Trading InfoSnack: Crumble in the Jungle

Order books are in a constant state of evolution, one that determines likelihood of execution and execution performance. In-depth analysis by the Equity experts of SIX Swiss Exchange highlight the trade-off between fill probability and adverse selection utilising Order Book Imbalance (OBI) state and a Crumbling Quote Signal (CQS).

Trading InfoSnack: Crumble in the Jungle
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Discover the new Trading InfoSnack Crumble in the Jungle to find out about how order book imbalance and crumbling quote signals can be utilised to optimize trading performance. Further insights from our Equity experts include information on block trading opportunities as well as differences in passive and aggressive interactions on the Swiss stock exchange order books.

Thibaut Vidart, Product Manager, Global Market Data, SIX

Increased fill probability witnessed in states of high order book imbalance is tempered by higher risk of quote crumbling and therefore higher adverse selection. This dynamic is more pronounced across certain venues.

Simon McQuoid-Mason, Head Equity Products UK & Ireland

Insights on Relevant Trading and Market Structure Topics

The Trading InfoSnack articles are insightful research features that provide commentary on market relevant trends, models and microstructure that influence the trading of Swiss securities, underpinned by in-depth analysis from the Equities team of SIX.

To trading and market structure professionals with a focus on the EMEA region, the previous Trading InfoSnacks are also of interest: The Rule of Three: Analysing the Best Execution Optimisation Problem, Stale Prices and the Price of Being Stale, This Time is Different, Cryptophoria, Last Orders, Size Matters, Liquidity under the Volatility Microscope, Closing Auctions: What’s Hanging in the Balance?, Back to the Future(s) and What’s in a Liquidity Smile?

Where Quality Comes as Standard

At SIX Swiss Exchange, quality comes as standard. This applies to the performance and stability of our trading infrastructure, the liquidity, prices and spreads in our order books and our services in the listing, trading and post-trading space. Find out more.

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