Where to best source Passive Liquidity: Periodic Auctions or Lit Markets?

Publication date:  25 June 2026
Authors: Paul Besson, Head of Quantitative Research, Antoine Falck, Quantitative Researcher and Jacques Morin, Quantitative Researcher

This new research first investigates the liquidity dynamics between Periodic Auctions and Primary Markets. We then study how to most efficiently source passive liquidity using either Periodic Auctions or passive posting on Primary Markets. 

Main findings are:

▪ Periodic Auction liquidity fluctuates with market conditions. Periodic Auction liquidity shrinks during market trends (−32% relatively from 19% to 13%, see Figure 4 p8). In contrast, Primary market share increases during price trends (+16% relatively from 44% to 51%, see Figure 5 p9).

▪ On average, 5-min VWAP computed on Primary passive buy trades improves the VWAP of Periodic Auction trades by −0.9 bps (see Figure 8, p11). This shows that passive spread capture achieved on passive Lit trading outweighs the advantage of Periodic Auction Markouts.

▪ Consistently across our 103 largest stocks, there is a 62% probability that passive Primary trades outperform Periodic Auction trading (Figure 12, p14). This gives an edge to passive Primary trading compared to Periodic Auction trading for passive liquidity sourcing.

▪ Combining the benefits of Periodic Auctions and Primary Markets should enable participants to optimise their trading.

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