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Explanation of Price Improvement Methodology

BATS Europe monitors market data feeds from major European Stock Exchanges and maintains a record of the best bid and offer for each stock on the relevant primary exchange (PBBO). For each trade that occurs on BATS, the price achieved by the aggressor is compared to this PBBO and the improvement (or disimprovement) of notional value achieved is recorded. If the BATS Europe trade represents a buy, it is compared to the price of the primary best offer and for sells, the primary best bid.

PBBO information is collected as close to the market data entry point to the BATS Europe system as is possible. Details of BATS Europe trades are analysed as close to the exit point for its market data feed as is possible. By comparing at these entry/exit points, the fairness of the comparison is improved. Any time the primary market is crossed, in auction or any similar unusual state, the improvement is discarded.

To understand this tool, you need to understand the following concepts:

  • At or Better: This is the percentage of the total notional value traded on BATS Europe that has achieved a price at least as good as that available on the primary exchange.
  • Better: This is the percentage of the total notional value traded on BATS Europe that has achieved a price better than that available on the primary exchange.
  • Notional Improved: This is the amount of extra (or less) money that trading participants have achieved through trading on the BATS Europe platform, rather than the relevant primary exchange.
  • bps: This is the notionally weighted basis points difference between the trade price and the PBBO. As a result of this, price improvement (or disimprovement) is more heavily weighted for high value trades than for low value trades.

Most of this information is available in tabular format directly on the Price Improvement widget, as seen below:

Sample Price Improvement Detail

The total amount of notional achieved for the current selection is displayed at the top of the widget near the various selection options. The following selection options are available:

  • Index: View price improvement information aggregated to the index level for a selection of major European indices monitored by BATS Europe.
  • Market: View price improvement information aggregated to the market level for all national markets available on BATS Europe.
  • Firm: For Trading Participants only
    • Index: View price improvement information that your trading firm has achieved in a selection of major European indices monitored by BATS Europe.
    • Market: View price improvement information that your trading firm has achieved in the various national markets available on BATS Europe.
  • Symbol: View price improvement achieved for individual symbols within the relevant containing selection. This view is achieved through drilling down into the data by clicking on a link in the table or the relevant bubble in the chart (discussed below).

In addition to the tabular format above, a graphical bubble chart format (in Flash or PNG) is also available. An example of the chart is shown below:

Sample Price Improvement Graph

Each bubble on the chart represents an individual row from the aforementioned table. A brief description of the features of this chart is set out below:

  • x-axis: Bubbles are plotted horizontally based upon the relevant data point's percentage of notional that achieved a better price.
  • y-axis: Bubbles are plotted vertically based upon the relevant data point's notionally weighted basis points price improvement achieved on the BATS platform.
  • Bubble Area: The area of each bubble is relative to the absolute notional value of price improvement achieved for the relevant data point.
  • Bubble Colour: For the index and market views, the colour of the bubble varies depending on the market centre the data represents (or for indices, the market centre most closely associated with the index). The colours used match those utilised on our Market Share page.
  • Bubble Colour Gradient: If there is price improvement, the colour gradient of the bubble is uniform. If there is price disimprovement, a gray and red gradient is applied.
  • Number of Bubbles: By default, up to the top 25 bubbles are shown. What is regarded as the "top" depends on the slider bias.
  • Slider Bias: The value here (either "bps" or "Notional") influences the order in which bubbles are added to the graph should there be more data points than what the graph is configured to show.
  • Tooltips: If you hover over a data point, you can see a range of information pertaining to that data point.

BATS Europe believes the data is reliable, but does not guarantee its accuracy or completeness. Data is delayed by fifteen minutes in order to comply with market data licence requirements.

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