Euronext Quantitative Research

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)
• The paper considers all trades on Apex and Best of Book from December 2019 to April 2020 on the same stock universe, then computes the net price improvement of each trade using QuantHouse European Best Bid and Offer (EBBO) at the same microsecond
• Found out how BoB price improvements, net of fees, outperform Apex improvements by +1.36 bps by simple average and by 2.47 bps when using turnover weighted average
• Understand therefore how Euronext’s BoB model outperforms Equiduct’s Apex zero fee model

(October 2020)

A best execution solution for retail investors or for market makers?

• Learn how price improvement and price deterioration work for Volume Weighted Best Bid and Offer (VBBO) trades compared with European Best Bid and Offer (EBBO) prices
• Understand how this relative performance behaves depending on corresponding underlying trade sizes and the bid-ask spreads of stocks
• Learn more about VBBO trading performance for trades with sizes available on the EBBO first limits, and larger trades with sizes not available on the EBBO first limits
• Examine the question of best execution for VBBO trading

 (July 2020)

Introduction to Market Microstructure

Key concepts to understand the main mechanisms at play in electronic trading

Contents
Introduction
I. European markets fragmentation and liquidity
II. Key practical questions from an investor’s point of view
III. Key orderbook properties
IV. Market fragmentation and competition across venues
V. Key forecast based on the orderbook

2 hours - 18 videos