Periodic auctions: shaping the balance of liquidity for European equities

First published in TabbFORUM

By Arnaud Bossard, Senior Quant Analyst, BMLL

Periodic auctions (PA) are no longer marginal; they have come to shape European market microstructure and are now both

microstructure and are now both measurable and actionable. In fact, aggregated periodic auctions activity across the four main European Exchanges shows that PA to Lit ratio crossed the 10% threshold for the first time in 2025 and is likely to accelerate in 2026, with the upcoming launch of a PA-only MTF, OneChronos, which has received FCA approval in Q4 2025.

As European markets continue to evolve under new regulatory frameworks, periodic auctions are likely to become more prominent, especially as liquidity demand increases and traders seek more efficient ways to execute large trades. The integration of advanced data analytics, machine learning, and algorithmic trading will only increase the efficiency of these auctions.

It is more important than ever to understand and adapt to these evolving market structural shifts. We are focused on providing market participants with the data, analytics and tools they need to understand and adapt to these changing dynamics and make better informed decisions. Here are our insights into the rise of PAs and their impact on market microstructure.

The quiet, steady evolution of Period Auctions

Since the implementation of MiFID II in 2018, Periodic Auctions (PAs) have quietly but steadily become one of the most dynamic components of the European equity landscape.

While originally viewed as a niche microstructure phenomenon utilised to circumnavigate Dark Caps, their increasing share of traded notional now represents a meaningful part of overall lit trading, especially since the initial introduction of the "double volume cap" (DVC), now transitioned to the “single volume cap” (SVC), which restricts Dark trading once certain volume thresholds are met. To note, PAs are considered lit due to publishing indicative execution volume and price, prior to uncrossing fulfilling pre-trade transparency requirements.

This evolution raises important questions for market participants, from execution desks seeking liquidity, to quants modelling microstructure impact, about where, when, and how liquidity is truly forming today. Using BMLL granular datasets, we can quantify and visualise this transformation in unprecedented detail.

We have considered a universe of study based on all the equities related to instruments trading on the major primary venues in Europe (LSE, Euronext, Xetra, etc.). For the window of analysis, we have started from the introduction of MIFID II regulations in 2018 until now. For point in time analysis, we have focused on recent months as most of previous studies had stopped around 2023.

Notional Traded and PA share

Since 2018, the ratio of traded notional in PAs has risen steadily relative to continuous Lit markets. Aggregating PA activity across the four main European venues (CBOE, Aquis, Turquoise, and Sigma) and comparing it with Lit notional for the same instruments on primary exchanges and MTFs, we observe a clear and persistent upward trend. Remarkably, this “PA to Lit ratio” crossed the 10% threshold in 2025 and has accelerated further in recent months.

Importantly, this dynamic is not simply the result of a shrinking denominator (Lit notional). Total Lit notional has fluctuated over time but does not exhibit any meaningful downward trend, whereas PA notional shows a clear and sustained increase (this trend is even more noticeable on the second notional plot, using a log scale).

Figure 4 displays an area chart based on traded notional, which similarly highlights how PAs have progressively gained ground relative to both continuous Lit trading and Dark trading below Large-in-Scale (LIS).

Given the above, a natural next step in the analysis is to determine whether the growth in traded notional is driven primarily by an increase in the frequency of periodic auctions or by a higher conversion rate of those auctions into executed trades.

Periodic Auction count, success rate and intraday profile

Using BMLL’s auction data, we can track the total number of PAs per month across European venues. After a relatively modest start in the early years of MIFID II, the monthly count of periodic auctions rose sharply, helped by the emergence of new European MTFs around the time of Brexit. From our analysis we see the number of PAs continued to grow until late 2023, after which it stabilised: since then, monthly activity has mostly fluctuated around roughly 250 million periodic auctions with some modest growth.

There are generally two factors that can explain why notional traded through periodic auctions is increasing, even though the number of auctions is rising at a much slower pace (as seen in Fig7). The growth in notional could be driven by a higher execution rate (i.e., a larger proportion of auctions resulting in trades) or by larger volumes being executed in the auctions that do uncross. Based on several examples we reviewed in our data, it appears that both effects are contributing factors.

This trend is consistent with increasing market participation in periodic auctions. With a relatively stable (but growing) number of auction events but more participants submitting interest, it is natural to see both a higher frequency of successful uncrossings and larger executed volumes in those auctions.

A deeper look at Periodic Auction trading activity

When aggregating all PA trading activity into 5-minute intervals (averaged across all September 2025 trading days and displayed in UTC) it shows that activity is relatively steady from the European open at 07:00am through the US open at 01:30pm. Activity then increases noticeably during the overlap with the US trading hours.

Restricting the analysis to the components of the CBOE UK 100 index shows a similar picture to considering another index such as the French large-cap universe (FR 40), highlighting the fact that this relatively flat shape of intraday profile is a robust feature of PA trading rather than an artifact of a single market segment.

Impact of Periodic Auctions: markouts and what they reveal

From a transparency perspective, PAs are often positioned between Lit and Dark trading. They provide pre-trade transparency in the form of indicative prices and volumes, but they remain structurally more opaque than fully lit continuous markets. They offer mid-point uncrossing, positioning them closer to Dark trades, particularly for orders below the Large In Size (LIS) threshold, without the cap associated with Dark book transactions.

To assess their effective market impact, we compare post-trade markout profiles for PA executions with those of Dark trades below LIS and Lit continuous trades. The results show that PAs behave much more like Dark trades than like Lit continuous prints: short-horizon markouts are low and relatively flat, indicating limited information leakage and price impact. In fact, PA trades exhibit slightly lower markouts than dark below-LIS trades in our sample, which may reflect differences in typical trade sizes, the type of order flow using PAs, or the interaction between auction design and liquidity-seeking algorithms.

A new MTF focused on PAs coming to EU: OneChronos

The microstructure landscape is also evolving with the arrival of a new PA-centered venue: OneChronos, an ATS operating in the US. It is built around exclusively periodic, optimisation-based auctions. OneChronos has seen a steady increase of notional traded in US equities over time, highlighting growing market adoption of this alternative matching model.

OneChronos has recently received approval from the UK Financial Conduct Authority (FCA) to operate a regulated venue in the UK and is currently seeking authorisation for an additional entity within the EU. The launch of a PA-only MTF in Europe has the potential to further shift the balance of liquidity across venues and to accelerate innovation in auction design, making the European PA ecosystem even more diverse and competitive.

Periodic Auctions are shaping the future of the European equity markets.

Periodic Auctions have evolved from a regulatory curiosity to a genuine microstructure mechanism, shaping real liquidity in European equities. Today, they are improving liquidity, reducing volatility, and enabling more transparent price discovery. Their growing share, stable intraday pattern, and relatively small impact now make them an essential and attractive component for anyone designing liquidity-seeking algorithms or looking to reduce cost of execution.

For trading firms, asset managers, and data scientists, access to granular Periodic Auction data enables:

• Better detection of hidden liquidity patterns.

• A more accurate measure of the evolution of that type of trading.

• Improved understanding of how venue microstructure affects price formation.