Stats › Intraday and market microstructure › How much is algo
On the same data the high frequency share of European trading is either 24% or 43%
| Measure | Firm identity definition | Order lifetime definition | Ratio |
|---|---|---|---|
| Value traded | 24% | 43% | 1.8 times |
| Number of trades | 30% | 49% | 1.6 times |
| Number of orders | 58% | 76% | 1.3 times |
| Auctions only, value | 3% | 32% | More than ten times |
| Range across twelve venues, value | 8% to 40% | 19% to 63% | Overlapping but not comparable |
100 stocks across nine countries and twelve venues, May 2013, about 10.5 million trades and 456 million messages. The firm identity approach flagged 20 of 394 firm groups as high frequency and counts all their trading. The order lifetime approach counts a firm's trading in a stock if its quickest tenth of modifications and cancellations is faster than 100 milliseconds. No significance statistic is reported anywhere in the report.
The supervisor measured one month of European equity trading two ways. Identifying firms by their business gives 24 per cent of value traded. Identifying behaviour by order lifetime gives 43 per cent. Both numbers are published in the same report.
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