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?
This issue of The Blotter explores the activity and performance around the major portion of this September’s index review, taking a look at the impact of the trade and how it was traded to in order to explain what was seen as a high level of volatility.
In August 2012, both regional developed and emerging MSCI indices experienced trade outflow.Trade inflows in the IT sector in the MSCI World and MSCI North America indices in August 2012 bucked the consistent trade outflows that commenced since March 2012.Trade costs increased in both the developed and emerging markets.
We observed higher level of spread and slight increase in volatility in August 2012 for Russell 2000® Index. We expect to see higher trading costs if spread and volatility level continue to rise.
Uncertainty surrounding the European sovereign debt crisis and anemic economic recovery motivated marked asset re-allocation in January 2012. ITG's Jacqueline King discusses this shift in trade flows.
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.
Asian markets are looking increasingly like markets in North America and Europe. Recent years have seen increased use of algos, dark pools, and dark pool aggregation.
The opening auction can provide appealing price and liquidity opportunities. However the auction mechanics can be vague and complex. In this paper, experts from ITG provide a consolidated and detailed explanation of the auction mechanics.
Traders can no longer rely on historical trade monitoring tools alone. Yossi Brandes illustrates how new "smart indicators" give traders detailed information about abnormal volatility and volume on an intraday basis so strategies can be adjusted on the fly.
On May 9, 2011, the shares of Citigroup experienced a reverse split, converting ten shares into one with a nominal ten-fold increase in price per share. ITG's team of experts discusses how changes in market quality around this event affected returns.