Trading InfoSnack: Mirror, Mirror on the Wall

In our fifteenth Trading InfoSnack: Mirror, Mirror on the Wall the Equity experts of SIX Swiss Exchange look at patterns of price setting and price mirroring across venues. As the research paper highlights, analysing differences in comparative market share and execution quality between two venues via the three fundamental liquidity factors (EBBO presence, fill likelihood and relative fill size), provides an additional tool for trading participants to compare their own order-level assessment of execution quality between venues.

Simon McQuoid-Mason, Head Equity Product & Quant Research, Exchanges, SIX, comments: “There is clear evidence to suggest that the occurrence of price setting activity on venues influence their fill dynamics and market share favourably, and as such where a price is set should be an important consideration for trading participants in both liquidity posting and liquidity taking.” 

Discover in our new Trading InfoSnack detailed insights into the price formation process and its influence on liquidity and market share dynamics, with visualizations of the evolution of price establishment and transmission over time across trading venues, illustrating where and how price formation occurs, the average contribution of each venue to the price formation process, and the impact of price setting and mirroring on market share and execution dynamics.

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.

To trading and market structure professionals with a focus on the EMEA region, the previous Trading InfoSnacks are also of interest: Cluster-struck, Struck in the Middle (With You), Order Cancellation Patterns, Crumble in the Jungle, The Rule of Three: Analysing the Best Execution Optimisation Problem, Stale Prices and the Price of Being Stale, This Time is Different, 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?

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