Dark trading mechanisms have become an integral part of the European liquidity landscape. In this context, the PBBO midpoint is a core benchmark. In the latest Trading InfoSnack, the equity experts at SIX Swiss Exchange are evaluating what proportion of trading activity actually occurs at this price and the impact of trading at a ‘stale price’.

Overall, dark trading (i.e. trading without pre-trade transparency) accounts for about 10% of the order book volume in European equities. Whilst this volume is fragmented across several dark venues and dark market mechanisms, much of it intends to trade at the PBBO midpoint. It provides a robust indication of the actual current price at which securities are trading. As such, an analysis of the proportion of trades occuring away from this price across dark trading venues yields some interesting insights, which are presented in SIX Swiss Exchange's latest Trading InfoSnack.

The full article is available online as SIX Swiss Exchange's Trading Infosnack #09.