We shape market thinking.  Our experts monitor the latest industry developments, engage current debates, and offer ongoing analysis so we're prepared to offer up-to-the-minute guidance.  Based on our well regarded understanding of worldwide financial markets, we are able to take an active role in the conversations that inform market regulations and are positioned to advocate for our clients' interests.

Time to Count the Cost of Currency Trading

Auto-enrolment has triggered a chain reaction in the UK pensions space. The policy led to a study from the Office of Fair Trading to ensure investors were
protected from unfair charges. The OFT study prompted a call for evidence from the Financial Conduct Authority and Department for Work and Pensions to improve transparency in transaction costs. The aim of all this is to enable better decision-making on the part of pension schemes, employers and investors.

The New WM/Reuters Fixing Methodology Doesn’t Fix Everything

At the 2015 Profit and Loss London Conference, ITG’s Jim Cochrane, Director, ITG Analytics, was a panelist on the debate “The New Fix Regime.” The panel’s task was to judge if the recent changes in the fix methodology had a material impact on competition, transparency and market conduct. These changes were only instituted February 15th of this year, making a final judgment premature. However, it is not too early to observe that transparency and directional trading costs are still problems that international portfolio managers will have to confront if they aim to keep up with the competition while fulfilling their fiduciary responsibilities. Asset managers will have to pay a spread or use a combination of matching and algo trading to reduce costs.

Statement of Jamie Selway, ITG, to the SEC Equity Market Structure Advisory Committee

Data without Context…Not Very Appetizing

Over the past few years big data has proliferated, with a growing number of vendors marketing their wares to institutional investors. These firms claim to offer the institutional investor the ability to generate alpha through the use of raw data sets, when what is really needed is sector- and company-level domain expertise combined with the ability to parse and contextualize large amounts of unstructured data.

Evolution Through Innovation: Fixed Income Trading 2015

As the landscape of corporate credit trading evolves, we are focused on several key issues in 2015. This call discusses the following:

  • Shifting liquidity conditions driven by regulatory and structural changes across US credit markets
  • Emerging technology solutions attempting to harness the new trading environment
  • Advantages and obstacles that investors, traders, and brokers are facing as they manage change
Expect the Unexpected as Europe Prepares to Unbundle


Unbundling is coming to Europe. It will be impactful for both the buy-side and the sell-side. It will change the face of research and by extension alter how asset managers execute their order flow. The extent of changes will be understood in the coming weeks when the European Commission (the Commission) publishes the final regulations for approval by the European Parliament and European Council. There are also rumours that the Commission will publish a consultation on unbundling investment research. In this article we examine what changes are likely as well as how planned reforms will impact market practices. We also take the opportunity to remind ourselves how we got here and what the remainder of the journey looks like.

Dancing in the Dark: Optimal liquidity search under portfolio constraints

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One of the core responsibilities of many Institutional traders is managing cash and risk constraints of a portfolio. Traders often do not take advantage of dark and block trading due to the risk of an unpredictable and unbalanced change to the composition of the executing list. Said differently, the randomness of dark fills makes it very difficult to constrain an optimization using dark as the only source of liquidity. In this paper, we offer a solution to this problem using stochastic programming to create linear constraints for a quadratic optimization. We believe this research can be used by algorithm designers to bridge the gap between two dissimilar, yet useful products: dark aggregation and portfolio trading algorithms.

ITG Dark List Algorithm: Bringing intelligent dark order placement to portfolio trading

Because of the concern with remaining dollar-balanced, portfolio traders are often hesitant to take advantage of the cost savings and significant value that dark trading affords. This caution is sensible given the serendipitous nature of dark executions.

To solve this problem, ITG created the new ITG Dark List Algorithm (Dark List) to bring industry-leading dark aggregation from POSIT Marketplace® 3.0 (POSIT MP) to portfolio trading. A unique stochastic approach to cash management allows this algorithm to expose the appropriate stocks at multiples of the cash constraints with limited risk of a cash imbalance. Based on ITG’s deep experience with portfolio trading, we gave Dark List two distinct optimization objectives: minimizing the total cost and minimizing the average cost of residuals. In this note, we describe applications for each of these optimization goals, review the backbone of this product— POSIT MP — and touch on our implementation. For those interested in more detail on the implementation of this product, we have published a rigorous discussion of our approach, which you can find on ITG.com.

Blocking and Tackling in the Canadian Market

The Canadian market has traditionally been very block driven. Much of this block trading has been a result of relatively high levels of dealer capital made available to facilitate large institutional trades. While there is still a fairly healthy block market in Canada, the relative volume traded has declined significantly in recent in years. Street estimates conservatively suggest upwards of 40% of volume was traded in blocks at the turn of the century. By 2008 our data shows that numbers was just shy of 30%. By 2010 it had declined to just 19% of volume, and in recent months as volatility spiked the number has hit a low point of just 14% of total volumes.

ITG TCA® Venue Analysis – “I’m Shocked, Shocked to Find that (TCA) is Going on in Here!”

When gambling is relabeled as just card-playing or dice rolling, TCA may finally become Transaction Research. TCA has penetrated portfolio construction, fund capacity analysis, liquidation studies, fund NAV determination, trading strategy, and real-time decision support. It was a big surprise when I heard the comment, ‘venue analysis is not TCA.’

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