15 September, 2022
BMLL Market Lens: Liquidity Maps

BMLL Market Lens: Liquidity Maps provides insight into the fragmentation of European equity markets via a view of 600 European stocks across the major European trading and execution venues over a rolling 12-month period. The charts are updated monthly and show both a consolidated view and a granular breakdown of liquidity on all trading mechanisms. 

Using your mouse, interact with the plots to explore key trends in European liquidity, or download any chart by clicking on the camera icon in the top-right corner of the graph.

 

Part 1 - Fragmentation of Liquidity across Europe

Figure 1 - A consolidated view of European liquidity

A consolidated view of the European Trading Landscape is essential to truly understand where both addressable and non-addressable liquidity resides. A granular breakdown of liquidity fragmentation and market share across the last 12 -months allows market participants to gain this vital insight.

Click to interact:

Note: the graph above represents the 600 largest European securities by market cap. Click on the centre of the chart to return to the previous view.

 

Part 2 - Analysing liquidity across different trading mechanisms

Figure 2.1 - What are the key trends across SIs?

Systematic internalisers (SIs) are widely regarded as an effective liquidity discovery tool for market participants. BMLL provides not just an overview of SI market share but a clear breakdown of volumes traded across its constituent parts.

Note: the graph above represents the 600 largest European securities by market cap.

 

Figure 2.2 - Where can end of day liquidity be found?

Offered to enhance liquidity discovery after the price formation at the close, Trade At Last and Closing Auction mechanisms have become more prevalent. A clear view of the volumes traded through these mechanisms enables participants to effectively interact with the closing price.

Note: the graph above represents the 600 largest European securities by market cap. The y-axis is logarithmic.

 

Figure 2.3 - How critical is off-exchange trading to a consolidated view of liquidity?

Over-The-Counter (OTC) trading plays an important function in the European capital markets as a mechanism by which securities are traded. However, unlike trading on a lit order book, not all trading is addressable to all participants. Therefore, it is crucial to understand Europe's true addressable liquidity profile.

Note: the graph above represents the 600 largest European securities by market cap.

 

Figure 2.4 - What are the key patterns in LIS trading?

The Large-In-Scale (LIS) threshold reduces the market impact of large orders by allowing participants to waive and defer pre- and post-trade reporting. Understanding the trend in above LIS volumes across different trading mechanisms enables market participants to improve liquidity discovery and achieve optimal execution strategy.

Note: the graph above represents the 600 largest European securities by market cap.


Methodology: 

To offer participants a consolidated view of European liquidity, BMLL considers all trades across 600 European stocks on all primary European venues, MTFs, Dark Pools, APAs, and all on- and off-book trading over the last 12 months. Once captured, all individual trade fields are combined with the market state and the venue to produce the most granular possible view of liquidity.

All data seen above is available via the BMLL Data Feed. Click here for BMLL trade classification definitions. 

Please contact us if you would like further information about BMLL Granular Trades or the methodology used.