European Equities LiquidityMatrix September 2018
Volumes immediately shifted back to dark venues the day after MiFID II’s first set of six-month dark pool caps lifted in mid-September. Dark MTFs accounted for 6.8% of order book volume in September, the highest since February 2018 and up from 5.8% in August. This increase was almost exclusively accounted for by dark MTFs handling orders below block size. The biggest loser was periodic auctions, whose share of order book volumes fell from 2.9% to 2.5% during the month – the first-time growth has stalled on the dark pool-alternatives. Average daily volumes on the four-largest ELP SIs topped €960mn. Tower Research Capital Europe remains the biggest ELP SI of those tracked by TABB.
All these changes and more are covered in the September version of TABB Group’s European Equities LiquidityMatrix™ which provides the industry with breakdowns of market share for each major equity execution channel, including lit venues, dark MTFs, block venues, periodic auction books and systematic internalisers.
- European Equities