In the thirteenth Trading InfoSnack: Struck in the Middle (With You) the SIX Swiss Exchange Equity experts look at the sourcing of mid-point liquidity and explore the market dynamics surrounding mid-point moves.

The new Trading InfoSnack observes order execution patterns around mid-point moves in Swiss equity trading, comparing SIX Swiss Exchange's own non-displayed liquidity pool SwissAtMid with Dark-Continuous MTFs and Dark-Conditional MTFs as well as Frequent Batch Auctions (FBAs), while taking into account different time horizons and trading mechanisms to generate additional insights. 

Discover in our new InfoSnack why stale-price executions not only occur but in some cases are driven by arbitrage seeking behaviour, and how stale-price executions are observable across each type of non-displayed and FBA mechanism where the matching engine sits geo-graphically distance from the primary CLOB. 

Christian Reuss, Head SIX Swiss Exchange

The lion’s share of trades occurring on non-displayed and FBA venues are executed or intend to execute at a price-point that is equal to the PBBO mid-point, consequently avoiding unnecessary stale price executions is an important consideration for trading participants.

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 SIX Swiss Exchange Equities team.