big xyt delivers enhanced transparency on SI volumes under MiFID II

big xyt Liquidity Cockpit delivers insight on systematic internalisers

big xyt, the independent provider of high-volume, smart data and analytics capabilities, has announced the addition of enhanced functionality on its Liquidity Cockpit dashboard, providing greater transparency on over-the-counter (OTC) equities activity, including Systematic Internaliser (SI) transactions.

The latest functionality, called ‘Liquidity Type’, has been developed in response to a strong desire among practitioners for the identification of addressable activity within OTC and SI trade reports. It has become apparent that a high proportion of activity labelled as SI is non-addressable, such as technical trades. This is also evidence that SI transactions are being reported twice, as participants continue to become accustomed to the new MiFID II regime.

The new Liquidity Type functionality enables clients using Liquidity Cockpit to distinguish between total addressable and non-addressable activity for OTC and SI transactions. Addressable activity excludes trades with any of the following conditions: non price forming trade; trade not contributing to the price discovery process; technical trade; ex/cum or special dividend; duplicative trade report; trade with conditions; give-up/give-in trade.

A more granular understanding of OTC and SI volumes are crucial to all market participants, particularly when trying to prove to clients and regulators that Best Execution policies are being complied with.

The new Liquidity Cockpit functionality shows that less than 50% of the total SI volume reported is addressable. The Liquidity Cockpit analytics normalise liquidity all different types of venues and offers the user an interactive dashboard to understand liquidity across time, venues, regions, a range of new condition codes and individual securities.

Robin Mess, CEO at big xyt commented:

With the additional quantity of prices and trades being reported as OTC and by SIs, firms need to be able to identify where prices are really addressable and accessible to them; for instance, even though a tick may appear on the reported tape, unless an algorithm is available to spot it and trade it, firms could not be held accountable for missing it when challenged.

Being responsive to our clients is very important to the team here at big xyt and I am delighted that we have been able to quickly deliver this solution to an unforeseen complication of MiFID II implementation.

Tim Cave, an equities analyst for TABB Group in London, added:

It has become clear at the outset of MiFID II that lots of different OTC activity is being reported under the SI flag, making it difficult to decipher what is addressable liquidity and what isn’t.” He added “Anything that provides greater clarity in this area helps both practitioners and regulators gain a better understanding of where true liquidity resides in Europe’s equity market and that can only be a good thing for the industry as a whole.

Liquidity Cockpit provides clients with a normalised view of granular tick data and overview of market share across all major European venues and the ability to act on changing market dynamics. It keeps track of changes in trade conditions or execution venues, and applies custom measures such as LIS classified trades. Crucially the Liquidity Cockpit can predict the impact of dark pool volume caps.

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