SIX Swiss Exchange is the reference market for Swiss securities, assuring liquidity
across its entire spectrum of equities. One of its key objectives is to maintain a
reliable, efficient and transparent price finding mechanism. By displaying liquidity
levels using quantitative data from a neutral provider, SIX Swiss Exchange allows all
market participants to perform an unbiased assessment of order book quality, increasing
market transparency as well as public awareness of the negative effects of market fragmentation.
Equity Liquidity Matrix (ELM) is a user-friendly transparency tool that offers you a
clear view on liquidity levels on SIX Swiss Exchange and the average
MTF, comparing the
aggregated indices of the SMI Family and the SLI Swiss Leader Index. Furthermore, you can
select all individual securities of the Swiss Performance Index (SPI) that are traded on
SIX Swiss Exchange and at least one MTF during a trading day.
The Equity Liquidity Matrix Trading Map compares four pre-trade and one post-trade data measures
on a daily basis. In order to guarantee the best transparency, we provide several choices of time
spans up to 6 months on a rolling basis.
Multilateral Trading Facilities
The average MTF is a turnover weighted calculation of the four MTFs CHI-X,
BATS Europe, Turquoise and Aquis Exchange.
ELM quantifies liquidity through the following five standard measures:
This is the order book turnover divided by the order book number of trades.
The higher the average trade size the higher the liquidity traded on a venue is.
This means better price formation, better order book depths and guaranteed immediacy.
It means less effort and less transaction costs for the broker to execute larger orders.
This is the average amount of money that can be executed at the best bid or best ask
price without any market impact. High average executable size at best spread means that
you can place large orders without paying more due to a widening spread.
It denotes how often a market is offering simultaneously the best bid and offer price compared
to other European venues trading the same security during one given trading day. The higher
the EBBO, the higher the likelihood to execute an order at best available price throughout the day.
European Best Bid and Offer with Largest Executable Size (EBBO Size)
It shows how often a market simultaneously offers the best bid and offer price combined with
the greatest size at best bid and offer price level. The higher the EBBO Size the higher the
likelihood to execute an order with substantial size throughout the day.
The Equity Liquidity Matrix Charts offer you a detailed view of each of the
five standard measures. They allow you to monitor the current 'state of play'
of order book liquidity for both index aggregates and their individual
constituents. Furthermore, you can customise the desired timespan.