The European Equity Market Report is a piece of analysis that allows for an accurate comparison of trading statistics across European trading venues.
- Each trading venue uploads and validates the data according to the FESE Statistics Methodology.
- The EEMR gathers data from all Regulated Markets and major MTFs in Europe as defined by MiFID.
- Dark MTF trading figures are included in a separate spreadsheet.
- Reports are downloadable for free in a single file from the FESE website.
The European Equity Market Report (EEMR) is from 2009 now split into four categories making them even more accurate and complete. This enhances users’ ability to analyse current market trends in European equity markets by better differentiating between the transactions done at the Exchange/MTF (both on and off the EOB), those done outside the Exchange/MTF but reported to it and those done under the dark MTF platforms as defined by MiFID. The four categories are as follows:
Electronic Order Book Transactions (EOB)
This contains all transfers of ownership by way of trades executed through the Exchanges/MTFs electronic order book, where orders placed by trading members are usually exposed to all market users and automatically matched according to precise rules set up by Exchanges/MTFs (generally based on price / time priority) and whose prices are displayed to the market. These trades may include floor trading organised by an Exchange/MTF. All electronic order book transactions are single-counted.
Off Electronic Order Book Trades (Off-EOB)
This contains trades different from the EOB, confirmed through a system managed (directly on indirectly) by the Exchange/MTF, where both seller and buyer agree on the transaction (price and quantity). This system checks automatically if the transaction is compliant with the exchange rules, including most often consistency with EOB price. All off-electronic order book transactions are single-counted.
Reporting Transactions
This contains trades reported through a Trade Reporting Facility (TRF) when only one counterparty provides information on the trade and offers dissemination services at the request of the reporting trader. The other counterparty could use this facility if reporting is mandatory. All reporting transactions are single-counted.
Dark Pool Trading
It includes all transfers of ownership by way of trades automatically executed in special markets / segments managed by Exchanges/MTFs where matching algorithms do not provide for pre-trade transparency and where both orders were not transparent. In case of platforms offering also smart order routing systems for the management of unexecuted orders, flows routed to other trading venues for their execution should be not included. In case of smart order routing, only the ultimate execution venue is allowed to integrate the corresponding trade in its own statistics. All dark pools trades are single counted.
N.B. All categories are mutually exclusive
