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We empirically study the trading activity in the electronic on-book segmentand in the dealership off-book segment of the London Stock Exchange,investigating separately the trading of active market members and of othermarket participants which are non-members. We find that (i) the volumedistribution of off-book transactions has a significantly fatter tail than theone of on-book transactions, (ii) groups of members and non-members can beclassified in categories according to their trading profile (iii) there is astrong anticorrelation between the daily inventory variation of a market memberdue to the on-book market transactions and inventory variation due to theoff-book market transactions with non-members, and (iv) the autocorrelation ofthe sign of the orders of non-members in the off-book market is slowlydecaying. We also analyze the on-book price impact function over time, both forpositive and negative lags, of the electronic trades and of the off-booktrades. The unconditional impact curves are very different for the electronictrades and the off-book trades. Moreover there is a small dependence of impacton the volume for the on-book electronic trades, while the shape and magnitudeof impact function of off-book transactions strongly depend on volume.

Trading activity and price impact in parallel markets: SETS vs. off-book market at the London Stock Exchange