The Blotter (formerly known as Insights) cuts through the noise to explain the issues that impair your trading desk, undermine your investment process, and cloud your business strategies. Subscribe to The Blotter's RSS feed. Find our latest thinking on market structures, technology, and policy to take control of the information you need to set a course in the right direction.
With the German Federal Elections occurring Sunday, European investors are curious about what impact the elections may have on the European regulatory environment. In this version of The Blotter, ITG's European General Counsel, J.P. Urrutia, summarizes some of the expected results and potential impacts, highlighting Germany's importance to regional policy.
In this edition of The Blotter, Juan Pablo Urrutia, European General Counsel, weighs in on the Financial Times report that The Council Legal Service is advising the national governments that the European Financial Transaction Tax (FTT) is illegal.
In this edition of The Blotter, Doug Clark, Managing Director, Head of Research, and Dora Lee, Vice President of Research, provide an update on the order flow trends in Canada as well as weigh in on with the effect of the NASDAQ outage in Canada.
Starting May 26th the Australian regulator (ASIC) had new market integrity rules (MIR) relating to pre-trade transparency exceptions coming into affect. Rule 4.2.1 of ASIC MIR (Competition in Exchange Markets) was revised to introduce tiered thresholds for block trading (also known as “Block Specials” or just “Specials”), while also introducing meaningful price improvement exception to pre-trade transparency (replacing the “at or within the spread” exception) under rule 4.2.3.
It is important to have accurate intraday volume distributions for efficient order execution. In this report we review the new intraday volume profiles created by ITG Financial Engineering for Canadian securities, including cross-listed stocks, ETFs and several other types of exchange traded instruments. Notably, the ETFs tend to have distinct profiles from equities, mirroring the unique features of their underlying baskets. The new intraday volume profiles combine intelligent grouping and smart noise reduction techniques to obtain stable stock-specific profiles for all securities. ITG Logic and ITG Algorithms for Canadian securities will have this intraday volume profile information in near future.
The Irish are a few weeks away from completing their tenure of the Presidency of the European Union Council (the Council) and Lithuania is scheduled to take on the Presidency’s rein on 1st July. If we are to judge the work that the Irish Presidency has undertaken on the MiFID review, some press reports seem to suggest that agreement in the three key areas that have been stalling progress on the dossier are nearing completion.
Recently, a variety of global pundits have seen fit to weigh in on the impact that new dark pool and dark liquidity rules have had on the Canadian equity markets. While the comments are varied in tone and commentary, they have all had one common theme: a lack of solid data on which to base their conclusions. As the leader in data driven market structure analysis, we have taken up the cause and offer up the following analysis of the dark rules and their impact on the Canadian market place.
In this edition of The Blotter, Chad Dale, Director, Index & ETF Research, provides a review of the 2013 Russell Reconstitution.
The past several years exhibited dramatically different results—2009 was a textbook index rebalance without the involvement of the speculative community (which was risk averse coming out of the credit crisis), 2010 was influenced by a series of rule changes implemented by Russell while the rebalances in 2011 and 2012 were more “normal” events in both composition and performance. With little in the way of additional rule/methodology changes, and no significant changes in the global macro-economic environment (or corresponding risk appetites) since the 2012 reconstitution, we expect this year’s trade to remain “normal” in much the same way that the prior 2 reconstitutions were.
In this issue of the blotter we provide a review of trading characteristics and aim to identify any major changes in 2012.
We examine volatility, spread and trading costs of constituents of the S&P500®, Russell 2000®, MSCI World® and MSCI Emerging Markets® indices.
In this edition of The Blotter, Jacqueline King, Director, ITG Analytics Research, presents evidence that trading characteristics of small cap securities improved over time and cannot conclude that a rapid decline of small cap IPOs is due to the deterioration of small cap trading characteristics.