When Swiss equity trading resumed on UK-based MTFs in February 2021, it marked the end of 19-months of non-competition – and the starting point for new research that compares differences in trading dynamics during and after non-equivalence. In the new Trading InfoSnack This Time Is Different, the author team of the Swiss Stock Exchange has gathered some unique insights regarding order book structures and dynamics across periods and venues.

Identifying Key Differentiators

In order to detect differences between the Swiss market and other primary exchanges as well as MTFs, the research focuses on Order-to-trade (OTR) ratios for the lit books in continuous trading, resting and fill behaviour of orders across European Blue Chips as well as the probability of fill in Swiss Blue Chips. 

Thibaut Vidart, Product Manager, Global Market Data, SIX

Fragmentation of liquidity in Swiss equities has changed the order book dynamics, in particular the resting time of orders and the probability of fill.

Simon McQuoid-Mason, Head Equity Products UK & Ireland

Insights on Relevant Trading and Market Structure Topics

The Trading InfoSnack articles are insightful research features that provide commentary on market relevant trends, models and microstructure that influence the trading of Swiss securities, underpinned by in-depth analysis from the Equities team of SIX Swiss Exchange.

To trading and market structure professionals with a focus on the EMEA region, the previous Trading InfoSnacks are also of interest:  Cryptophoria, Last Orders, Size Matters, Liquidity under the Volatility Microscope, Closing Auctions: What’s Hanging in the Balance?, Back to the Future(s) and What’s in a Liquidity Smile?