Duncan Higgins, Managing Director
Andre Nogueira, Director
Vesna Straser, Director
Since the implementation of MiFID II on 3 January and the Double Volume Caps (DVC) on 12 March of this year, the European equity venue landscape has gone through some significant changes.
Earlier this year, ITG published a paper detailing the changes in venue use for institutional investors trading via algorithms1. In this update, we also include an assessment of trading costs experienced on different venue types to help clients navigate this new eco-system.
The performance analysis covers data from 1 May to 23 August (post-DVC cap implementation). The trading venue distribution now covers the period from Q4 2017 up to August 23 of this year. The dataset includes transactions from over 40 contributors and includes over 25 million trades. Adjustments were made to remove certain contributor data from the analysis where their trading volumes were greater than 50% with a single counterparty, plus we are using an arithmetic mean across all cost metrics at the broker-level as opposed to a weighted average in order to support broker bias smoothing for the newer venues.