in love, war and liquidity.