European Equities LiquidityMatrix May 2019

Lit venues in Europe’s equity market hit back during May. Collectively, lit order books, traditional opening and closing auctions, and periodic auctions accounted for 69.5% of on-exchange volume in May, their highest level in a year. There were some notable stories within this rise, with the continuous lit order book operated by Aquis Exchange overtaking by value-traded the equivalent market run by rival venue Turquoise for the first time. Activity in closing auctions also reached their fourth-highest level in the MiFID II era, amid a wider shift to the close in Europe. Meanwhile, in the off-exchange market, activity on systematic internalisers stalled, particularly above the large-in-scale thresholds. 

TABB Group’s May 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.