latest trends of global equity trading · 2007-09-29 · sales desk program desk dma algorithms...
TRANSCRIPT
Latest Trends of Global Equity Trading:The New Technology, the Players, and the New Legislation;
Differences Between the US and the Rest of the World
25th September 2007
Dr. Stavros Siokos
1
Introduction
What can be learnt from the US
Current European landscape
Practical implications for a dealing desk
Broker solution to a post MiFID environment
2
US
The US highlights many similarities to Europe
Regulation driven market change
Competitive Opportunities
3
What Is Reg NMS?
An SEC Mandate
Largest Market Structure Change in 30 Years
More Fragmentation (BATS, Regional Exchanges, EDGX, TRAC, FLOW)
More Consolidation (NYSE/ARCA, NASDAQ/INET/BRUT)
New Market Data Revenue Distribution reward posting/adding liquidity
Key NMS Drivers
Harmonisation of listed and OTC markets
Order Handling Rules of 1996/Rise of ECNs
Decimalization
Slow Markets Frustrating Trends Toward Electronic Execution
Algorithms
4
US Example of Market Fragmentation
Primary Exchanges NYSE Group
NASDAQ
ECNs and ATS
(11+)
Regional Exchanges
(7) Broker/Dealer Algos
(15+)
Other BrokerDesks & Networks
Bulge Bracket Crossing Engines
(9)
Crossing Networks
(10)
Dark an
d Visible
Liquidity
Visible Liquidity
Dark Liquidity
5
Institutional Equity Trading (US)
Percent Traded via Execution Venues (shares)
0 10 20 30 40 50
Sales Desk
Program Desk
DMA
Algorithms
CrossingNetworks
Percent Traded via Execution Venues (shares)
0 10 20 30 40 50
Sales Desk
Program Desk
DMA
Algorithms
CrossingNetworks
Source: TABB GroupSource: TABB Group
CAGRCAGR
+19%+19%
+9%+9%
+10%+10%
+3%+3%
-13%-13%
20062006 20082008
6
51.08%50%
55%
60%
65%
70%
75%
80%
85%
Jan-04 May-04 Sep-04 Jan-05 May-05 Sep-05 Jan-06 May-06 Sep-06 Jan-07 May-07
% N
YS
E o
f All
Mar
ket S
hare
Vol
ume
Data through Jan, 2007. Data represents percentage of total share volume reported to the consolidated tape.Source: NASDAQ Market Center Trade Reporting, CTA Tape A Data
NYSE Share Volume in NYSE-Listed Securities
7
Flow Per Venue – US Algorithms
0%
10%
20%
30%
40%
50%
60%
70%
80%
90%
100%Li
sted
Oth
er
List
edD
AG
GE
R
List
edS
CO
UTE
R
List
edO
ppor
tuni
stic
OTC
Oth
er
OTC
DA
GG
ER
OTC
SC
OU
TER
OTC
Opp
ortu
nist
ic
ETF
Oth
er
ETF
DA
GG
ER
ETF
SC
OU
TER
ETF
Opp
ortu
nist
ic
OtherATSBATSAMEXBRUTARCAINETNNMSNYSE
0%
10%
20%
30%
40%
50%
60%
70%
80%
90%
100%Li
sted
Oth
er
List
edD
AG
GE
R
List
edS
CO
UTE
R
List
edO
ppor
tuni
stic
OTC
Oth
er
OTC
DA
GG
ER
OTC
SC
OU
TER
OTC
Opp
ortu
nist
ic
ETF
Oth
er
ETF
DA
GG
ER
ETF
SC
OU
TER
ETF
Opp
ortu
nist
ic
OtherATSBATSAMEXBRUTARCAINETNNMSNYSE
8
Citi US Access to Liquidity
Citigroup delivers innovative aggregation of liquidity:
LIQUIFI –The Citi Crossing Network•Direct, anonymous access to Retail, Institutional, and Proprietary order flow•A true dark pool. LIQUIFI is completely blind to internal and external trading desks•Price Improvement – orders executed at, or better, than the NBBO.•A fully registered and SEC compliant ATS
LEVEL ATS – Boston Stock Exchange•Partnership with Citi, Lehman Brothers, Merrill Lynch, CSFB, and Fidelity•Participating brokers can aggregate their internal liquidity on one platform•Pure order matching - no negotiation
BIDS – Block Interest Discovery Service•Partnership with Citi, Goldman Sachs, Lehman Brothers, Merrill Lynch, Morgan Stanley, andUBS•An alternative to Liquidnet – BIDS offers both negotiation and automatch functionality
LAVA•Technology driving all of the above initiatives and managing one billion shares of order flow eachday; creating Lava’s “DarkBook” hidden liquidity pool
BEX, PHLX, NSX, BOX• Investments in multiple exchanges and Alternative Trading Systems (ATS)
Flow, Citi ECNAccess to ATD liquidity
•Citi now has 12% market share in the US.
Electronic Execution Suite of Products
9
EUROPE
10
Current European Situation
Primary Exchanges Euronext, LSE,
Deutsche Bourse, Borsa Italiana
MTF’s(3 announced) Broker/Dealer
Algos(15+)
Bulge Bracket Crossing Engines
(5)
Crossing Networks(3)
Dark an
d Visible
Liquidity
Dark Liquidity
Visible Liquidity
POSITLIQUIDNET
NYFIX (Euro-Millennium)
POSITLIQUIDNET
NYFIX (Euro-Millennium)
TURQUOISECHI-X
EQUIDUCT
TURQUOISECHI-X
EQUIDUCT
LIQUIFIPINLX
Sigma-XCrossfinder
LIQUIFIPINLX
Sigma-XCrossfinder
11
MiFID: Impact overview
Organisational requirements• Compliance arrangements and internal systems and controls changes (i.e.
conflicts of interest, outsourcing, etc)Conduct of business• Client classification changes and repapering tasks (i.e. TOB, best execution
policy)• Client communication changes affecting financial promotions and marketing
functions• Additional client suitability and appropriateness requirements• Best execution requirements• Client order handling requirements
Pre-trade transparency•Quoting obligations for systematic internalisers
Post-trade transparency requirements• Extended post-trade transparency requirements when executing outside regulated
markets or multilateral trading facilitiesCross-border business, branching & passporting• Extension of the range of activities and instruments covered by the passport•MiFID covers the European Economic Area (30 Countries)
Pan European Settlement
Organisational requirements• Compliance arrangements and internal systems and controls changes (i.e.
conflicts of interest, outsourcing, etc)Conduct of business• Client classification changes and repapering tasks (i.e. TOB, best execution
policy)• Client communication changes affecting financial promotions and marketing
functions• Additional client suitability and appropriateness requirements• Best execution requirements• Client order handling requirements
Pre-trade transparency•Quoting obligations for systematic internalisers
Post-trade transparency requirements• Extended post-trade transparency requirements when executing outside regulated
markets or multilateral trading facilitiesCross-border business, branching & passporting• Extension of the range of activities and instruments covered by the passport•MiFID covers the European Economic Area (30 Countries)
Pan European Settlement
12
The Practicalities of MiFID
Best execution policies are not all the same.• Best execution is driven by clients not regulation• Execute only the national exchange?• Broker selection becomes crucialNew trade reporting requirements• Must report within 3 minutes• Reporting target is realtimeAre data vendors ready?• Need for a LAVA style amalgamated order book• Bloomberg
– Enabled selection of venues for combined order book and quote recap– Combined orderbook does not merge venues
• Reuters– Includes Boat Quotes
Data capacity issues• Forced market making in liquid names.Settlement on multiple venuesNeed for European smart order routing technology• Does it already exist?Benchmarking across multiple venues
Best execution policies are not all the same.• Best execution is driven by clients not regulation• Execute only the national exchange?• Broker selection becomes crucialNew trade reporting requirements• Must report within 3 minutes• Reporting target is realtimeAre data vendors ready?• Need for a LAVA style amalgamated order book• Bloomberg
– Enabled selection of venues for combined order book and quote recap– Combined orderbook does not merge venues
• Reuters– Includes Boat Quotes
Data capacity issues• Forced market making in liquid names.Settlement on multiple venuesNeed for European smart order routing technology• Does it already exist?Benchmarking across multiple venues
13
Post MiFID Landscape
Deadlines will almost certainly not be met by several member states
Higher Compliance costs and greater operational complexity
Consolidation in brokerage and Exchanges arena
Increased demand for reliable multi source market Data, better Connectivity /DMA / Algorithmic Trading
Trading Volumes will increase due to competition of execution venues
• Reduced bid ask spread
• Reduced execution costs
OTC markets will be more heavily regulated
Search for less Stringent Regimes (e.g. UCITS III)
14
Boat & Turquoise
MiFID InitiativesBOAT• Pan European trade reporting facility which will satisfy the Broker Dealers’ regulatory requirements for pre-trade transparency and post-trade reporting• ABN AMRO, CITI, CS, HSBC, MS, ML, GS, UBS, DB• BOAT aims to attract other pan European participants as well as market
data distributors• Market making on MiFID liquid list required for systematic internalisationTurquoise• Pan European Multilateral Trading Facility (MTF) as envisaged by MiFID• Turquoise will have enhanced functionality and will transact large and small
orders on a pan-European basis• CITI, CS, MS, ML, GS, UBS and DB• Turquoise will feature an open architecture model, encouraging participation
from any qualified market participants• Visible and hidden order books• Expected Q2 2008• Settlement via standard domestic route
MiFID InitiativesBOAT• Pan European trade reporting facility which will satisfy the Broker Dealers’ regulatory requirements for pre-trade transparency and post-trade reporting• ABN AMRO, CITI, CS, HSBC, MS, ML, GS, UBS, DB• BOAT aims to attract other pan European participants as well as market
data distributors• Market making on MiFID liquid list required for systematic internalisationTurquoise• Pan European Multilateral Trading Facility (MTF) as envisaged by MiFID• Turquoise will have enhanced functionality and will transact large and small
orders on a pan-European basis• CITI, CS, MS, ML, GS, UBS and DB• Turquoise will feature an open architecture model, encouraging participation
from any qualified market participants• Visible and hidden order books• Expected Q2 2008• Settlement via standard domestic route
15
BECS Impact Example
• Buy 10000 Fortis, current price 26.46• Buy 10000 Fortis, current price 26.46
16
Bloomberg – Market Depth Monitor
17
Citi’s European Smart Order Router
Citi’s Smart Order Router will control the posting and removal of liquidityacross multiple markets
Citi benefits from the many years of development experience andintellectual property of LAVA Trading.
LAVA Trading operates and maintains the premier smart order routingtechnology in the US
Key requirements of a Smart Order Router
• Speed
• Intelligence
• Reliability
Communication with upstream systems for optimal execution andinternalisation - LIQUIFI
18
SOR – Order Types
The user will have the ability to post to a single venue at a limitprice, but Sweep to a price determined by the discretion offsetparameter (as a number of ticks).
Discretion
Probe is sends the entire order as a Fill-and-Kill order to each venuein turn, with priority determined by price and typical levels of darkliquidity. This is designed to capture hidden volume on each venue.
Probe
A series of sweep orders, but with an instantaneous limit pricepegged to the best available price across European markets are sentout sequentially - i.e. a buy market order will not trade through theEBBO, unless a 'discretion offset' is specified. MARKETS ARE ABLETO REACT TO THE FIRST SWEEP.
Market
The most aggressive strategy. This will route orders to multiplevenues simultaneously up to a limit price, with the quantities routedto each venue depending on price, visible volume and historical darkliquidity profiles.
Sweep
Each of these three strategies is available as a 'Wait and Pounce' style order, a Fill and Killorder or with posting. Posting can be 'vanilla' - the residual will be posted to the top-rankedvenue, or 'Strategic Post‘. SP will distribute volume across multiple venues and re-allocatedynamically based on fill rates.
Ability to target single venue – It is expected all orders will be routed using the primaryidentifier and chosen destination.
19
Smart Order Routing
TURQUOISE
100026.4926.441000
500026.4826.455000
200026.4726.462000
SizeAskBidSize
Brussels Belgium
20026.5026.43900
50026.4926.44500
100026.4826.45500
SizeAskBidSize
AEX NETHERLANDS
200026.4926.444000
300026.4826.456000
300026.4726.463000
SizeAskBidSize
Combined Order Book
350026.4926.445500
900026.4826.4511500
500026.4726.465000
SizeAskBidSize
20026.5026.43900
Single central limit orderbook• Visible • Fair
20
SOR Example - Buy 10000 Fortis
TURQUOISE
100026.4926.441000
500026.4826.455000
200026.4726.462000
SizeAskBidSize
Brussels Belgium
20026.5026.43900
50026.4926.44500
100026.4826.45500
SizeAskBidSize
• Assumption - AEX is highest ranking order destination market, Turquoise second,Belgium third; for posting, theoretical ranking is AEX, Turquoise, Brussels, split60%, 30%,10%.
• Assumption - AEX is highest ranking order destination market, Turquoise second,Belgium third; for posting, theoretical ranking is AEX, Turquoise, Brussels, split60%, 30%,10%.
AEX NETHERLANDS
200026.4926.444000
300026.4826.456000
300026.4726.463000
SizeAskBidSize
• Buy 10000 FORA NA with a limit of 26.48• Sweep• Market• Probe
• Buy 10000 FORA NA with a limit of 26.46• Sweep Post• Market Post• Probe Post
• Buy 10000 FORA NA with a limit of 26.48• Sweep• Market• Probe
• Buy 10000 FORA NA with a limit of 26.46• Sweep Post• Market Post• Probe Post
Combined Order Book
350026.4926.445500
900026.4826.4511500
500026.4726.465000
SizeAskBidSize
20026.5026.43900
21
TURQUOISE
100026.4926.441000
500026.4826.455000
200026.4726.462000
SizeAskBidSize
TURQUOISE
100026.4926.441000
500026.4826.455000
200026.4726.462000
SizeAskBidSize
SOR Sweep - Buy 10000 Fortis
Brussels Belgium
20026.5026.43900
50026.4926.44500
100026.4826.45500
SizeAskBidSize
AEX NETHERLANDS
200026.4926.444000
300026.4826.456000
300026.4726.463000
SizeAskBidSize
• Buy 10000 FORA NA with a limit of 26.48• Sweep
• Buy 10000 FORA NA with a limit of 26.48• Sweep
AEX NETHERLANDS
200026.4926.444000
300026.4826.456000
300026.4726.463000
SizeAskBidSize
Combined Order Book
350026.4926.445500
900026.4826.4511500
500026.4726.465000
SizeAskBidSize
20026.5026.43900
Combined Order Book
350026.4926.445500
900026.4826.4511500
500026.4726.465000
SizeAskBidSize
20026.5026.43900
Ticker
• 10:00.000 buy 2000 Fortis @ 26.47 TUR• 10:00.000 buy 5000 Fortis @ 26.48 TUR• 10:00.000 buy 3000 Fortis @ 26.47 AEX
Ticker
• 10:00.000 buy 2000 Fortis @ 26.47 TUR• 10:00.000 buy 5000 Fortis @ 26.48 TUR• 10:00.000 buy 3000 Fortis @ 26.47 AEX
22
TURQUOISE
26.441000
26.455000
100026.4926.462000
SizeAskBidSize
SOR Sweep - Buy 10000 Fortis
Brussels Belgium
20026.5026.43900
50026.4926.44500
100026.4826.45500
SizeAskBidSize
AEX NETHERLANDS
26.444000
200026.4926.456000
300026.4826.463000
SizeAskBidSize
Combined Order Book
20026.5026.445500
350026.4926.4511500
400026.4826.465000
SizeAskBidSize
26.43900
• Buy 10000 FORA NA with a limit of 26.48• Sweep
• Buy 10000 FORA NA with a limit of 26.48• Sweep
Ticker
• 10:00.000 buy 3000 Fortis @ 26.47 AEX• 10:00.000 buy 2000 Fortis @ 26.47 TUR• 10:00.000 buy 5000 Fortis @ 26.48 TUR
Order Complete buy 10,000 Fortis @ 26.475
Ticker
• 10:00.000 buy 3000 Fortis @ 26.47 AEX• 10:00.000 buy 2000 Fortis @ 26.47 TUR• 10:00.000 buy 5000 Fortis @ 26.48 TUR
Order Complete buy 10,000 Fortis @ 26.475
23
TURQUOISE
100026.4926.441000
500026.4826.455000
200026.4726.462000
SizeAskBidSize
TURQUOISE
100026.4926.441000
500026.4826.455000
200026.4726.462000
SizeAskBidSize
SOR LAVA Market - Buy 10000 Fortis
Brussels Belgium
20026.5026.43900
50026.4926.44500
100026.4826.45500
SizeAskBidSize
AEX NETHERLANDS
200026.4926.444000
300026.4826.456000
300026.4726.463000
SizeAskBidSize
• Buy 10000 FORA NA with a limit of 26.48• LAVA Market
• Buy 10000 FORA NA with a limit of 26.48• LAVA Market
AEX NETHERLANDS
200026.4926.444000
300026.4826.456000
300026.4726.463000
SizeAskBidSize
Combined Order Book
350026.4926.445500
900026.4826.4511500
500026.4726.465000
SizeAskBidSize
20026.5026.43900
Combined Order Book
350026.4926.445500
900026.4826.4511500
500026.4726.465000
SizeAskBidSize
20026.5026.43900
Ticker
• 10:00.000 buy 3000 Fortis @ 26.47 AEX• 10:00.000 buy 2000 Fortis @ 26.47 TUR
Ticker
• 10:00.000 buy 3000 Fortis @ 26.47 AEX• 10:00.000 buy 2000 Fortis @ 26.47 TUR
24
Brussels Belgium
20026.5026.43900
50026.4926.44500
100026.4826.45500
SizeAskBidSize
Brussels Belgium
50026.4926.43900
100026.4826.44500
100026.4726.45500
SizeAskBidSize
Combined Order Book
20026.5026.445500
350026.4926.4511500
900026.4826.465000
SizeAskBidSize
26.43900
TURQUOISE
26.441000
100026.4926.455000
500026.4826.462000
SizeAskBidSize
TURQUOISE
100026.4926.441000
500026.4826.455000
200026.4726.462000
SizeAskBidSize
SOR Market - Buy 10000 Fortis
AEX NETHERLANDS
26.444000
200026.4926.456000
300026.4826.463000
SizeAskBidSize
• Buy 10000 FORA NA with a limit of 26.48• LAVA Market
• Buy 10000 FORA NA with a limit of 26.48• LAVA Market
Ticker
• 10:00.000 buy 3000 Fortis @ 26.47 AEX• 10:00.000 buy 2000 Fortis @ 26.47 TUR• 10:00.642 buy 2000 Fortis @ 26.47 TUR• 10:00.642 buy 1000 Fortis @ 26.47 BEL• 10:01.284 buy 2000 Fortis @ 26.48 TUR
Order complete buy 10,000 Fortis @ 26.472
Ticker
• 10:00.000 buy 3000 Fortis @ 26.47 AEX• 10:00.000 buy 2000 Fortis @ 26.47 TUR• 10:00.642 buy 2000 Fortis @ 26.47 TUR• 10:00.642 buy 1000 Fortis @ 26.47 BEL• 10:01.284 buy 2000 Fortis @ 26.48 TUR
Order complete buy 10,000 Fortis @ 26.472
Combined Order Book
150026.4926.445500
800026.4826.4511500
300026.4726.465000
SizeAskBidSize
20026.5026.43900
TURQUOISE
100026.4926.441000
500026.4826.455000
200026.4726.462000
SizeAskBidSize
Brussels Belgium
50026.4926.43900
100026.4826.44500
100026.4726.45500
SizeAskBidSize
Combined Order Book
150026.4926.445500
800026.4826.4511500
300026.4726.465000
SizeAskBidSize
20026.5026.43900
TURQUOISE
100026.4926.441000
500026.4826.455000
200026.4726.462000
SizeAskBidSize
Brussels Belgium
50026.4926.43900
100026.4826.44500
100026.4726.45500
SizeAskBidSize
Combined Order Book
150026.4926.445500
800026.4826.4511500
300026.4726.465000
SizeAskBidSize
20026.5026.43900
TURQUOISE
100026.4926.441000
100026.4926.455000
500026.4826.462000
SizeAskBidSize
Brussels Belgium
20026.5026.43900
50026.4926.44500
100026.4826.45500
SizeAskBidSize
Combined Order Book
20026.5026.445500
350026.4926.4511500
800026.4826.465000
SizeAskBidSize
20026.5026.43900
TURQUOISE
26.441000
100026.4926.455000
500026.4826.462000
SizeAskBidSize
Combined Order Book
20026.5026.445500
350026.4926.4511500
900026.4826.465000
SizeAskBidSize
26.43900
TURQUOISE
26.441000
100026.4926.455000
300026.4826.462000
SizeAskBidSize
Combined Order Book
20026.5026.445500
350026.4926.4511500
700026.4826.465000
SizeAskBidSize
26.43900
25
TURQUOISE
100026.4926.441000
500026.4826.455000
200026.4726.462000
SizeAskBidSize
SOR Probe - Buy 10000 Fortis
Brussels Belgium
20026.5026.43900
50026.4926.44500
100026.4826.45500
SizeAskBidSize
AEX NETHERLANDS
200026.4926.444000
300026.4826.456000
300026.4726.463000
SizeAskBidSize
• Buy 10000 FORA NA with a limit of 26.48• Probe
• Buy 10000 FORA NA with a limit of 26.48• Probe
Combined Order Book
350026.4926.445500
900026.4826.4511500
500026.4726.465000
SizeAskBidSize
20026.5026.43900
Ticker
• 10:00.000 buy 3000 Fortis @ 26.465 TUR (hidden)• 10:00.000 buy 2000 Fortis @ 26.47 TUR• 10:00.030 buy 3000 Fortis @ 26.47 AEX• 10:00.030 buy 2000 Fortis @ 26.48 AEX
Order complete buy 10,000 Fortis @ 26.4705
Ticker
• 10:00.000 buy 3000 Fortis @ 26.465 TUR (hidden)• 10:00.000 buy 2000 Fortis @ 26.47 TUR• 10:00.030 buy 3000 Fortis @ 26.47 AEX• 10:00.030 buy 2000 Fortis @ 26.48 AEX
Order complete buy 10,000 Fortis @ 26.4705
TURQUOISE
100026.4926.441000
500026.4826.455000
200026.4726.462000
SizeAskBidSize
Combined Order Book
350026.4926.445500
900026.4826.4511500
500026.4726.465000
SizeAskBidSize
20026.5026.43900
TURQUOISE
100026.4926.441000
100026.4926.455000
500026.4826.462000
SizeAskBidSize
Combined Order Book
350026.4926.445500
900026.4826.4511500
300026.4726.465000
SizeAskBidSize
20026.5026.43900
AEX NETHERLANDS
200026.4926.444000
300026.4826.456000
300026.4726.463000
SizeAskBidSize
Combined Order Book
350026.4926.445500
900026.4826.4511500
300026.4726.465000
SizeAskBidSize
20026.5026.43900
Combined Order Book
20026.5026.445500
350026.4926.4511500
700026.4826.465000
SizeAskBidSize
20026.5026.43900
AEX NETHERLANDS
200026.4926.444000
200026.4926.456000
100026.4826.463000
SizeAskBidSize
26
TURQUOISE30%
100026.4926.441000
500026.4826.455000
200026.4726.462000
SizeAskBidSize
SOR Sweep-Post - Buy 10000 Fortis
Brussels Belgium10%
20026.5026.43900
50026.4926.44500
100026.4826.45500
SizeAskBidSize
AEX NETHERLANDS60%
200026.4926.444000
300026.4826.456000
300026.4726.463000
SizeAskBidSize
• Buy 10000 FORA NA with a limit of 26.46, display max 5000.• Sweep-Post
• Buy 10000 FORA NA with a limit of 26.46, display max 5000.• Sweep-Post
Combined Order Book
350026.4926.445500
900026.4826.4511500
500026.4726.465000
SizeAskBidSize
20026.5026.43900
Ticker
• Buy 1500 Fortis @ 26.46 TUR• Buy 500 Fortis @ 26.46 BEL• Buy 2000 Fortis @ 26.46 TUR
Ticker
• Buy 1500 Fortis @ 26.46 TUR• Buy 500 Fortis @ 26.46 BEL• Buy 2000 Fortis @ 26.46 TUR
26.463000 26.461500 26.46500
AEX NETHERLANDS60%
200026.4926.444000
300026.4826.456000
300026.4726.466000
SizeAskBidSize
TURQUOISE30%
100026.4926.441000
500026.4826.455000
200026.4726.463500
SizeAskBidSize
Brussels Belgium10%
20026.5026.44500
50026.4926.451000
100026.4826.46500
SizeAskBidSize
Combined Order Book
350026.4926.445500
900026.4826.4511500
500026.4726.4610000
SizeAskBidSize
20026.5026.43900
TURQUOISE30%
100026.4926.441000
500026.4826.455000
200026.4726.463500
SizeAskBidSize
Brussels Belgium10%
20026.5026.44500
50026.4926.451000
100026.4826.46500
SizeAskBidSize
Combined Order Book
350026.4926.445500
900026.4826.4511500
500026.4726.4610000
SizeAskBidSize
20026.5026.43900
TURQUOISE30%
100026.4926.441000
500026.4826.441000
200026.4726.455000
SizeAskBidSize
Brussels Belgium10%
20026.5026.44500
50026.4926.44500
100026.4826.451000
SizeAskBidSize
Combined Order Book
350026.4926.445500
900026.4826.4511500
500026.4726.466000
SizeAskBidSize
20026.5026.43900
26.463000 26.46100026.46-2000
TURQUOISE30%
100026.4926.441000
500026.4826.455000
200026.4726.463000
SizeAskBidSize
Brussels Belgium10%
20026.5026.44500
50026.4926.451000
100026.4826.461000
SizeAskBidSize
AEX NETHERLANDS60%
200026.4926.444000
300026.4826.456000
300026.4726.464000
SizeAskBidSize
Combined Order Book
350026.4926.445500
900026.4826.4511500
500026.4726.468000
SizeAskBidSize
20026.5026.43900
TURQUOISE30%
100026.4926.441000
500026.4826.455000
200026.4726.463000
SizeAskBidSize
Combined Order Book
350026.4926.445500
900026.4826.4511500
500026.4726.468000
SizeAskBidSize
20026.5026.43900
27
Conclusion
Learning from the US experience is essential but aEuropean solution is paramount
A brokers responsibility to provide Best Execution
Being MiFID compliant does not imply true Best Execution
Broker selection and evaluation is the key
28
Contact and Disclaimer
For further information please contact• [email protected]• +44 20 7986 0711
Disclaimer© 2007 Citigroup Global Markets Limited. This material has been prepared by individual sales and/or trading personnel of
Citigroup or its subsidiaries or affiliates and not by Citigroup's research department. It is not investment research or aresearch recommendation for the purposes of FSA rules, as it does not constitute substantive research or analysis. Thisdocument is for informational and discussion purposes only. It is not intended to constitute an offer or solicitation for thepurchase or sale of any financial instruments, trading strategy, product or service and does not take into account theinvestment objectives or financial situation of any particular person. Investors should obtain advice based on their ownindividual circumstances from their own tax, financial, legal and other advisors before making an investment decision,and only make such decisions on the basis of the investor's own objectives, experience and resources. Citigroup shallhave no liability, contingent or otherwise, to the user or to third parties, for the quality, accuracy, timeliness, continuedavailability or completeness of the data, calculations nor for any special, indirect, incidental or consequential damageswhich may be experienced because of the use of the data made available herein. This document and its contents areproprietary information and products of Citigroup and may not be reproduced or otherwise disseminated in whole or inpart without Citigroup’s written consent. For further information, please contact your local Citi representative directly ifyou are interested in buying or selling any financial instrument, pursuing any trading strategy or product or servicementioned in this document. Not all products and services are available in all geographic areas. Your eligibility forparticular products and services is subject to final determination by Citigroup and/or its affiliates.
© 2007 Citigroup Global Markets Inc. All rights reserved. CITI and Citi and Arc Design along with Dagger, Scouter, and ISShadow are trademarks and service marks of Citigroup Inc. or its affiliates and are used and registered throughout theworld.
For further information please contact• [email protected]• +44 20 7986 0711
Disclaimer© 2007 Citigroup Global Markets Limited. This material has been prepared by individual sales and/or trading personnel of
Citigroup or its subsidiaries or affiliates and not by Citigroup's research department. It is not investment research or aresearch recommendation for the purposes of FSA rules, as it does not constitute substantive research or analysis. Thisdocument is for informational and discussion purposes only. It is not intended to constitute an offer or solicitation for thepurchase or sale of any financial instruments, trading strategy, product or service and does not take into account theinvestment objectives or financial situation of any particular person. Investors should obtain advice based on their ownindividual circumstances from their own tax, financial, legal and other advisors before making an investment decision,and only make such decisions on the basis of the investor's own objectives, experience and resources. Citigroup shallhave no liability, contingent or otherwise, to the user or to third parties, for the quality, accuracy, timeliness, continuedavailability or completeness of the data, calculations nor for any special, indirect, incidental or consequential damageswhich may be experienced because of the use of the data made available herein. This document and its contents areproprietary information and products of Citigroup and may not be reproduced or otherwise disseminated in whole or inpart without Citigroup’s written consent. For further information, please contact your local Citi representative directly ifyou are interested in buying or selling any financial instrument, pursuing any trading strategy or product or servicementioned in this document. Not all products and services are available in all geographic areas. Your eligibility forparticular products and services is subject to final determination by Citigroup and/or its affiliates.
© 2007 Citigroup Global Markets Inc. All rights reserved. CITI and Citi and Arc Design along with Dagger, Scouter, and ISShadow are trademarks and service marks of Citigroup Inc. or its affiliates and are used and registered throughout theworld.