BoB versus Apex: No free lunch - trading on Apex more costly than on Best of Book


Nb of pages: 20
Date of publication: 13 October 2020
Authors: Paul Besson, Head of Quantitative Research and Théo Compérot, Quant Research Analyst

BoB versus Apex

No free lunch - trading on Apex more costly than on Best of Book

Complementing our first paper on VBBO Trading (July 2020), we analysed the overall costs of trading on Equiduct’s Apex vs on Euronext’s Best of Book (BoB):

  • We have considered all Apex and BoB trades from December 2019 to April 2020 on the same stock universe with similar characteristics, thus regrouping 2.3 million trades on Equiduct and 3.6 million Euronext trades. We then computed the net price improvement on each of these trades using QuantHouse European Best Bid Offer computed at the same microsecond.
  • Overall, we found that BoB improvements, net of fees, are outperforming Apex improvements by +1.36 bps using simple averages, and by +2.47 bps when using turnover weighted averages. This clearly demonstrates that the Euronext BoB model outperforms the Equiduct Apex zero fee model (see Figure 7).
  • As Apex’s reference price model does not enable market makers to improve prices, as is the case for BoB, relative net improvement of BoB versus Apex strongly increases as spreads widen. On spreads larger than 10 bps, BoB’s improved quotes outperform the EBBO in 40% of cases (see Figure 12).

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