May 6, 2021

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 securities. 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.


  • Overall available liquidity for both DAX and CAC stocks remained largely the same for the new European Aquis and Turquoise venues compared to the pre-Brexit London-based venues. There was, however, was a large increase in available liquidity on the new CBOE venue compared to preBrexit liquidity on BATE and CHIX.
  • Price Impact and Adverse Selection after the execution show no overall change for DAX and CAC stocks from the Pre-Brexit to the Post-Brexit period.
  • Although, there is no overall change in quote stability, we do see change among the different venues. The new CBOE venue, CEUX, shows particular improvement in increased quote stability especially for DAX stocks.

Read the full article here.

By: Henry Yegerman, ISS LiquidMetrix

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