MEMX compares favorably in execution quality, markouts, and quote stability to exchange peers in an independent analysis by Clearpool
Highlights & Recent Developments
Market share hit an all-time record of 3.95% on August 30th
MEMX became the 5th largest exchange for ETPs, with market share of 4.1% in August, including a record 4.6% share on August 18 and 5.0% share in SPY on August 17
Market share and NBBO quoting time grew significantly in S&P 500 stocks
Data on realized spreads (trade-to-mid markouts) and quote stability shows MEMX compares favorably to the largest maker/taker exchanges
New blog post: Read why MEMX submitted a request to the SEC to quote at .005 increments in tick constrained names. Read here
Market Share
Market share climbed to new highs for the month, hitting an average 3.4% total market share and 5.9% on-exchange market share. MEMX closed out August with a 5-day moving average 3.5% total market share and 6.3% on-exchange market share.
MEMX market share in S&P 500 stocks climbed a full percentage point, from 2.4% on July 30 to 3.4% on August 30. Higher average time quoting at the NBBO in S&P stocks was a key contributor.
Volume & Diversity of Liquidity
MEMX compares favorably to its maker/taker exchange peers in execution quality according to Clearpool’s independent venue analysis tool, which examines trade activity from 100+ broker-dealers servicing the world’s largest asset managers.
Liquidity adders experienced a smaller loss at MEMX than at other large exchange peers looking 100 milliseconds out.
Source: Clearpool Venue Analysis. Realized Spread (Trade-to-Mid Markouts) captures the short-term execution cost of the price changing adversely against liquidity providers by measuring the change in the NBBO midpoint immediately after the trade as a percentage of the quoted spread. A positive number indicates a profit and a negative number a loss. The data does not reflect exchange rebates paid to liquidity adders.
48.2% of MEMX trades experienced no change in the midpoint 100 milliseconds after a trade. Quote stability performance on MEMX is comparable to other large make/take exchanges.
Source: Clearpool Venue Analysis. Quote stability measures the percentage of trades where the NBBO midpoint did not change.
Clearpool is the brand name for the Electronic Trading Technology Platform of BMO Financial Group.