In Episode 72 we cross the pond to meet with a couple European market structure experts for a deep dive on local market on close mechanisms. This podcast is part two of a three-part discussion which launched in the Americas and will conclude in APAC next month.
Joining the podcast for a return visit is James Baugh, head of European Market Structure from TD Securities and Evan Canwell, Equity Trader and Market Structure Analyst at T Rowe Price in London. The two experts discuss pivotal differences in the structure of closing auctions in Europe compared to North America, namely the fact that in Europe the end of day auctions occur standalone following the end of continuous trading, whereas in North America, closing auction price discovery takes place prior to the end of the regular trading session. This key difference impacts how traders use the facilities and how liquidity forms at the end of the regular trading session.
James and Evan also touch on the pros and cons of structural differences with auctions in Europe where larger marketplaces covered by the LSE and Euronext offer fully transparent facilities, whereas smaller markets use mostly non-transparent auction models. The two cross the finish line with some quick hits on current market structure hot buttons in the region including the latest on a consolidated tape, the debate over high market data fees, the possibility of an Order Protection Rule and the timing of T + 1 settlement.