Thinking

  • MiFID II implementation may significantly affect investors’ ability to source dark liquidity effectively. Broker crossing networks will disappear, and certain types of dark trading will be mostly restricted to midpoint.

    If triggered, the introduction of double volume caps will limit certain dark trading volumes per stock to 4% in a single dark pool and 8% across all dark pools. The double volume caps are likely to result in six-month dark trading suspensions for many stocks, increasing market complexity around trading suspended stocks and tracking the status of each stock.

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  • How could IEX’s new exchange status affect your trading?

    In this article, ITG’s Phil Pearson discusses:

    -How ITG accesses IEX and what will change given its new exchange status
    -How the IEX launch will affect market quality
    -What other research on IEX we have planned

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  • The new closing auction session (CAS) on the Hong Kong exchange is showing encouraging signs of increasing stability on the exchange. The launch on July 25, 2016 went without major issues, and data in the first three weeks suggest that the mechanism is doing its job and averting the dreaded “close volatility.”

    CAS volumes have stabilized at around 5% of daily volume, with a rebalance peak of 13% of daily volume. More than 70% of stocks closed within ±20 bps of the reference price and 98% of stocks closed within 1%.

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  • In recent months the Canadian equity market has undergone significant evolution aimed at keeping trading flows within Canada’s borders. The changes appear to have succeeded in increasing Canadian trading volumes, but the impact on the market is at best unclear.

    We have witnessed an increase in Canada’s share of trading in dual-listed securities, alongside a decrease in the MOC auctions’ contribution to total volume. These classic indicators of growing intermediation have been accompanied by a marked increase in Canadian institutional trading costs, both in real terms and versus the U.S. market.

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  • Our new app generates market condition forecasts (volume, volatility and spread) for multiple time horizons using real-time observations of prevailing dynamics in conjunction with historical patterns. These estimates can help you to reduce trading costs by dynamically readjusting your trading strategy, improve trade scheduling and set more accurate algo price limits by better assessing the probability that a price will exceed its limit within a specified time horizon.

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