The Impact of U.S. Tick Size Pilot on Canada
The US Tick Size Pilot is designed to test whether widening the tick size for securities of smaller capitalization companies would impact market quality of those securities. Launched for an initial group of 5 securities on 3rd October 2016, the program will gradually reach the targeted coverage of 1,200 securities by the end of the month. This page can be used to determine the impact of the U.S. tick size pilot program on Canadian markets.
Choose the markets and groups to display in the charts below from this menu:
This table gives an indication of the change in direction in the score for each market and metric after the pilot rollout on 2016-10-03. All days in the selected date range are used.
- An increasing arrow indicates an increasing score. A higher score may be associated with increased market share, or a decreased spread, for example.
- Custom weights can be specified in the text boxes to alter the impact of that metric in the overall score per market and group.
How is the overall score calculated?
The chart below shows the change in overall score over the entire date range.
Volume Share Metrics
Total Volume Share (%) – The percentage of each trading venue's total trading volume over the consolidated trading volume.
Total Trade Volume – The daily total trade volume during each trading venue's trading hours.
Quoted Spread and Depth
Quoted Spread – The difference between each exchange's bid and ask price over the midpoint of the quote measured in basis points. This metric is value weighted.
Quoted Depth – The average time adjusted quoted bid size plus ask size when each lit trading venue is at the national best bid offer (NBBO).
Intraday and Interday Volatility
Intraday Volatility – The intraday mid-point price return volatility (with configurable grace period). This metric is value weighted.
Interday Volatility – The daily close price return volatility. This metric is value weighted.
National Best Bid Offer (NBBO)
% time at NBBO – The percentage of time each exchange is at national best bid and ask between 9:30am and 4pm. In contrast to SIP NBBO data, the CMCRC constructs the NBBO in a way that gives multiple exchanges credit when there is a tie. This metric is volume weighted.
NBBO Effective Spread (bps) – The percentage signed difference between trade price in each trading venue and the prevailing NBBO midpoint, measured in basis points. This metric is value weighted.
NBBO Realised Spread (bps) – The percentage signed difference between trade price in each trading venue and NBBO midpoint after a grace period, which is currently set as 10 minutes, measured in basis points. This metric is value weighted.
Price Impact (bps) – The difference between NBBO effective spread and NBBO realised spread over 10 minutes. This metric is value weighted.
Market Efficiency Metrics derived from best bid and offer at market level
Value Share over Depth Share – The ratio of trading value share over the percentage of NBBO $depth between 9:30am and 4pm. This is a proxy for market order routing table position for a trading venue.
Implementation Shortfall – An improved measure of transaction costs, especially for large order trades. We compute the percentage signed difference between the midpoint and the volume-weighted average price (VWAP) of consecutive trades from the same initiator side after a quote, measured in basis points. This metric is value weighted.