Retail Trade Sizes
The Xetra Retail Execution Service which launched on 20 May 2024 allows one, under certain conditions, to identify some trades as originating from a retail investor.
When an order submitted by a retail member organization (RMO) is matched against a quote from a retail liquidity provider (RLP) then a TradeReport is generated. Any match of an RMO order against non-RLP quotes, on the other hand, results in an ExecutionSummary - just like any other trade not involving RMO or RLP orders.
Hence, whenever we observe an event with only TradeReport (and TradeCondition = 743) then this is an aggressive retail order. If in the same event we see a TradeReport and an ExecutionSummary then the combined traded volume can be attributed to an aggressive retail order.
Note that this does not identify all retail orders. First, retail orders are not necessarily submitted by an RMO. Secondly, if an RMO orders only matches against non-RLP orders then it also cannot be identified as retail order. For the latter reason, the publicly identifiable retail orders have a slight bias towards (by around 10%) the larger orders - the larger the order, the more likely a RLP order participates in the match.
This allows us to compare the retail order sizes on Xetra with trades on retail-only venues as shown in Fig. 1 below.
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Tradegate, gettex, and LSX (Lang & Schwarz exchange) have extended trading hours. We only use trades during the regular trading hours for this comparison and only consider trades in the 40 DAX constituents. The average trade size on LSX and gettex is around 4.5 kEUR, 10 kEUR on Tradegate, and over 30 kEUR on Xetra! Isolated retail trades are hundreds of kEUR notional on Xetra.
Retail trades on Xetra are surprisingly large. In fact, the average Xetra retail order is significantly larger than the average non-retail order. One explanation for this could be that only those orders are routed to Xetra where other venues lack the required liquidity.
NB: The "RMO public" in the legend of Fig. 1 refers to the fact that we only consider those retail trades on Xetra which can be identified as such from the public data alone.
Data Sources:
Trader & Quant & Physicist
1 个月Which assets/instruments are included here please? Eurex can mean central clearing service of otc which is probably not included here? Thanks