ASX Centre Point Liquidity Report February 2018
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1 ASX Centre Point Liquidity Report ASX Centre Point $9.6 billion traded with an average trade size of $3, securities traded in ASX Centre Point with a price improvement of $24.8 million $533 billion matched in ASX Centre Point since inception - $1,128 million of price improvement Centre Point Block $6.1 billion traded, $4.2billion as single fill MAQ ASX Sweep $28.8 billion traded with Centre Point Sweep orders ($630m matched in ASX Centre Point) Dark Limit $628 million traded Top 5 Centre Point Block Stocks Top 5 Centre Point Sweep Stocks ASX CODE TLS BHP S32 RIO CBA 245,590, ,636, ,257, ,327, ,574,385 ASX CODE RIO 84,914,589 CBA 81,181,915 BHP 76,026,827 CSL 67,563,473 WOW 54,123,972 ASX Centre Point Traded Value, $bn ASX Centre Point - % of Traded Value 100% % % 70% 60% 50% 40% 30% 20% 10% % Value Traded Number of Trades Dark Limit Preference Matching Centre Point Block Orders Single Fill MAQ Centre Point Sweep ASX Centre Point Orders
2 Top 50 Stocks by Value AMP 9.7 4,767 4,475 4,484 3,987 3,240 4, , RIO QAN SGP 4,192 3, MPL TAH 4,915 4, TCL BLD 3,507 3, ,793 2,527 5,098 3,399 5,289 4,743 3,159 4,079 2,795 2,839 3,286 3,777 3, ($M) AVERAGE TRADE SIZE PRICE IMPROVE [BPS] 3,473 3,274 2,406 4,168 4,207 4,169 3,421 8,700 11,172 4,863 7,549 6, % 6,945 7,165 5,750 5,913 ASX CODE % OF ASX 24.5% 8.4% 7.3% 17.8% 10.1% 8, % TLS ,092 9,241 7,435 4,044 7,990 8, WBC WES FMG NAB WOW BHP CBA S32 CSL WPL SCG MGR JHX VCX EVN MQG ANZ A2M IAG AMC NCM TWE GMG SHL SYD BSL QBE WFD GPT AGL ALL DMP WHC AZJ LLC BXB SUN ORG JHG STO 7.7% 12.5% 15.6% 24.1% 21.9% 24.9% 22.0% 17.2% 5.8% 10.2% 19.1% 15.0% 16.8% 6.8% 11.9% 10.0% 1% 10.3% 13.8% 22.4% 9.7% 18.6% 23.5% 16.3% 15.1% % 13.6% 15.2% 1% 12.9% 16.2% 17.1% 14.4% 13.5% 10.1% 10.4% 16.9% 9.0% 7.8% 11.4% 13.1% 17.7% 19.7% MIN ,897 ASX Centre Point Liquidity Report
3 Centre ASX Centre Point Point Liquidity Liquidity Report Report Top 50 Participants by Value RANK PARTICIPANT PRICE IMPROVE PRICE IMPROVE AVERAGE NAME ($M) ($) (BPS) TRADE SIZE UBS Merrill Lynch Deutsche Macquarie Insto Morgan Stanley Citigroup JPMorgan Credit Suisse Goldman Sachs ABN AMRO Clear Commonwealth OpenMarkets InstinetNomura ITG Aust. CLSA Virtu Financial Evans & Partner Bell Potter Morgans Eclipse HK MM Macquarie Retai Susquehanna Wealthhub Sec Taylor SILA Shaw Pershing Ord Minnett BTIG AIEX Wilsons Hartleys Euroz Morgan Stnly WM Metark Trading Canaccord RBC Securities Moelis Sec Baillieu Patersons State One Stock FinEx CCZ Statton CMC Markets Third Party Phillip Capital Liquid Capital Ascot Petra Capital D2MX Pty Ltd 2, ,837, ,852 2, ,298, ,750 1, ,690, ,207 1, ,579, ,067 1, ,171, ,678 1, ,240, , , , , , , , , , ,206, , ,107, , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , ,137
4 ASX Centre Point Liquidity Report Top 20 ASX Centre Point trades by traded value RANK ASX DATE VOLUME % ADV* PRICE VALUE BEST CODE ( ) ($) BID 1 SRX 2 SCG 3 AAA 4 JHX 5 SRX 6 VCX 7 WPL 8 SCG 9 SCG 10 WBC 11 AMC 12 ACX 13 WPL 14 BHP 15 TCL 16 JHX 17 RIO 18 ACX 19 TLS 20 WSA , % 2, ,294, ,943 49,526 99,500 83, ,698 75, , ,000 66, , ,000 65,000 56, ,000 74,677 23, , , % 59.3% 6.3% 9.5% 6.4% % 4.4% 4.4% 1.2% 2.9% 8.4% % 0.7% 2.3% 4.7% 1.0% 7.6% % 5, , , , , , , , , , , ,967,919 2,482,986 2,327,803 2,289,217 2,224,904 2,154,750 2,136,750 2,136,750 2,102,094 2,029,904 1,931,250 1,875,250 1,768,274 1,748,250 1,747,442 1,740,368 1,731,613 1,672, BEST OFFER , % ,566, PRICE IMPROVE (BPS) 3.6 1, PRICE IMPROVE ($) 3, , , , ,407 1, ,121 2, , Top 20 ASX Centre Point trades by percentage of average daily volume RANK ASX DATE VOLUME % ADV* PRICE VALUE BEST BEST PRICE PRICE 1 PSM 2 ALT 3 LKO 4 MRM 5 BPF 6 RHS 7 IPT 8 CLY 9 ICG 10 MXI 11 BKY 12 CLZ 13 PME 14 TGP 15 RHS 16 AAA 17 CLZ 18 MGX 19 SLR 20 FSF CODE ( ) ($) BID OFFER IMPROVE IMPROVE (BPS) ($) ,000, % , , ,000, % , , ,265, % , ,312, % , ,400, % , , ,000 12% , ,950, % 5 54, , ,800, % , , ,700, % , , , % , , % , ,178, % , , , % , , % , , % , , % 5, ,482, ,788, % , , , % , , , % , , , % , , ,562.50
5 ASX Centre Point Liquidity Report ASX Centre Point: Advanced Order Types Centre Point non-displayed liquidity matched at the midpoint or other permitted price step inside the National Best Bid and Offer (NBBO). Centre Point Block attach a user defined Minimum Acceptable Quantity (MAQ) to your ASX Centre Point order and only execute when the MAQ is satisfied. Helps users source natural block liquidity and protect orders from pinging. Centre Point Any Price Block: Orders can execute at any price at or outside the NBBO subject to meeting the pre-trade transparency block trade tiers. ASX Sweep in one transaction, seamlessly interact with dark liquidity in ASX Centre Point and lit liquidity in ASX TradeMatch. Remaining liquidity rests in ASX TradeMatch. ASX Sweep offers the fastest possible routing between these two liquidity venues for aggressive order flow whilst minimising routing signals and increasing execution Centre Point Preferencing enables users to maximise crossings. Single Fill (MAQ) orders execute only where the MAQ is satisfied by a single, opposing order. Enables users to discover natural block liquidity, minimise information leakage and have some level of control over which counterparties they engage with inside the system. Dark Limit orders execute at any permitted dark price up to your order s limit price. Enables users to leverage price improvement opportunities within the NBBO. ASX Sweep Dual Post simultaneously rest orders in ASX Centre Point and ASX TradeMatch at limit +1/2 tick with no risk of over fill. Further Information For more information on this month's report, please contact: Melissa Cooper Sales Manager Trade Execution & Sales T M E melissa.cooper@asx.com.au Disclaimer: This is not intended to be financial product advice. To the extent permitted by law, ASX Limited ABN and its related bodies corporate excludes all liability for any loss or damage arising in any way including by way of negligence. This document is not a substitute for the Operating Rules of the relevant ASX entity and in the case of any inconsistency, the Operating Rules prevail. ASX Trademarks The trademarks listed below are trademarks of ASX. Where a mark is indicated as registered, it is registered in Australia and may also be registered in other countries. Nothing contained in this document should be construed as being any licence or right to use of any trademark contained within the document. ASX, Centre Point Order, ASX TradeMatch Copyright 2018 ASX Limited ABN All rights reserved For these products the market is operated by ASX Limited ACN
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