Thinking

  • August 17, 2017

    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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  • 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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  • 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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  • The Performance Driven Trading approach seeks to simplify the process, reduce the potential for trader bias, and provide an evolutionary path towards relative performance measurement with continuous process improvement, in collaboration with the broker community.

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  • 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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