Thinking

  • On 28th August 2017 the European Commission published a delegated regulation amending the definition and allowed behaviour of systematic internalisers. But what does it mean for traders?



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  • Highlights from the 2Q2017 preliminary Global Cost Review
    -Global trading costs are at an all-time low, which corresponds with the lowest volatility and spread regime we have seen in years. Costs are decreasing across market caps and across quarters regionally.  

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  • In our latest Canadian quarterly update, we take a look at the growing trend in Canadian brokers internalizing retail flows and a concerning downtrend in Canada’s share of interlisted trading volumes. Because a growing portion of Canadian retail flows are internalized, we believe it is important for institutional investors to understand the various ways this is being done, and the likely impact on market quality.

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  • In a recent poll of 80+ buy-side professionals, 37% attributed more than half of their trading cost to information leakage. It’s something that traders feel, but accurately measuring it is much more difficult. Many brokers use post-trade reversion to rank dark pool performance, but looking only at adverse selection while ignoring information leakage doesn’t give the full picture. ITG’s study of controlled measurement of information leakage in dark pools shows that dark pools with the worst information leakage have unremarkable adverse selection scores.

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  • August 01, 2017

    Stock-Specific Peer Group Analysis and its Application to Portfolio Liquidity

    We introduce an activity-based approach to trading performance comparisons, in which the common denominator is an individual security. The framework facilitates answers to three questions.

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  • Q2 updates to APAC Market Structure

    -How has Hong Kong Closing Auction volume changed since inception?
    -What percentage of China A share volume is being traded via Stock Connect?
    -What have Chinese regulators been saying about the MSCI Emerging Market Index inclusion?

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  • Major changes are underway, causing significant extra work in the short term as the industry adapts and builds solutions to help the buy side deal with their consequences. However, we think that long term, the buy side will continue to be able to access liquidity efficiently with unprecedented control over the counterparties they choose to interact with—in effect, an unbundling of liquidity sources from the aggregation of flows residing in broker pools today.

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  • Canadian secondary equity markets continue the trend towards greater complexity and segmentation. This quarter we take a look at how recent changes in Canadian equity market structure have impacted institutional trading costs, and discuss recent proposals to further segment the market.

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  • May 23, 2017

    Closing auction sizes have quietly but meaningfully grown over the past nine months, garnering a larger share of daily trading activity. There has been a major uptick in interest in more innovative tools and methods of trading around the close, and evidence suggests an increased use of the NYSE’s D-Quote order type. But the added flexibility of using the D-Quote has created a risk-reward tradeoff.

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  • Q1 updates to APAC Market Structure

    -What are the average trading costs in Pakistan over the last 7 years?
    -What markets saw volumes reach 12-month highs in February and March 2017?
    -What 6 areas did SGX agree to address following last summer’s market outage?

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