Market Quality

Lee Hodgkinson gives FTSE Global Markets his thoughts

“The best measure of market quality”

Lee Hodgkinson gives FTSE Global Markets his thoughts on why market quality is so important.

Market quality is a key differentiating factor for investors and brokers when selecting a trading venue. Given the variety of choices for places to trade, there is an implicit search cost. The higher the quality of a market the lower the explicit costs will be for the investor, assuring therefore a better quality of execution.

What is Market Quality?

Indicators of market quality include, amongst others, presence time at 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). 

Market Quality on our Markets

For our key European blue chip indices stocks (CAC 40®, AEX®, BEL 20® and PSI 20®) we account for:

  • Presence time at EBBO (European Best Bid and Offer) of 71% (MTF average 31%)*
  • Displayed market depth of €65,294 at best limit (MFT average €23,868)*
  • Spread of 5.98 bps (MTF average 17.44 bps)*

* Source TAG Audit and NYSE Euronext, March 2014 

Market Quality features

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A Metric in Need of a Standard

TABB Group’s new report: “European Market Quality: A Metric in Need of a Standard” illustrates the need to move focus away from a venue’s market share to its market quality.  This compelling new study shows why market quality is the best benchmark for assessing the ability to execute a trade at the most accurate price with the lowest market impact.  Download report

Comparing execution quality on different venues

In an increasingly fragmented market for European equities, trading venues are fighting to attract order flow any way they can. FTSE Global Markets Neil O’Hara explains why quality counts.  Read more

Market Quality The Movie – Part 1

An interview with Lisa Dallmer, COO European Cash Markets.
Market quality is critical to maximising trading opportunities. We are excited by the market quality on our markets and how it benefits clients. If you would like more information please contact us – and enjoy the movie.  Watch movie