Thinking

  • Reinventing algos: ITG survey finds buyside traders seeking custom features and increased transparency

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  • February 24, 2017

    Introduction of Large In Scale waiver to POSIT MTF
    We are pleased to announce that POSIT MTF is now authorized to use the Large In Scale (LIS) pre-trade transparency waiver. Trades concluded by opposing LIS orders will be excluded from the calculations for the 4% or 8% dark trading caps that will be introduced in January 2018, and will not be restricted if a cap-triggered suspension is in place. We will provide further details on how you can make use of this service as we near the end of implementation.

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  • ITG Canada has noticed that the ability of the average agency broker to gain top-of-book priority in Canada has diminished over the past 24 months. In our latest Canadian market structure update, we take a deep dive into how the introduction of speed bumps and exotic orders types has likely harmed the ability of investors to capture spread, and we offer some potential solutions for traders and regulators.

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  • BIVA, ready to step in as Mexico’s newest exchange, is betting that its technology will convert investors.

    Access to Mexico’s equity markets via the national exchange Bolsa de Valores (BMV) experienced several significant and disruptive infrastructure issues over the course of 2016. Highlighting the need for venue competition, local regulators are backing the creation of the Bolsa Institutional de Valores (BIVA)—an alternative venue serving domestic and international investors. BIVA is currently awaiting approval from the Ministry of Finance, expected this month, and anticipates a 3Q17 launch date. If successful, BIVA will be the first competitive exchange for LatAm markets.

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  • February 02, 2017

    Strategy tips from ITG’s Colleen Ruane & Phil Pearson

    The Tick Size Pilot Program has resulted in increased liquidity for included small-cap stocks—but that comes at a price.

    ITG’s analysis, which draws on its proprietary Global Peer database of tick pilot trading by more than 100 institutional investors, finds that trading costs since the pilot launched in October 2016 are almost 50% higher, on average, compared with the control group.

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  • The Securities and Exchange Commission has voted to adopt new rules affecting the management of liquidity risk in mutual fund portfolios. The rules are set to take effect in late 2018 for most mutual fund managers, with smaller managers (<$1B AUM) given until mid- 2019 to comply). While these regulations will impose restrictions on what assets funds can hold and in what quantities, we believe that funds which adapt appropriately to the will be rewarded with lower transaction costs and higher returns for their investors.

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  • -Which APAC markets were most affected by global events in 2016, and which had a home bias?

    -Has the addition of Shenzhen to the Stock Connect program changed trading profiles?What provoked leaps in institutional trading costs in India?

    -Which three APAC markets are reviewing short selling requirements?

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  • Fixed income execution costs are dependent on multiple, potentially nonlinear variables, so ITG has applied modern machine-learning methods to identify hidden relationships and patterns. ITG’s model shows that larger orders are less sensitive to trading volume and volatility, but that these “equity-type” characteristics explain a considerable variation in effective spread predictions as bond characteristics change.

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  • As the year draws to a close, volumes typically drop off as traders step away from their desks to spend time with friends and family. Despite the lack of liquidity, ITG Analytics finds that average trading costs in North America are actually lower by 24% in the last two weeks of the year relative to overall costs in the fourth quarter.

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  • Predictive analytics apps highlight some of ITG’s most cutting edge offerings and offer a sneak preview into the next generation of predictive modeling.

    Here are the most popular trading apps on ITG’s Analytics Incubator. Which ones have you tried?

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