SIX Swiss Exchange has launched a new tool designed to increase market transparency between a reference market and its competitors.
The Equity Liquidity Matrix Service (ELM) is a free web-based tool aimed at investors trading Swiss blue chips.
ELM highlights the liquidity and resilience of the SIX Swiss Exchange order books for the 30 securities listed in the SLI Swiss Leader Index. It compares the overall order book quality displayed by SIX Swiss Exchange with competing multilateral trading facilities such as Chi-X Europe, BATS Europe, Turquoise and NYSE Arca Europe.
The tool delivers daily average indicators for individual securities and for the SMI and SLI aggregates, including average trade size, executable size at best spread and average spread. The indicators are intended to reveal liquidity, the ease of trading in blocks, as well as the relative price of securities. Granular cross-market data is provided by technology and data firm Transaction Auditing Group.
In addition, ELM measures the European best bid and offer (EBBO) with largest executable size, which indicates the likelihood of executing a larger order at best price throughout the day.
“It is of the utmost importance that market participants can access ongoing, reliable, quantitative information about the quality of order books operated by SIX Swiss Exchange which is the reference market for Swiss Securities,” said Werner Bürki, member of the management board of SIX Swiss Exchange.