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Finding market liquidity after MiFID II

Graham Green
Product Manager, Equity Analytics
Dawn breaks over a radio telescope dish of the KAT-7 Array pointing skyward near Carnavon in the country's remote Northern Cape province. Photography: REUTERS/Mike Hutchings. Finding-market-liquidity-after-MiFID-II
Dawn breaks over a radio telescope dish of the KAT-7 Array pointing skyward near Carnavon in the country’s remote Northern Cape province. Photography: REUTERS/Mike Hutchings

With MiFID II making it much more challenging for traders to find market liquidity, discover the three updated apps from Eikon helping to improve visibility so trading opportunities are not missed.


  1. MiFID II regulation has led to changing patterns of liquidity, making it important that traders are able to identify where liquidity is in the market.
  2. Three Eikon apps have been updated to ensure compliance with MIFID II and provide continued access to the relevant information.
  3. The enhancements give traders more visibility of liquidity movements to ensure they do not miss out on trading opportunities.

The challenges of market liquidity after MiFID II include double volume caps and the migration away from dark pools, for which trading volumes have fallen significantly even though the average trade size has nearly doubled.

As a result of the changing use of dark pools, greater liquidity is now being executed through LIS execution platforms and periodic auction mechanisms, instead of ‘lit’ markets.

Periodic auctions, which have been called ‘pseudo-dark pools’, have seen the volume of execution treble since the March launch of dark caps.

Addressable liquidity

Due to the changing patterns of liquidity caused by the implementation of MiFID II, it is important that customers receive support so they can identify where liquidity is in the market.

They also need to be able to differentiate between addressable and non-addressable liquidity.

Watch: Finding liquidity in the market with Eikon

A large amount of the liquidity being executed within the Systematic Internaliser regime and OTC is not necessarily accessible to all market participants at the time of execution.

With technical trades deemed to be the most prevalent type of non-addressable liquidity, it is important to be able to distinguish them when analyzing the liquidity in the market.

How does Eikon address market liquidity?

Refinitiv has updated three Eikon apps to ensure they provide the most relevant information and comply with regulations in the MiFID II era.

Market Share Reporter (MSR), Intraday Market Share Reporter (iMSR) and Intraday Volume Analytics (IVA) have been expanded to include coverage of OTC trading and Systematic Internaliser volumes, as well as leading APAs.

  • MSR supplies historical venue and stock analysis of market share and liquidity movement, allowing customers to identify and understand where liquidity exists in the market relevant to them.
Market Share Reporter (MSR) from Refinitiv. Finding-market-liquidity-after-MiFID-II
Market Share Reporter (MSR) from Refinitiv
  • iMSR provides intra-day streaming stock analysis of average liquidity by volume and turnover, which means that traders can find liquidity in stocks and analyze it against historical averages
  • IVA supplements this information with intra-day streaming stock analysis by volume at price, intra-day volume at time and accumulative volume at time, which provides a more accurate analysis of volume and price in any given stock.
Intraday Market Share Reporter (iMSR) and Intraday Volume Analytics (IVA) from Refinitiv. Finding-market-liquidity-after-MiFID-II
Intraday Market Share Reporter (iMSR) and Intraday Volume Analytics (IVA) from Refinitiv

The Trade Classification Scheme has also been updated to allow you to filter out those technical trades deemed to be non-addressable, such as non-price forming trades and trades not contributing to price discovery.

This provides a customizable and relevant perspective of the liquidity landscape.

Graham Green Quote. Finding-market-liquidity-after-MiFID-II

These enhanced apps give you more visibility of the liquidity changes and movement to ensure that you do not miss out on trading opportunities.

Discover Eikon and quickly uncover hidden opportunities with comprehensive data and content