European Equities LiquidityMatrix March 2019

Author(s):
Tim Cave
Date:
April 15, 2019
Research Type:
Liquidity Matrix
Executive Summary

Overall, European equities volumes were down 14% during the first quarter of 2019 versus the same period in 2018. As volumes dwindled, alternative sources of liquidity – including dark pools, systematic internalisers and periodic auctions – became more important. Volumes on dark MTFs increased during the first quarter and accounted for 7.9% of total order book volume in March. Activity on periodic auctions also increased, with average daily notional traded through the platforms totaling €975 million in March 2019, compared with €960 million in February 2019. The venues accounted for 2.2% of total order book trading during the month. Activity on systematic internalisers also picked up, following a fall in the second half of last year. Much of this is being driven by the growth in SI activity beneath the large-in-scale (LIS) thresholds by electronic liquidity providers. The combined volumes of the six SIs run by electronic liquidity providers that report to TABB Group reached €1.5 billion in average daily notional during March, accounting for 50% of addressable SI volume below the LIS thresholds.

All these changes and more are covered in the March 2019 edition 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.

Areas of Interest
  • Equities
  • European Equities
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