European Equities LiquidityMatrix March 2019
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.
- European Equities