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.
Jamie Selway and Doug Clark discuss the rollout of TMX Select, which appeals mostly to the HFT crowd by the elimination of broker preferencing, GTC orders and odd lot orders, resulting in a lower latency environment than the TSX.
2011 is fast shaping up to be the year of dark trading in Canada. Our marketplace continues to evolve and become increasingly complex, with current visible marketplaces rolling out new dark order types and a number of new dark pools preparing to open shop in Canada. At the same time, the HFT crowd, having seen visible market opportunities compress with growing competition, has moved aggressively into dark trading. This has created further complexities for traditional investors and traders, and resulted in some misinformation about the nature of dark trading that is not supported by empirical evidence.