Use this page to monitor the current 'state of play' of Liquidity Fragmentation in Europe.
LiquidMetrix analyses major European indices and ranks the competing trading venues based on trading volumes, spreads, order book depths and the percentage of the time they offer the absolute best European prices. This report is updated weekly. The latest values and rankings are based on last week's data and show the change since the previous week along with a one month trend graph.
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Rules of Engagement

 

UKX Battlemap for the Week 11 Sep 2017

Please select date and index: UKX CAC AEX DAX MIB OMXS30 OMXH25 OMXC20 OBX SMI ATX IBEX35
Market share is based on on-book value traded during continuous trading. The share is calculated by averaging over all stocks in the index. The current value shown is for last week and the change is relative to the previous week. Spreads measure the bid to offer spread of the best visible orders in the book. The result is averaged over the stocks in the index and is based on measurements of the order books every 30 seconds. The value for the spread is quoted in basis points (0.01%). Market depth measures the amount of visible liquidity (bids and offers) in the order book within 10 or 50 BPS of mid price. The result is averaged over the stocks in the index and is based on measurements of the order book every 30 seconds. This is quoted in '000s of EUR. Best Price % measures how often each venue posts an absolute best price (no ties) for stocks. The result is averaged over the stocks in the index and is based on measurements of the order book every 5 seconds.

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There are more detailed reports on Market Liquidity and At Best (who is offering best prices) available online and in the LiquidMetrix WorkStation.

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