ADX Market Structure

As of Fri, Jul 3, 2026

Methodology

What is measured, what is a labelled proxy, and what the daily data cannot show.

Data provenance
Everything here is derived from public ADX Report Centre exports.
  • Daily Bulletins, 6 trading days (Jun 26 to Jul 3), per-security close, value, volume, trades, net change.
  • The bulletins carry no date field, so they were sequenced by price continuity: each day's close minus net change equals the prior day's close, which chains them into order and proves they are consecutive.
  • Market Summary, index OHLC for 17 FTSE ADX indices.
  • Member Trading Summary, broker traded value and market share (2026 Q1).
  • Every figure reconciles to the exchange's own daily total to within 0.000%.
Computed real
Standard market-microstructure measures, computed directly.
Liquidity HHI
Sum of squared per-security value shares, the concentration of turnover.
Top-5 share
Sum of the five largest value shares.
Amihud illiquidity
mean( |return| / value traded ) times 10^6 over the window.
Realized volatility
stdev of daily log returns times sqrt(250), annualized.
Parkinson volatility
sqrt( (1 / 4 ln2) times avg(ln(High/Low))^2 ) times sqrt(250), at index level.
Breadth, advance-decline
advancers minus decliners, per day.
Broker concentration
HHI and top-5 share of member traded value (Q1).
Proxy estimate
Labelled as estimates, never presented as measured.
Bid-ask spread is not published in daily data. The dashboard shows the tick-size floor (tick divided by price) as the tightest a spread can structurally be, and the Roll estimator is available from close-to-close covariance. Both are lower-bound estimates, not the true quoted spread.
Not available licensed feed
Flagged honestly rather than fabricated.
Order-book depth, Level-2 liquidity by price level, true quoted or effective spreads, and intraday order floware not in any daily report. They require ADX's licensed real-time feed (via ICE or LSEG). The dashboard states this instead of inventing a depth chart.