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QOTW (Oct 18th 2016): What are the observable effects of the tick pilot so far?

What are the observable effects of the tick pilot so far?

 

Chart 1:  Group 1 top of book depth and spread pre & post tick pilot 

Chart 2: Group 2 top of book depth and spread pre & post tick pilot

Chart 3: Control group top of book depth and spread pre & post tick pilot 

  • Group 1 stocks display a slight increase in spread during the pilot, from an average of 8.6 cps Pre-Pilot to an average of 10.2 cps during Week 2.
  • Group 1 stocks’ top of book depth increased significantly, averaging 2-3x Pre-Pilot top of book depth.
  • Group 2 stocks display a larger increase in spread during the pilot, from an average of 8.2 cps Pre-Pilot to an average of 11.6 cps during Week 2.
  • Group 2 stocks’ top of book depth increased even more than Group 1, averaging 2-4x Pre-Pilot top of book depth.
  • Control Group stocks exhibited similar top of book depth and nearly identical spread patterns to Pre-Pilot measures.

 

Group 1 tick pilot top of book depth and spreads are based on 98 stocks selected during the second week. Group 2 tick pilot top of book depth and spreads are based on 97 stocks selected during the second week. The control group consists of 1,185 stocks. These are time weighted 5 minute bin spreads and time weighted 5 minute bin average depth.The analysis period is from 2016-10-10 to 2016-10-14. Pre-Pilot metrics were calculated using the time period 2016-01-01 to 2016-09-30. More information about the list of tick pilot securities can be found here.

 

Refer to Equity Related Analytics for information on available Equity Related Analytics.

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