LiquidMetrix Research to Sample Best Prices Report

What are LiquidMetrix 'Best Prices' Reports?

The LiquidMetrix Best Prices Reports give detailed breakdowns of which venue offer the best prices showing the relative performances of European Exchanges. The reports can be generated from within the LiquidMetrix WorkStation for European indices and individual European stocks. Click on the link to the right to download some sample reports for a recent trading month.

To see more reports send an email to liquidmetrix@if5.comto request a trial login for the LiquidMetrix WorkStation.
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Example Best Prices Report - October 2009

To illustrate the content in one of our LiquidMetrix Best Prices reports, here is a recent sample, with some commentary, of the Best Prices Report for the FTSE-100 index for the calendar month of October 2009.

Best Touch Prices

The table to the right shows the percentage of time each venue posted best, equal best or not best bid/offer prices. The stats are based on sampling the order book every 5 seconds, ranking the venues and then averaging these thousands of rankings over the constituents of the index for the whole of August/September. Some general points:
  • LSE has the highest At Best Percentage (around 12% of the time LSE has the best price in the market)
  • Perhaps surprisingly (given spreads and market shares) Turquoise is 3rd best after CHIX (see note on daily trends later)
  • BATS / NURO have much lower percentages
Best Touch Prices Chart
  • By adding up all the 'Best' percentages across the venues we see that around 35% of the time there is a single venue with the best price. About 56% of the time there is a tie with at least two venues offering the same prices
  • Unsurprisingly, best bid and best offer percentages are pretty much identical

25K Euro Best Prices

The analysis here is similar to that for Best Touch Prices (above) but instead of comparing simple best bid/offer prices we match a 25K Euro order up (down) the book and measure the average executed price. So this gives a fairer indication of best venue for larger aggressive order sizes, albeit based on visible liquidity only. Some general points:
  • LSE is now much more dominant
  • CHIX moves comfortably into second place
  • TRQX is relegated to a fairly poor third indicating that often its best prices have relatively low amounts of volume
25K Euro Best Prices Chart
  • There are far fewer ties (only 22% of the time as opposed to 56% for touch prices) as a 25K EUR order will often match past the first price in the book and in that case the venue with more volume at best and subsequent prices will win

Best Touch Prices Trend

The graph shows the daily percentage best bid prices over September averaged for each trading day.
  • LSE has maintained its advantage throughout the month
  • CHIX has become more competitive and has nearly caught up with LSE by the end of the month
  • After an initial drop TRQX has stabilized over the remainder of the month
  • NURO has narrowed it’s gap with BATS and was even slightly ahead of BATS at the end of the month
Daily Best Bid % Touch Price Chart Daily Best Ask % Touch Price Chart

25K Euro Best Prices Trend

The graph shows the daily percentage best bid prices over October
  • LSE, CHIX, NURO and BATS are relatively stable throughout the period
  • TRQX shows a slight drop at the beginning of the month but has since stabilized around a slightly lower level compared to BATS.
Daily Best Bid % 25K EUR Chart Daily Best Ask % 25K EUR Chart


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