Chi-X Europe, Europe’s largest displayed multilateral trading facility, frequently offers better prices than the domestic exchanges it competes with, but traditional bourses still have the upper hand for executing larger orders, according to research from broker CA Cheuvreux.
Cheuvreux’s ‘Market Indicators’ report for January 2010, produced in conjunction with transaction cost analysis provider TAG, showed that Chi-X’s time at the European best bid and offer (EBBO) for FTSE 100 stocks was 58% for the month compared with the London Stock Exchange’s 55%. Chi-X also spent more time at the EBBO than NYSE Euronext in both the Dutch AEX index (50% compared with 45%) and French CAC 40 index (53% compared with 40%), and topped Deutsche Börse Xetra’s 36% at the EBBO for DAX stocks by 16 percentage points.
However, Chi-X lagged NYSE Euronext’s 48% at the EBBO for the Belgian BEL20 index by 21 percentage points and SIX Swiss Exchange’s 59% at the EBBO of the Swiss Leader Index (SLI) by 19 percentage points.
In an indication that incumbent exchanges are still better places to get large orders filled, the traditional bourses beat Chi-X across the board in terms of time at the EBBO with the greatest size of order. This was most marked in Swiss stocks, where SIX’s 43% time at the EBBO with greatest size dwarfed Chi-X’s 2%.
In addition, the average order sizes on incumbent exchanges were roughly double those of MTFs across the major European indices in January. In the FTSE 100, for example, the LSE’s average trade value was €10,932 compared with €5,777 on Chi-X, €4,534 on Turquoise, €4,692 on BATS Europe and €3.914 on Nasdaq OMX Europe.
Nevertheless, the data shows that MTFs, particularly Chi-X and BATS Europe, are continuing to take market share from incumbent exchanges. Over the three months to the end of January, only the LSE had increased market share in its home blue-chip index out of the incumbent exchanges, while Chi-X’s market share had increased across the board over this period.