European Equities LiquidityMatrix July 2019

The summer slowdown hit Europe’s equity markets during July as total average daily trading volumes fell by 15% to €53bn. Activity on most venues moved in line with overall market volumes, but there were some notable exceptions. Dark volumes reached their highest relative level under MiFID II during the month, accounting for 9.6% of all on-exchange activity. Block specialist Liquidnet enjoyed a particularly strong month, with averaged daily notional of €454mn its third-highest in the MiFID II era. Volumes also shifted away from lit MTFs to primary markets during the month, which accounted for 50.1% of all on-exchange activity, their highest level since May 2018. Activity on systematic internalisers (SI) was mixed. While SI activity above the large-in-scale thresholds fell, 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 €1.2bn in average daily notional during July, with Tower Research Capital enjoying a 31% share of the ELP SI market.

TABB Group’s July 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.