Fragmentation comes in different forms which makes filtering the data an endless source of entertaining insights and relevant information for those who care about this sort of thing.
There was a(nother) big index rebalance last Friday. Looking at all European venues and mechanisms (Lit Continuous, Auctions and Dark), we can see the traded volume shift towards the closing auction during these events.
Looking at UK blue chips it is just as pronounced. Zooming in on the primary market, we begin to see the potential impact on continuous liquidity throughout the day (compared to a single print!).
Looking further down the market cap at UK blue chips, the same applies, maybe more so.
Finally, looking at a feature stock of the day Burberry ………blimey!!
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