IFS FTSE -100 BATTLEMAP LSE and Turquoise gained market share mainly at the expense of CHI-X. Spreads tightened on LSE, CHI-X, Turquoise and BATS at touch. For 25k deal sizes spreads narrowed on all venues except for a slight widening on CHI-X. CHI-X continues to offer the tightest spreads at touch but had wider spreads than LSE for larger deal sizes. On-book liquidity increased at the top of, and deeper into the book. LSE has taken top spot from CHI-X and now quotes best prices most often at touch and for 25k deal sizes, although over 80% of the time there are price ties at touch. Intelligent Financial Systems
IFS CAC-40 BATTLEMAP Euronext and Turquoise gained market share at the expense of CHI-X and BATS. Spreads widened on Euronext, CHI-X and BATS at touch. For larger deals spreads widened on Euronext but narrowed slightly on all other venues. CHI-X now offers the tightest spreads at touch moving back ahead of Euronext into top spot. On-book liquidity increased across all venues compared to February at the top of, and deeper into the book. CHI-X now offers best prices most often at touch, taking back first place from Euronext. Intelligent Financial Systems
IFS AEX-25 BATTLEMAP Euronext and Turquoise gained market share compared to February mainly at the expense of CHI-X. Spreads tightened slightly compared to February on almost all venues both at touch and for 25,000 deal sizes. CHI-X continues to offer the tightest spreads at touch staying just ahead of Euronext. On-book liquidity increased on all venues at the top of the book. Deeper into the book liquidity increased on all venues except TOM. Euronext continues to offer best prices most often at touch and for 25k deal sizes. Intelligent Financial Systems
IFS MIB-40 BATTLEMAP Turquoise increased market share compared to February mainly at the expense of Borsa Italiana and CHI-X. Spreads widened on Borsa Italiana, CHI-X and BATS at touch but tightened on Turquoise. For 25k deal sizes spreads tightened on Turquoise, BATS and Equiduct but widened on Borsa Italiana and CHI-X. Borsa Italiana continues to offer the tightest spreads ahead of CHI-X. Liquidity increased compared to February on Borsa Italiana, Turquoise and Equiduct at the top of the book. At 50 BPS depth liquidity increased on BATS and Equiduct but fell on all other venues. Borsa Italiana offers best prices most often both at touch and for 25k deal sizes. Intelligent Financial Systems
IFS DAX-30 BATTLEMAP Xetra and Turquoise increased market share compared to February, mainly at the expense of CHI-X. At touch and for larger deal sizes spreads widened slightly on Xetra but tightened on CHI-X, Turquoise and BATS. Xetra continues to offer the tightest spreads ahead of CHI-X. Liquidity increased on almost all venues at the top of the book and at 50 BPS depth liquidity. Xetra continues to offer best prices most often at touch and for larger deal sizes. At touch there are price ties almost 63% of the time. Intelligent Financial Systems
IFS IBEX-35 BATTLEMAP CHI-X, Turquoise and BATS increased market share compared to February at the expense of Bolsa de Madrid. CHI-X in second place now has almost 13% share. Spreads tightened on all venues both at touch and for 25k deal sizes. Bolsa de Madrid offers the tightest spreads for the IBEX-35. Liquidity increased on all venues both at the top of the book and at 50 BPS depth. Bolsa de Madrid offers best prices most often. CHI-X offers best prices at touch over 12% of the time and Turquoise over 11% of the time. Intelligent Financial Systems
IFS OMXS-30 BATTLEMAP Turquoise, BATS and OMX Stockholm gained market share compared to February at the expense of CHI-X and Burgundy. Spreads tightened slightly on all venues both at touch and for larger deal sizes except Burgundy at touch where spreads were almost unchanged from February. OMX Stockholm continues to offer the tightest spreads ahead of CHI-X. Liquidity increased on all venues both at the top of and deeper into the book. OMX Stockholm offers the best prices ahead of CHI-X and Burgundy at touch but there are price ties almost 86% of the time. Intelligent Financial Systems +44 (0)207 379 7328
IFS OMXH-25 BATTLEMAP OMX Helsinki gained market share compared to February mainly at the expense of CHI-X. Spreads tightened slightly on all venues at touch. For larger deal sizes spreads tightened on OMX Helsinki, BATS and CHI-X but widened on Turquoise and Burgundy. On-book liquidity increased on all venues at the top of the book and at 50 BPS depth. OMX Helsinki continues to quote absolute best prices most often both at touch and for 25k deal sizes with price ties 74% of the time at touch. Intelligent Financial Systems
IFS OMXC-20 BATTLEMAP OMX Copenhagen and Burgundy gained slight market share compared to February. Spreads tightened on all venues both at touch and for 25k deal sizes. On-book liquidity increased on all venues both at the top of the book and deeper into the book. OMX Copenhagen continues to offer best prices most often, at touch and for larger deals with price ties at touch over 67% of the time. Intelligent Financial Systems
IFS OBX BATTLEMAP CHI-X, Turquoise and BATS increased market share compared to February. Spreads tightened on all venues except Burgundy at touch. For larger deal sizes spreads tightened on CHI-X, BATS and Nasdaq OMX but widened on Oslo Bors, Burgundy and Turquoise. Liquidity increased slightly on all venues except Burgundy at the top of the book. At 50 BPS depth liquidity increased on all venues except Oslo Bors. Oslo Bors continues to quote best prices most often at touch and for larger deals though there are price ties 69% of the time. Intelligent Financial Systems
IFS SMI-20 BATTLEMAP SIX, BATS and Turquoise gained market share compared to February at the expense of CHI-X. Spreads tightened slightly both at touch and for 25,000 deal sizes on SIX, CHI-X and BATS but widened on Turquoise. SIX continues to offer the tightest spreads for the SMI- 20. Liquidity increased on all venues both at the top of, and deeper into the book. SIX continues to quote best prices most often at touch and for larger deals, with price ties 83% of the time at touch. Intelligent Financial Systems
Battlemap Methodology (the small print) For more information contact IFS +44 (0) 2073797328 ATX-20 BATTLEMAP Wiener Borse gained market share compared to February. Spreads tightened on Wiener Borse but widened on all other venues at touch. For 25,000 deal sizes spreads tightened on Wiener Borse, CHI-X and Turquoise. On-book liquidity increased slightly on CHI-X, Turquoise and Wiener Borse at the top of the book and at 50 BPS but fell slightly on BATS. Wiener Borse continues to offer best prices most often for the ATX, although Turquoise now offers best prices over 19% of the time at touch and CHI-X almost 11% of the time. Intelligent Financial Systems
Market Share Market shares are based on the relative notional trading values of all trades executed 'on book'. We count all on book trades during normal trading hours. We also include the uncrossing trades of on-book auction periods and 'Dark' or 'Hidden' order types on lit venues. We exclude all off-book 'reported' trades (so venues such as XPLU and BOAT don't feature in the battlemaps). We treat instruments as fungible if they have the same ISIN and currency. For some indices, i.e. AEX or CAC we count more than one listed instrument on the MTF venues as the same instrument when accessing volumes. Spreads At touch spreads To calculate spreads we first replay order books and measure the best bid and offer prices every 30 seconds. The 'spread' is the difference between bid and offer prices divided by mid price. This is then converted to basis points (0.01%). Where a book is empty or one sided or where the spread is very large (>200BPS), we mark that data value as 'bad' and assign a default spread of 201BPS for averaging purposes. If more than 10% of values are 'bad' for a venue then we exclude that venue from the results and show 'n/a'. The spread statistic we report for an instrument for a given venue is the average of all 30-second measured spreads over the period analysed. The spread we report for an index is the average of the individual instrument spreads weighted by the traded volume of each instrument. 'Depth Weighted Spreads' - i.e. 25K EUR Spread For a depth weighted spread, instead of measuring the simple best visible bid and offer in the order book, we 'match' a deal of a certain size up or down the best bids/offers available in the book until the deal size is fully matched. So, for instance, if the best bid price in a book is 1.00 EUR with volume 20,000 and the next best bid is 0.99 EUR with volume 100,000 then the depth weighted 25,000EUR bid price is ((1.00*20,000)+(0.99*5,000)) / 25,000 = 0.998 EUR. Apart from this initial step of finding depth weighted bids and offers, the methodology for the rest of the calculation of the depth weighted spreads is the same as for the 'Simple' spread. Book Depths To calculate depths we replay order books and measure the total value (i.e. price*volume) of all visible bids and offers within 'X' Basis Points of the mid price every 30 seconds. The value quoted for depth is then the average of these 30-second values over the period. So, for example, if the mid price of a stock is 5.00 EUR, the '50BPS liquidity' figure will measure the total value of all bids and offers in the order book with prices between 4.975 and 5.025. For indices the liquidity value quoted is the average of the depths of all the constituents of the index. Best Prices 'At Touch' For this statistic we simultaneously replay all order books for an (ISIN, CCY) instrument for all venues on which it trades. Then, every 5 seconds we look at the best bid prices on all venues and see if there is either a single 'winning venue' with the absolute best bid price or a tie. Once this is done for a complete trading day we record the percentage of time each venue has the absolute best price. Although we measure this separately for bids and offers, we generally average the results over the bids and offers when reporting. These percentages do not add up to 100%! For instance, say the percentages are (LSE 20%, CHIX 20%, TRQX 10%, BATE 8%, NURO 5%). This would imply that (100-(20+20+10+8+5)) = 37% of the time there was a 'tie' for the best price in the market and no one venue was 'best'. The other 63% of the time a single venue had the best price. 'Depth Weighted Best Prices' - For depth weighted best prices, instead of using the best bid or offer price in the book, we 'match' up or down the book to get weighted bid and offer prices for different size deals [same methodology as for depth weighted spreads, see above]. Apart from this way of determining the best bid and offer prices, the rest of the methodology for determining the At Best Percentages using depth weighted measures means that the volumes available at the best price and also the prices and volumes below the best price come into play. The spread we report for an index is the average of the individual instrument spreads weighted by the traded volume of each instrument.