High-Frequency Trading in Europe and the US – some insights

CESR has just published the responses to its consultation on Micro-structural issues of the European Equity Markets.

These offer some insights into the scale of High-Frequency Trading (HFT) in Europe, summarised below.

NYSE-Euronext: HFT is around 23% of transaction value on the NYSE-Euronext markets. The average HFT order size is around €8,000.

Chi-X: HFT is about 40% of trading activity on Chi-X lit book.

London Stock Exchange: HFT accounts for about 33% of order executions and 32% of value in the UK. [Interesting that the shares by trades and by value are so similar, but the LSE also reports that average trade size on SETS has fallen dramatically from £61,000 in 2000 to £8,000 in 2010.] Curiously, the HFT share on Turquoise is lower at 19% in 2010 Q1 and actually fell from 23% at the end of 2009.

It is generally accepted that the share of HFT in Europe is lower than in the US. The SEC’s Concept Release on Equity Market Structure finds that estimates of the share of HFT trading in the US are typically 50% of volume or higher. So Europe still has some way to go, if it is going to reach US levels.

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