12 Days of Trading – Day 3 of 12: Liquidity vs Turnover

We have demonstrated in previous posts that there is a correlation between spreads and market share. The venue with the highest turnover tends to have the best prices. However, as the regulators keep reminding us, best execution should factor in liquidity as well as price. In the chart today we take a look at one European market and find that the rankings for turnover do not always match the rankings for available liquidity at the touch across the anonymised venues.

Our Liquidity Cockpit allows the identity of these venues to be revealed to enable you to ask if you are sourcing the best liquidity, at the best price, by market, by venue, by index or at stock level.

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On our 12 Days of Trading

As the year draws to a close we have been asked by clients to repeat our festive exercise on the 12 days leading up to the holidays. As a result, you will find a post to a different 2019 big-xyt observation each day.  We look and highlight trends since the introduction of MiFID II with a focus on this year’s changes or events.

We hope you enjoy them.

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This content has been created using the Liquidity Cockpit API.

About the Liquidity Cockpit

At big-xyt we take great pride in providing solutions to the complex challenges of data analysis. Navigating in fragmented markets remains a challenge for all participants. We recognise that the investing community needs and expects continued innovation as the volume of data and related complexity continues to increase.

Our Liquidity Cockpit is now recognised as an essential independent tool for exchanges, Sell-side and increasingly Buy-side market participants. Data quality is a key component, as is a robust process for normalisation so that like-for-like comparisons and trends over time have relevance. However, our clients most value a choice of flexible delivery methods which can be via interactive dashboard or direct access to underlying data and analysis through CSV, API or other appropriate mechanism.

For existing clients – Log in to the Liquidity Cockpit.

For everyone else – Please use this link to register your interest in the Liquidity Cockpit.