Friday, November 18, 2011

It's not HFT on the WSE yet, but...


Chart: Cumulative ticks per day for WIG20 shares, November 2000 - October 2011

The above chart shows the cumulative number of the ticks per day recorded between mid November 2000 and end of October 2011 for the shares currently constituting WIG20 index (please note that the composition of index was different before September 2011 and some of the share currently traded were not available in the past)

Clearly the frequency of registered quotes hence the trades is raising. Still, it's far from the theoretical maximum.

Let's wait what happens when the Warsaw Stock Exchange introduces a new trading platform next year...


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