On September 8, 2015 the TMX Group published the much anticipated fee schedule for the revamped Alpha Exchange (subject to regulatory approval). Coupled with the recently published minimum size thresholds for “Post Only” orders, we now have near perfect information around how the market will operate and can opine intelligently on the expected impact the new model is likely to have on equity trading in Canada.
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.
Our analysis of Canadian equities order flow this quarter indicate that HFT activity has scaled back slightly: total order flow reduced, Order-to-Trade ratio decreased, Volume Traded-to-Order ratio increased, and the rate of order activity has slowed down. We also add to the debate over the cost of real-time market data – we describe an objective method to intrinsically value market data using three core factors. How much should market data be valued?
On Friday April 13th 2012, the CSA and IIROC published their final dark pool regulations (“Provisions Respecting Dark Liquidity”) along with an AntiAvoidance Provision (released for comment). ITG’s Canadian market structure experts weigh in.
In recent weeks the Toronto Stock Exchange has been actively consulting both buy and sell side participants around a variety of potential changes to the Market on Close (MOC) Facility. Our experts think there are several ways in which the MOC can be altered that will be good for the marketplace as a whole, and will outline our proposed changes and the logic behind them in this paper.
Although some may try to derive a market's efficiency through an examination of spreads, they are only one factor among many. Nick Thadaney observes that spreads have narrowed, but the impact on costs has increased greatly.
As we enter the New Year—with hopes of better volumes and a bounce for our industry—Jamie Selway provides his annual list of market structure predictions and marks the book on 2011’s blotter.
The practice of broker attribution in Canada provides meaningful data for examining average trade life cycles, where adverse selection is happening, and where trades are being routed. According to Doug Clark, the richer the data set, the better we can position ourselves to consume natural liquidity at lower cost.
Doug Clark and Dora Lee examine questions surrounding order dynamics, order volume, and liquidity changes during the first two weeks of August to shed light on market microstructure in Canada.
Doug Clark discusses three key regulatory proposals from the CSA and IIROC: minimum size for dark orders, regulated matching priority of lit before dark, and minimum price improvement on dark orders.