LiquidMetrix Research to Sample Market Quality Report

What are LiquidMetrix 'Market Quality' Reports?

The LiquidMetrix Market Quality Reports give detailed breakdowns of traded shares, spreads, depths and other 'market quality' comparisons showing the relative performances of European Exchanges. The reports can be generated from within the LiquidMetrix WorkStation for European indices and individual European stocks. Click on the link to the right to download some sample reports for a recent trading month.

To see more reports send an email to liquidmetrix@if5.com to request a trial login for the LiquidMetrix WorkStation.
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Example Market Quality Report – October 2009

To illustrate the content in the LiquidMetrix reports, here is a recent sample, with some commentary, of the IFS LiquidMetrix Market Quality Report for the FTSE-100 index for the calendar month of October 2009.

Basic Market Share

The table below shows the split of on-book trading volumes for all FTSE-100 stocks. For October 2009, the primary exchange (LSE) has around 60% market share, CHIX 24% and BATS/TRQX 6-8% each. The chart to the right shows the total absolute trading value each day for each venue as a stacked bar.
Basic Market Share Table
Basic Market Share Chart

Intraday Spreads

We rebuild and measure full depth order books every 30 seconds for all instruments on all venues every trading day. Using these re-built books we calculate basic spreads (simple best offer price - best bid price) as well as depth weighted spreads based on matching different order sizes up or down the book. The graph to the right shows the average simple spreads on different trading venues at different times of the trading day for the FTSE-100 averaged over October 2009 Some general points:
  • Apart from the first half hour trading, CHIX has lower 1 contract spreads than LSE throughout the trading day. This contrasts with September when the two venues were more or less equal
  • The 'Bump' for LSE at 10:00-10:30 relates to EDSP auction period (derivative expiries) that occur the 3rd Friday of each Month
  • BATS becomes slightly more competitive in the late afternoon, equaling LSE
Intraday Spreads Chart

Depth

We measure 'market depth' by totaling up the value in Euros of all visible orders (bids and offers) in the order book on each venue within 0.5% of the mid price. This gives an indication of the typical size of single aggressive order that could be sent directly to a market and guarantee a reasonable average matched price. The graph to the right shows the intraday values of this depth averaged over the stocks of the FTSE-100 for October 2009 Some general points:
  • LSE has a significantly 'deeper' visible book at this depth than the MTFs, average depth within 0.5% of mid price for the LSE ranges from about 1.5M EUR in the morning to up to 3M EUROS in the afternoon
  • CHIX has a clear second place and is significantly ahead of the other MTFs
  • BATS although significantly behind CHIX still manages to improve relatively over the TRQX and NURO in the afternoon
Depth Chart

Individual Trade Sizes

Here we show the average 'size' of individual trades (in GBP) at different times of the day for different venues. Some general points:
  • LSE has a much larger average trade size than the MTFs
  • Apart from a marginal increase at start and end of day, trade sizes are pretty consistent throughout the day
Individual Trade Sizes Chart

Value Traded

Here we show the average value traded at different times of the day. Some general points:
  • Volumes on all venues are higher morning and afternoon, lowest around lunchtime
  • The Primary (LSE) does particularly well relatively in the first half hour of trading
  • The MTFS do much better relative to the primary in the afternoons specifically after US open (2:30)
Value Traded Chart

Daily Trends

We include a number of daily charts in the report to show what market wide or venue specific trends may be occurring in statistics within the month, examples are shown below. Some general points:
  • Average simple 1 contact spreads for the FTSE-100 as a whole were relatively stable during September with the best venues (LSE/CHIX) offering around 6-9 BPS.
  • Order book depths in the two deepest markets (LSE and CHIX) rose somewhat in the early to middle part of the month and tailed off towards the end of the month.
Daily Value Traded Chart Daily Spread Chart Daily Deal Size Chart
Daily 10K EUR Spread Chart Daily Liquidity Chart Daily 25K EUR Spread Chart

Disclaimer

The information contained within this website is provided for information purposes only. IFS will use reasonable care to ensure the accuracy of the information within this site. However, IFS will not be held liable for any errors in the information provided within this website or for accuracy or completeness of the information, or for delays, interruptions or omissions therein, any difficulties in receiving or accessing the website and/or for any loss direct or indirect (including without limitation, loss of profits or consequential loss and indirect, special or consequential damages) howsoever arising and whether or not caused by the negligence of IFS, its employees or agents. The information contained within this site may be changed by IFS at any time.

The information available within this website may include ‘Evaluations’ which are not reflections of the transaction prices at which any securities can be purchased or sold in the market but are mathematically derived approximations of estimated values. Nevertheless, reference may sometimes be made to Evaluations as pricing information, solely for convenience or reference. Evaluations are based upon certain market assumptions and evaluation methodologies reflected in proprietary algorithms and may not conform to trading prices or information available from third parties. No liability or responsibility is accepted (and all such liability is hereby excluded) for any information or ‘Evaluations’.

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