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Brussels must see the lighter side of dark pools – or watch City innovation wither

FROM allegedly failing to execute trades at the best price, to clients being misled about the type of trade being executed, trading in dark pools has taken its fair share of criticism recently. But against this flurry of negative headlines, and with the EU seeking to enforce stricter controls on dark pools, it is important to remind ourselves why investors want to trade away from public exchanges, without prices being displayed until after execution.

The Cost of Liquidity in the FX Market

On July 3, 2013, the courts pronounced caveat emptor with respect to execution performance in the FX market. U.S. District Judge Denise Cote threw out a lawsuit, which accused JPMorgan Chase & Co. of breaching a fiduciary duty to custodial clients by charging “hidden and excessive mark-ups” on currency trades. Judge Lewis Kaplan dismissed a lawsuit directed at officials of Bank of New York Mellon, for ignoring “red flags” or knowing that trades were being processed at the worst or near-worst prices of the day.

Breaking the Habit

Ofir Gefen, Head of Electronic Brokerage at ITG Asia Pacific, looks at how opportunistically taking blocks of liquidity rather than sticking with volume-based trading habits can improve trading performance.

The Art and the Science of Leveraging Cloud Infrastructure: Making Cloud Computing Work in the Trading Environment

Having demonstrated an initial, and understandable, wariness of cloud services, trading firms and other players such as hosting providers in the institutional trading environment are slowly coming to embrace the technology. With storage demands for mid-size firms growing at approximately 90 terabytes a year, perhaps this is not surprising. Building proprietary infrastructure that can keep up with this level of growth is comparable to painting the Golden Gate Bridge: a never-ending task.

Garbage In, Garbage Out: An Optical Tour of the Role of Strategy in Venue Analysis

We address a single question in this paper: is consideration of trading strategy an essential component in assessing venue performance? The answer is, yes. We arrive at this conclusion through comparisons of strategy use across venues and performance metrics, by venu…

Listen to the call

ITG Peer Analysis Global Cost Review: Q1 2014

Our Global Cost Review report for the First Quarter 2014 studied global commissions and implementation shortfall costs for the period.

Measuring the Trading Activity at the Open and Close Auctions Around the Globe

ITG Financial Engineering has recently completed its R&D work on international stock specific intraday volume profiles, extending its robust estimation methodology to common stocks and several other security types to cover more than 50 markets around the world.1 The intraday volume profiles, which include the estimated percentages of the daily volume to be traded in each 15-minute interval of the continuous trading session and at the  and closing call auctions, are estimated for individual securities traded on each market and can be used for efficient execution of large orders.

Driving competitive advantage through FX TCA

“The most valuable commodity I know of is information” – to quote Gordon Gekko from the 1987 movie classic Wall Street. This line has never been more significant than in today’s data-fuelled financial markets, where detailed analysis of information can provide that all important competitive edge – both now and in the future. To achieve this, firms are looking towards Transaction Cost Analysis (TCA), which enables them to reduce costs and hone trading strategies.

How Analytics Can Help Make the Most Out of Asian Liquidity

The term ‘TCA’ has now become so common across the industry, and some would argue commoditized, that its value is in danger of becoming misunderstood. While most buyside firms use some form of broker post-trade analysis to measure how they’ve performed against their benchmark, the firms who are out-performing versus their peers are using a broader approach of pre-trade, real time and post-trade analytics to answer questions about how and why trading costs are incurred, and what actions can be taken to reduce them.

ITG Peer Analysis Global Cost Review: Q4 2013

Our Global Cost Review report for the Fourth Quarter 2013 studied global commissions and implementation shortfall costs for the period.

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