European Equities LiquidityMatrix October 2019

Overall daily notional was €62.6bn during October, an increase of 3% month-over-month. However, the depressed nature of equity activity this year continued, with volumes down 13.4% compared to October 2018. There were a couple of volume highlights during the month. ELP SI daily notional volume among the firms in our universe reached a record level of €1.5bn. This was driven by a significant uptick in volumes from XTX Markets, which became the largest ELP SI during the month. Overall, ELP SIs accounted for 2.4% of overall volume during the month, the same figure as September. Dark MTF volumes also took a jump during the month, with daily notional of €4.4bn, up 26% on September. Dark MTFs accounted for 10.4% of on-exchange market volume, a record high by our estimates under MiFID II. Dark block daily notional increased 55% to €1.7bn, also a record figure.

TABB Group’s October 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.