European Equities LiquidityMatrix August 2019

As is custom during Europe’s summer months, equity trading slowed during August, with total average daily trading volumes hovering around the €57 billion, down about 15% on year-to-date levels. In terms of execution venues, the market assumed something of a steady state during the month. Dark volumes, which had reached their highest relative level under MiFID II during July, came back down during August, accounting for 8% of all on-exchange activity. Activity on systematic internalisers (SI) was mixed. While SI activity above the large-in-scale thresholds continued to fall, SI volumes below the LIS thresholds remained stable. The combined volumes of the six SIs run by electronic liquidity providers (ELPs) that report to TABB Group was €1.24 billion in average daily notional during August, with Tower Research Capital enjoying a 30% share of the ELP SI market.

TABB Group’s August European Equities LiquidityMatrix™ breaks down the market share for each major equity execution channel, including lit venues, dark MTFs, block venues, periodic auction books and systematic internalisers.