Market Quality

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 80% (MTF average 38%)*
  • Displayed market depth of €50,021 at best limit (MFT average € 18,991)*
  • Spread of 5.62 bps (MTF average 15.7 bps)*

* Source TAG Audit and Euronext, March 2016