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Statistiche › Intraday e microstruttura del mercato › Tick size pilot

A wider tick quintupled displayed depth, widened spreads, and did nothing reliable to volume

Control group|1 cent throughoutBefore the pilot: 1321During the pilot: 16581658Group 1|5 cent quotingBefore the pilot: 1386During the pilot: 60216021Group 2|plus 5 cent tradingBefore the pilot: 1267During the pilot: 59465946Group 3|plus trade-at ruleBefore the pilot: 1400During the pilot: 79957995Before the pilotDuring the pilot

Average quoted national best bid and offer depth in shares, before and during the tick size pilot. Pre-pilot period 1 September 2016 onward, pilot period to 29 December 2017. The difference in differences is significant for group 1 against the control and for group 3 against group 2.

The 2016 pilot widened quoted spreads by about 14% in the test groups and raised displayed depth by 335% to 471%. Volume did not reliably change, and two SEC working papers reach opposite conclusions on whether price efficiency improved or worsened.

+14.46% against +0.73%Average quoted spread change, first test group against control
+334.56% against +25.46%Quoted depth change, first test group against control
+471.03%Quoted depth change, third test group
NessunoStatistically significant effective spread results in the 15 month assessment

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