Author:
Geoff Hammond, Head of Market Data, London Stock Exchange plc
Understanding the total amount of trading that is taking place in the UK equity market is crucial for market practitioners. Issuers need to understand the daily total traded volumes across all market mechanisms (including exchanges, MTFs, SIs, dark pools, and OTC) when making decisions about where to list their securities – without this they aren’t able to accurately compare total traded volumes across different markets and jurisdictions.
Data on the total volume traded on the LSE is widely available, however if market participants are using this LSE total volume as a proxy for the total market volume, then this means firms are undervaluing the amount of trading taking place on UK securities, potentially limiting their opportunities to engage with the market.
For example, on a sample day in July 2024 for Lloyds Banking Group (LLOY) and Vodafone Group (VOD) we can see that the total volume traded on the LSE represents less than 50% of the total amount traded across all market mechanisms, including MTFs, SIs and OTC:
Source: LSEG D&A Market Share Reporter
Feedback from the market suggests that obtaining this information is not as straightforward as it should be. Therefore, in order to bring greater transparency to UK equity markets, we have launched a new free daily Total Market Volume report. This report provides users with a daily total market volume across exchanges and MTFs, as well as volumes for trades executed OTC or via SI platforms, provided at an instrument level and on a T+1 basis.
Here is an extract of the file that we are producing daily:
| TRADE_DATE | TRADABLE_INSTRUMENT_CODE | TRADABLE_INSTRUMENT_DISPLAY_MNEMONIC | ISSUER_NAME | COUNTRY_OF_REGISTER | CURRENCY_CODE | MARKET_SEGMENT_CODE | MARKET_SECTOR_CODE | DAILY_VOLUME_TOTAL_MARKET |
|---|---|---|---|---|---|---|---|---|
|
30/07/2024 |
GB0003452173 | FGP | FIRSTGROUP PLC | GB | GBX | STMM | F25S | 2089168 |
|
30/07/2024 |
GB0003463287 | CTUK | CT UK CAP AND INC INV TRUST PLC | GB | GBX | SSMM | SSC6 | 76375 |
|
30/07/2024 |
GB0003463402 |
BASC | BROWN ADVISORY US SMALLER CO'S PLC | GB | GBX | SSMM | SSC6 | 34788 |
|
30/07/2024 |
GB0003466074 |
FCIT | F&C INVESTMENT TRUST PLC | GB | GBX | SET1 | FS10 | 1089321 |
|
30/07/2024 |
GB00034656021 |
BGCG | BAILLIE GIFFORD CHINA GRWTH TST PLC | GB | GBX | SSMM | SSC5 | 85725 |
|
30/07/2024 |
GB00034692513 |
GACB | GENERAL ACCIDENT PLC | GB | GBX | SSQ3 | SQQ3 | 231560 |
You can source this report from our LSE Data Shop – there is no charge for this service – and the file can be downloaded from our SFTP service daily. We are also planning to make this available to investors through existing tools and market data vendors.
This new service builds on our commitment to increase transparency in UK equity markets and other recent initiatives such as the waiver of market data end user fees for retail investors.
As well as working to launch this new service, we continue to look at how we can help customers more accurately determine the total amount of trading that is taking place on UK securities from their existing tools, such as market data vendor products. For example, LSEG D&A have produced an educational piece to help you locate this information using their existing products[1]:
https://thesource.lseg.com/thesource/getfile/index/a8f10332-0de2-49ab-b43f-7ff35a3a4d54
Should you have any questions about anything in this blog please get in touch with the LSE market data team at marketdata@lseg.com.
[1] Note that access to these tools are subject to LSEG D&A standard commercial arrangements.
Last updated 7 November 2024
