Price Setting and Mirroring Dynamics in Trading Venues

This technical report examines the dynamics of price setting and price mirroring across trading venues, particularly focusing on the Swiss Blue Chip equities market. It outlines how primary exchanges exhibit a significantly higher probability of price settings compared to other venues, with a noted 4x increase. The report details the rapid occurrence of price mirroring following price settings, emphasizing the importance of geographical latency in this process. It presents data illustrating how market share and fill dynamics are influenced by whether a venue is setting or mirroring prices. The analysis includes Shapley values to probe differences in execution quality across venues, providing insights into liquidity factors that affect market share. Additionally, it discusses the implications of these findings for trading participants, highlighting the necessity of understanding where prices are set to optimize trading strategies. The report concludes by suggesting that the relationship between price setting and market share dynamics is crucial for effective trading.