With overall European trading volumes dropping from Q2 2010 levels, average trade sizes on primary markets also fell in July and August compared to the previous two months, but are still two to three times larger than those found on multilateral trading facilities (MTFs).
According to the latest market indicators report from French agency brokerage CA and transaction cost analysis provider TAG, average trade sizes eased down in July-August from the period of May-June, with Xetra’s dropping from €24,372 to €21,264 for German blue-chip stocks, while the average order size for FTSE 100 stocks executed on the London Stock Exchange (LSE) dropped from €11,179 to €10,655. Comparatively, Chi-X's order size for UK blue chips fell from €6,558 to €5,973 and more dramatically from €9,076 to €7,718 on the DAX. Over the same period, the average trade size for CAC40 stocks dipped from €10,488 to €9,396 on Euronext Paris, while Chi-X Europe saw its CAC40 average trade size slip from €6,686 to €5,778.
The report revealed less of a distinction in the ability of primary markets and MTFs to consistently offer liquidity at the best available price. For UK stocks, for example, Chi-X and the LSE were able to offer liquidity at spreads equivalent to the European best bid and offer for 74% and 72% respectively of the trading day on average in July.
The market share of European MTFs Chi-X, BATS and Turquoise was stable over the two months of the study, suggesting that the pace of fragmentation towards alternative trading destinations may be abating. The LSE recovered some market share in UK stocks, claiming 58.9% of trading in FTSE 100 stocks in July and 58.4% in August.
The report added that lower volumes for the period covered could be partly attributed to lower volatility in July and August.