I'm curious if anyone has given any thought to or observed how a product that trades across multiple venues (the Euro) trades differently than one where volume is concentrated at one venue (an ASX stock)? One impact I can think of (in the short-term, within the day) is order flow that is much more difficult to read, e.g., constant hits down into the bids but a grind up all day. Is there anything else that's significance? Keen to discuss if you've observed or seen a market evolve from concentrated volume to dispersed volume or vice versa.
%% YES; smaller volume, with larger bid/ ask is a bit harder to read.AND anytime something is less smooth its harder to read+ easier to be wrong when the trend does change/but in some cases its worth it.[US stocks/ cash + leveraged ETFs]