Trading InfoSnack: Cluster-struck

In the fourteenth Trading InfoSnack: Cluster-struck the Equity experts of SIX Swiss Exchange look at the contributions of different types of trade clusters to market share, liquidity & execution performance dynamics, and their usefulness for passive order allocation strategies.

The new Trading InfoSnack utilises a density-based clustering algorithm to identify how different types of short-duration trade clusters (single-trade-clusters, single-venue-clusters & multi-venue-clusters) contribute to each venue’s market share.  This provides a novel approach to examining liquidity and execution performance differences between venues.

Discover in our new InfoSnack why analysing trade cluster dynamics is highly relevant for identifying where orders need to be placed / routed to interact with different types of trading activity, and what the expected execution benefit or cost may be for doing so.

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 SIX Swiss Exchange Equities team.

To trading and market structure professionals with a focus on the EMEA region, the previous Trading InfoSnacks are also of interest: Struck in the Middle (With You), Order Cancellation Patterns, Crumble in the Jungle, 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?

• “We Have a Responsibility to Ensure New Products and Services Add Value to the Market as a Whole.” 
• Trading Venues Offering Alternative Execution Mechanisms Favoured in Low Liquidity Environment 
• Recognition for Continuous Innovation: New Industry Award for SIX Swiss Exchange