The New European Trading Entities & Execution Quality

  Following the UK’s departure from the EU, Aquis Exchange, Cboe Equities, Turquoise and Sigma X established EU based entities for the trading of EU-listed securities, while focusing the operations of the UK based entities s for trading UK and Swiss-listed stocks. Clearly there has been a large shift of on the trading of European stocks from London to EU based trading venues. Early estimates are that the market shares of UK based pan-European trading venues their market share declined from 16% to just 2.5% in EU listed equities.
  • Here we ask the question how the shift to new trading venues s has impacted execution quality when trading these stocks. This article follows on the paper by our colleague Mark Ford in providing an early assessment of the execution quality of these new venues for European listed securities2
  • We look at several key indicators of execution quality including average execution size, percentage of spread capture and the amount of post execution price impact. Where useful, we will also draw in data from the Paris and Xetra exchanges to look at the comparative difference to the stock’s primary exchanges.
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