listing market outagescdn.batstrading.com/...outagesstudy_131010_final.pdf · 1. the period from...

© BATS Trading Limited 2010 1 Whilst BATS Trading Limited believes the information provided in this document is reliable, it is not warranted as to completeness or accuracy. Therefore, BATS Trading Limited does not accept liability for any errors or omissions in the contents of this document.

This document is provided for informational purposes only, and does not constitute an offer, solicitation, or recommendation with respect to the purchase or sale of any security.

Listing Market Outages: NYSE Euronext 13th October 2010

© BATS Trading Limited 2010 2

Executive Summary

At 15:42 BST on Wednesday 13th October 2010, the NYSE Euronext cash markets were halted due to human error. This paper builds upon previous analysis conducted by BATS Europe in relation to Listing Market outages. We have analysed market data and set out metrics by which to assess the impact of this outage on traded volumes on alternative trading venues (BATS Europe, Chi-X Europe and Turquoise), as well as the extent to which price formation took place on these venues during the outage.

The analysis demonstrates that, during the outage, traded volumes and execution rates on the alternative trading venues included in the study continued at a level comparable to normal, although we did not see a significant shift in liquidity from NYSE Euronext to these venues.

In addition, the analysis demonstrates that trading on the MTFs continued to show good price formation during the outage in the absence of a price from the Listing Market and that the prices on these venues were consistent with those of comparable European indices. This contrasts with the trading that took place at divergent – and effectively stale – prices on NYSE Euronext following the re-opening of its market prior to market close and during the Closing Auction.

We consider that the ability of the broad market to continue trading on alternative venues during a Listing Market (or alternative trading venue) outage has and will continue to strengthen the systemic stability of the overall market such that there is no single point of failure. As alternative trading venues continue to demonstrate resilience, consistent volume and reliable price formation during Listing Market outages, we expect more trading firms to be able and willing to continue trading.

Clearly it is important that individual venue outages are managed in a way that encourages the orderly continuation of trading. Therefore, we believe there is a strong need for a European protocol on trading venue outages to ensure that outages are managed in an orderly and consistent manner. We also consider that, given the proportion of trading that takes place on alternative trading venues compared with the Listing Markets, as well as the price formation that takes place on these venues, the index values would be a better representation of the overall market if they included prices from these venues. Similarly, inclusion of prices from alternative trading venues would help to ensure the continued availability of an index value, even in the event of a Listing Market outage, which would be beneficial to investors who maintain fund and derivative positions marked to index values.

Introduction

At 15:42 BST on Wednesday 13th October 2010, the NYSE Euronext cash markets (consisting of the Paris, Amsterdam, Brussels and Lisbon exchanges) were halted due to human error.1

This document analyses the impact of the NYSE Euronext outage on trading volumes on alternative trading venues (BATS Europe, Chi-X Europe and Turquoise), as well as the extent to which price formation took place on these venues during the outage.

We have previously published an analysis of the impact of Listing Market outages2

It is interesting to note that, since the publication of our original paper with respect to the London Stock Exchange’s 9th November 2009 outage, there have been a number of factors that may have affected the way in which market participants reacted to this latest outage, including: the continued growth in the market share of alternative trading

and, to aid comparison, we have sought to use the same high level metrics. We have supplemented these with additional metrics to analyse trading firm participation levels during the outage as well as the price formation on alternative venues that occurred during the outage.

1 See NYSE Euronext notice: http://www.euronext.com/fic/000/060/245/602450.pdf 2 http://www.batstrading.co.uk/resources/publications/LSE_outage_whitepaper.pdf

http://www.euronext.com/fic/000/060/245/602450.pdf�http://www.batstrading.co.uk/resources/publications/LSE_outage_whitepaper.pdf�


venues (in the case of the CAC 40, from approximately 24% to 35% since November 2009); further Listing Market outages (including a second LSE outage and a market data outage at SIX Swiss Exchange); and the recent publication of Market Watch 36 by the FSA, which sets the FSA’s expectations of best practice in relation to managing trading venue outages. 3

Timeline

The following timeline is constructed from market data, and the incident updates published by NYSE Euronext.

• 15:42:13 – NYSE Euronext stops distributing market data.

• 15:42:15 – Last trade on BATS Europe Dark Book before it automatically shut down due to stale data from NYSE Euronext. Note: The BATS Europe Dark Book is a reference price system, which only matches at the midpoint of the Best Bid and Offer on the Listing Market.

• 15:45 – NYSE Euronext incident page reports that NYSE Euronext is ‘experiencing technical issues’ and has halted the market.

• 15:46 – BATS Europe alerts its participants that its Dark Book, as well as pegged orders and price collars in the Integrated Book, are not available for NYSE Euronext instruments. Core functionality of the BATS Europe Integrated Book is unaffected by the NYSE Euronext outage.

• 16:02 – NYSE Euronext reports ‘Investigation on going’.

• 16:15 – NYSE Euronext reports that the Closing Auction may be delayed.

• 16:15:20 – Timestamp of the first trade from NYSE Euronext after the resumption for Paris listed securities. This trade was published at 17:01.

• 16:18:25 – Timestamp of the first trade from NYSE Euronext after the resumption for Amsterdam, Brussels and Lisbon listed securities. This trade was published at 17:01.

• 16:20 – NYSE Euronext reports that the market is resuming. At this time, no market data was being distributed by NYSE Euronext.

• 16:26 - NYSE Euronext reports that the Closing Auction will operate on schedule.4

• 16:50 – NYSE Euronext reports that it is working on the ‘rebroadcasting of the Market Data’.

• 17:01 – NYSE Euronext publishes market data from 16:15 through to market close and the Closing Auction.

• 17:27 – NYSE Euronext announces that trades will be cancelled upon request from the Members. 5

Analysis

BATS Europe tracks the market share of major trading venues (exchanges and MTFs) in Europe and makes this data publicly available on its website at http://www.batstrading.co.uk/market_data/market_share.

Using this data, we analysed trading patterns in constituents of the AEX, CAC 40 and CAC Next20 indices during the outage on 13th October compared with trading in these securities on 12th October. These indices were chosen as they

3 http://www.fsa.gov.uk/pubs/newsletters/mw_newsletter36.pdf 4 During NYSE Euronext’s customer call the following day on the outage, NYSE Euronext referred to the Closing Auction as a ‘blind auction’, due to the lack of published market data. 5 The note about cancelling trades was later removed.

http://www.batstrading.co.uk/market_data/market_share�http://www.fsa.gov.uk/pubs/newsletters/mw_newsletter36.pdf�


allow us to study trading patterns across liquidity and capitalisation profiles, as they represent the two largest large cap indices whose constituents are listed on NYSE Euronext, as well as a mid cap index.

The analysis is split into three sections:

1. Execution rates.

2. Participation levels.

3. Price formation.

The analysis pays particular attention to three specific time frames:

1. the period from 14:30 (US open) to 15:42 (time of the outage);

2. the period from 15:42 (time of the outage) to 16:30 (market close); and

3. the Closing Auction on NYSE Euronext.

Although there was a resumption of trading activity on NYSE Euronext immediately prior to market close and the Closing Auction, this trading was effectively dark, as no market data was published in real-time. It did not, therefore, contribute to price formation.6

Four venues are considered in the analysis: NYSE Euronext, BATS Europe, Chi-X Europe and Turquoise. While other MTFs offer trading in NYSE Euronext listed securities, the four venues included in the analysis collectively represent over 99% of displayed order book trading in these securities as tracked by BATS Europe.

As such, it is not considered as a separate period for the purposes of the study, although it is included in the tables below.

Execution rates

The following tables show how the volume traded on NYSE Euronext and on the MTFs (in aggregate) during the periods analysed on 13th October compared with the trading volumes during the same time periods on the previous day. The notional value traded on NYSE Euronext during the outage is calculated from the data that was published after the close. The last column shows the values from 13th October compared with those from 12th October, expressed as a percentage.

CAC 40 12th October 2010 13th October 2010 13th vs. 12th

Time NYSE Euronext MTFs NYSE Euronext MTFs Euronext MTFs

14:30-15:42 € 445,483,131 € 317,952,416 € 500,085,651 € 388,489,725 112% 122%

15:42-16:30 € 350,948,939 € 245,356,406 € 52,332,259 € 230,398,477 15% 94%

Closing auction € 618,015,316 € 547,414,152 89%

Table 1: CAC 40 Executions, 12th vs. 13th October

6 See section below for further discussion on price formation during the outage.


AEX 12th October 2010 13th October 2010 13th vs. 12th


14:30-15:42 € 188,025,251 € 158,785,670 € 251,289,479 € 212,355,893 134% 134%

15:42-16:30 € 127,623,106 € 112,261,716 € 16,035,100 € 123,833,915 13% 110%

Closing auction € 184,695,278 € 162,225,405 88%

Table 2: AEX Executions, 12th vs. 13th October

CAC Next20 12th October 2010 13th October 2010 13th vs. 12th


14:30-15:42 € 45,134,814 € 18,975,107 € 51,300,688 € 22,640,611 114% 119%

15:42-16:30 € 40,266,411 € 16,704,943 € 4,666,347 € 18,523,848 12% 111%

Closing auction € 44,848,086 € 38,483,527 86%

Table 3: CAC Next20 Executions, 12th vs. 13th October

Using the execution rates of 12th October as a baseline, the market (i.e. NYSE Euronext and the MTFs) was executing on 13th October at a rate of between 112% and 134% of the baseline in the 72 minutes leading up to the outage. The MTFs continued at a rate of between 94% and 111% of the baseline during the outage period.

We can draw two conclusions from this high level data:

1. Trading continued at a steady pace on the MTFs during the outage.

2. There was no aggregate shift of trading from NYSE Euronext to the MTFs during the outage.

In order to give a more detailed illustration of execution rates during continuous trading in the periods analysed, Charts 1 to 3 below show the execution rate in the AEX, CAC 40 and CAC Next20, in Euros/minute as a stacked chart, for the four venues considered in the study.


Chart 1: Execution rates, CAC 40

Chart 2: Execution rates, AEX


Chart 3: Execution rates, CAC Next20

Charts 4 to 6 below show the execution rates for the three MTFs included in the study on 13th October compared with 12th October, as a 5 minute moving average.

Chart 4: MTF Execution rates, CAC 40 12th vs. 13th October

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Chart 5: MTF Execution rates, AEX 12th October vs. 13th October

Chart 6: MTF Execution rates, CAC Next20 12th October vs. 13th October

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In each of these cases, we see an immediate slowdown in the execution rates on the MTFs after the beginning of the outage. This is followed by a recovery to execution rates close to (or in the case of the CAC Next20 index, higher than) the activity immediately prior to the outage.7

Participation levels

This is consistent with the way in which trading firms would be expected to react in response to such an event; that is, pause, evaluate the outage and available liquidity, and then re-enter the market in a controlled fashion.

Chart 7 below illustrates the number of firms executing trades on BATS Europe in each 5 minute period from 14:30 up to market close on 13th October, as a percentage of the number of firms who executed trades during the same 5 minute period on the previous day.

Chart 7: Firms executing trades on BATS Europe

Prior to the outage, we see approximately the same participation level in our market as on the previous day. The participation level in the AEX and CAC 40 ranges from 81% to 130%, whereas the participation level in the CAC Next20 ranges from 70% to 173%. In the case of the CAC Next20, we would suggest that the increased volatility in participation is due to the index’s less liquid nature.

During the outage, we see participation in the AEX and CAC 40 ranging from 70% to 107% of the previous day and from 73% to 91% in the CAC Next20.

We do not include specific firm data in this study, but we note that firms reacted differently during the outage to the extent that some decreased their activity and some increased activity. There were no specific patterns in the types of firm (for example, liquidity provider, investment bank, agency broker, etc) who increased or decreased their trading activity during the outage.

7 Although not shown in this study, the BEL20, PSI20 and AMX indices show a similar pattern. Data available on request.


Price formation

Some market commentators have questioned whether price formation – and, indeed, reliable price formation – can take place on alternative trading venues; in particular, in the absence of a price on the Listing Market. This outage, and the strong volumes which continued on the MTFs while there was no price formed on and/or published by the Listing Market, gives us an opportunity to objectively consider these questions.

We also have an opportunity to study the effectiveness of NYSE Euronext’s re-opening process following the outage, and the impact of this approach on the prices received by investors as the European markets closed for the day.

Chart 8 below shows the value of three large cap European indices from 14:30 through to market close: the FTSE 100, DAX and FTSE MIB.8

Index values are shown as a percentage difference from the value of the index at 15:42, the start of the outage.

Chart 8: FTSE 100, DAX and FTSE MIB index values

Continuous trading in the FTSE MIB stops at 16:25 prior to Borsa Italiana’s Closing Auction, whereas continuous trading in the FTSE 100 and DAX continues until 16:30 before the LSE’s and Deutsche Börse’s Closing Auctions.

In Chart 8 we see a rally (which had been underway all day) peaking at 16:09, before declining to close between 5 bps and 19 bps higher than the 15:42 price.

We have taken prices from BATS Europe, Chi-X Europe and Turquoise to construct a value for the CAC 40, AEX and CAC Next20 indices from 14:30 through to the close. Chart 9 shows the FTSE 100, DAX and FTSE MIB, overlaid with the CAC 40 index value derived from the MTFs during that period.

8 Data is from the Listing Market for securities in each index.

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Chart 9: Index values for the CAC 40 from the MTFs vs. baseline indices.

Chart 9 clearly shows the CAC 40 trading on the MTFs in line with other large cap European indices during the period of the outage. As shown in table 1 above, €230mm was traded in CAC 40 securities on the MTFs after 15:42, which indicates market confidence in these prices.

Chart 10 below shows the same activity with the addition of prices from NYSE Euronext after its resumption at 16:15, although again it is important to note that these prices were not published until 17:01 due to the continued market data issue.


Chart 10: CAC 40 vs. baseline indices

Unsurprisingly, prices from NYSE Euronext and the MTFs are closely aligned prior to the outage. However, the value of the CAC 40 as derived from NYSE Euronext prices following the resumption diverges significantly from both the MTF value and those of other large cap European indices. The average divergence of the CAC 40 as derived from NYSE Euronext prices and the value of the CAC 40 as derived from MTF prices throughout the period up to market close is 19 bps, during which time €52mm executed on NYSE Euronext.

With respect to the prices on NYSE Euronext during the period between the resumption of trading and market close, and the process by which NYSE Euronext re-opened its market, we would note the comments from the FSA in Market Watch 36:

Members and the wider market should be given advance notice of when the venue plans to restart. This should allow preparation of systems and clarification of order status to help manage existing trading positions. Members must be clear about the state of their orders. Solutions could include cancelling all orders at the beginning of an outage or repopulating the order book before restarting. In any event, members should be informed of whether trading will recommence with a repopulated or clean order book.

It is clear that NYSE Euronext did not follow this statement of good practice. Specifically:

1. NYSE Euronext did not empty its order books before restarting its matching engines, and did not offer its Members an opportunity to cancel orders. As a result, its order books reflected the market as of 15:42, whereas trading had continued on alternative venues in the meantime and the market had moved by 33 bps.

2. The NYSE Euronext status page was updated at 16:20 to say that a market resumption was underway. However, the market data that was later distributed suggests that the market resumed at 16:15:20.

3. There was no market data distributed by NYSE Euronext until 17:01. This included the Closing Auction, which was run ‘blind’, i.e. without the publication of market data.


We contend that the process used by NYSE Euronext to re-open its market was not orderly and is responsible for the price divergence between it and the MTFs, and with respect to other European indices. This is an important point as this particular outage has demonstrated the validity of the price formation on alternative venues and, therefore, the importance of a trading venue experiencing an outage to take into account the price formation that has taken place on alternative venues in the time between the outage and the resumption.

Chart 11 and Chart 12 below show index values for the AEX and the CAC Next20 indices during the period, using the same methodology as the CAC 40 graph above.

Chart 11: AEX vs. baseline indices


Chart 12: CAC Next20 vs. baseline indices

As seen in Chart 11 above, the AEX shows a similar level of correlation to the other large cap indices as we saw with the CAC 40, albeit to a slightly lesser degree.

Chart 12 illustrates that trading in the CAC Next20 on the MTFs rallied slightly along with the rest of the market. There is an obvious outlier on Chi-X Europe from 16:01 to 16:06, which resulted from two trades in Thales SA (HOp) at 4.5% higher than the prevailing market. Thales SA constitutes 4% of the CAC Next 20, which results in an 18 bps increase in index value. The “blind” Closing Auction for CAC Next20 securities on NYSE Euronext executed €38mm at a price 27 bps below the closing price on the MTFs.

Conclusion

In our previous paper, we highlighted that:

• Alternative trading venues provide good price formation and liquidity, even in the event of a Listing Market outage.

• However, it is imperative that all trading venues provide timely and accurate information about issues in order that trading participants can assess the impact and adjust their trading decisions as necessary.

We consider that the ability of the broad market to continue trading on alternative venues during a Listing Market (or indeed alternative trading venue) outage has and will continue to strengthen the systemic stability of the overall market such that there is no single point of failure. However, clearly it is important that outages are managed in a way that encourages the orderly continuation of trading.

We suggested that there should be a clear protocol for trading venues outages to ensure consistency so that market participants can plan for such scenarios and that trading will remain orderly. In particular, we noted that:

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• Trading venues experiencing difficulties should provide concise, accurate and timely information to market participants (including competing trading venues).

• When a trading venue is unable to trade, it should close its markets and clear all order books (thus giving participants certainty about their position and therefore giving them a choice to trade elsewhere).

• During an outage, trading venues should refrain from distributing data which suggests there is liquidity at that trading venue.

• Once a resolution is reached, trading venues should signal a clear re-opening time to market participants. The re-opening may (depending on market practice) be preceded by an auction, but this auction should represent live liquidity and should be brief (we suggest no more than 10 minutes).9

We also suggested that market participants should be prepared to route around trading venues experiencing problems.

Since then, the FSA has published Market Watch 36, which sets out good practice in the event of trading venue outages with respect to the venue experiencing the outage, other trading venues, and firms that are members of the relevant trading venue.

Trading volumes and price formation on alternative trading venues

As illustrated above, during the NYSE Euronext outage on 13th October, traded volumes and execution rates on the MTFs continued at a level comparable to normal, although we did not see a significant shift in liquidity from NYSE Euronext to alternative trading venues. This is similar to the experience during previous Listing Market outages analysed.10

As illustrated in the analysis in this paper, trading on the MTFs showed good price formation during the NYSE Euronext outage in the absence of a price from the Listing Market and that the prices on the MTFs were consistent with those of comparable European indices. We have contrasted this with the trading that took place at divergent – and effectively stale – prices on NYSE Euronext following the re-opening of its market prior to market close and during the Closing Auction.

Our analysis reiterates our findings in our previous paper and demonstrates that the market is able to effectively function in terms of volume and price formation in the event of a Listing Market outage. The participation level on our market demonstrated that trading firms were both able and willing to trade on alternative venues during the NYSE Euronext outage. We note the comment from the FSA in Market Watch 36 that “it may be desirable for firms to have connectivity to multiple venues to ensure business continuity in the event of an outage on any individual trading venue”. As alternative trading venues continue to demonstrate resilience, consistent volume and reliable price formation during Listing Market outages, we expect more firms to follow this advice, thus allowing even greater volume and liquidity during future events.

Inclusion of alternative trading venue prices in index calculations

Given the proportion of trading that takes place on alternative trading venues compared with the Listing Markets and the reliability of price formation, we consider that the indices would be a better representation of the overall market if they included prices from these venues. In addition, inclusion of prices from alternative trading venues would help to ensure the continued availability of an index value, even in the event of a Listing Market outage, which would be beneficial to investors who maintain fund and derivative positions marked to index values.

9 In general, this should only last in the order of 1 to 3 minutes, with up to 10 minutes for exceptional circumstances. 10 With the exception of the LSE outage on 26th November 2009, during which time the LSE placed its systems in Auction Mode and published market data which was not indicative of live trading interest. We have previously contended that this approach had the effect of preventing or complicating the continuation of trading on alternative trading venues during the outage.


A common European protocol for trading venue outages

While the FSA set out useful comments on best practice with respect to trading venue outages, as equities trading becomes increasingly pan-European in nature, we consider that a protocol on outages should exist not only for the UK market but at a European level, such that there is consistency amongst European trading venues and market participants.

Listing Market Outages:NYSE Euronext 13th October 2010Executive SummaryIntroductionAt 15:42 BST on Wednesday 13th October 2010, the NYSE Euronext cash markets (consisting of the Paris, Amsterdam, Brussels and Lisbon exchanges) were halted due to human error.0FThis document analyses the impact of the NYSE Euronext outage on trading volumes on alternative trading venues (BATS Europe, Chi-X Europe and Turquoise), as well as the extent to which price formation took place on these venues during the outage.TimelineThe following timeline is constructed from market data, and the incident updates published by NYSE Euronext. 15:42:13 – NYSE Euronext stops distributing market data.AnalysisExecution ratesParticipation levelsPrice formationSome market commentators have questioned whether price formation – and, indeed, reliable price formation – can take place on alternative trading venues; in particular, in the absence of a price on the Listing Market. This outage, and the strong volum...We also have an opportunity to study the effectiveness of NYSE Euronext’s re-opening process following the outage, and the impact of this approach on the prices received by investors as the European markets closed for the day.Chart 8 below shows the value of three large cap European indices from 14:30 through to market close: the FTSE 100, DAX and FTSE MIB.7F Index values are shown as a percentage difference from the value of the index at 15:42, the start of the outage./Conclusion

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