NYSE Euronext (NYX), today announced it will start publishing on its website monthly market quality figures for the most active European trading venues that trade NYSE Euronext listed stocks. The reports are compiled using TAG Audit data, an independent and unbiased provider of trade performance and market quality assessment for the securities industry. The monthly market quality reports will offer insight into the expectations an investor might have with regard to comparative quality of execution across trading venues.
Market quality is a key differentiating factor for investors and brokers when selecting a trading venue. Given there are a variety of venues to execute a trade, there is an implicit search cost and explicit cost of inferior market quality of the resultant execution. The better the relative quality of a market’s metrics the lower the costs will be for the investor, assuring therefore a better quality of execution. Indicators of market quality include the venue’s presence time at European Best Bid and Offer (EBBO), quoted market depth (reflecting the market’s ability to sustain relatively large market orders without impacting the price of the security) and quoted spreads (difference between bid and ask prices).
“As a global operator of exchanges and a leader in the execution business across all asset classes, NYSE Euronext believes in transparency for execution quality metrics in Europe. We are proud of the trust that millions of investors bring into our markets on a daily basis and want to commit to offering them a tool to evaluate the health of our markets. We want to deliver the best execution quality possible to our investors and issuers rather than simply competing on market share.” said Lisa Dallmer, COO European Cash Markets.
As of today the monthly quality figures for September, October and November 2011 are available on the NYSE Euronext website http://europeanequities.nyx.com/market-quality
On average, during these three months, for its European Blue Chips (CAC 40®, AEX®, BEL 20®, PSI 20® and SBF120 indices) and Domestic SMEs NYSE Euronext accounts for:
• Presence time at EBBO Blue Chips: 70% (all others average 37%); Domestic SMEs: 92% (all others average 19%)
• Spread Blue Chips of 10.38bps (all others average 31.13bps)
(source TAG Audit and NYSE Euronext, December 2011)
TAG Audit uses a snapshot methodology to reproduce the European electronic order book by taking the quotes from various venues based on one time stamp. The daily market quality indicator of one security is the simple average of the indicator for each millisecond.
