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
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.
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.
Clearpool is the brand name for the Electronic Trading Technology Platform of BMO Financial Group.