Measuring the Trading Activity at the Open and Close Auctions Around the Globe

ITG Financial Engineering has recently completed its R&D work on international stock specific intraday volume profiles, extending its robust estimation methodology to common stocks and several other security types to cover more than 50 markets around the world.1 The intraday volume profiles, which include the estimated percentages of the daily volume to be traded in each 15-minute interval of the continuous trading session and at the  and closing call auctions, are estimated for individual securities traded on each market and can be used for efficient execution of large orders.

The Cost of the D-Quote

Traders commonly use market-on-close (MOC) or limit-on-close (LOC) orders to participate in the NYSE closing auction. An alternative mechanism is the D-Quote.Unlike MOC/LOC orders, which must be submitted prior to 3:45 unless offsetting a Regulatory Imbalance1, D-Quotes can be submitted or modified until 3:59:50,regardless of the current imbalance. Given the greater flexibility of D-Quotes, why don’t traders always use D-Quotes when participating in the close?

Russell Reconstitution: Final Trading Analysis

We extend our preliminary study published on 6/29/2012 to include the trading period between T-15 (6/1/2012) and T+15 (7/16/2012). We examine volume, spread, volatility and trading costs. We also look at algorithmic trading results for the constituents added to or removed from the Russell 1000 Index (R1K) and Russell 2000 Index (R2K). Furthermore, we look at trading characteristics of the iShares Russell 2000 Index Fund (IWM), a widely traded ETF that tracks the Russell 2000 Index and iShares Russell 1000 Index Fund (IWB), an ETF that tracks the Russell 1000 Index.

Algorithmic Portfolio Trading: A Primer

Due to its complexity, algorithmic portfolio trading is often considered hard to understand and difficult to navigate. In this paper, we first provide an overview of a typical portfolio algorithm framework. We then discuss in detail the three key building blocks of this framework: strategic execution plan, tactical order placement, and
real-time portfolio risk/cash management.

Badges? We Don’t Need No Stinking Badges: The Sequel

The previous installment of “Badges” equates them to definitions of market participants. The focus was on a CFTC-proposed definition of high frequency trading, or HFT. The conclusion reached is that strict classifications for the purpose of regulation are inappropriate in today’s environment. The idea is broadened here, with respect to market structure regulation. In this week's edition of The Blotter, the focus is on the exchange/broker divide.

Final 2012 Russell Reconstitution Review

In this edition of the The Blotter, index expert Charles Behette recaps this year's Russell Rebalance. His effective date, period and post-event analysis includes detailed performance metrics on add/deletes, migrations, funding, and effective day closing print & full day performance.

The Timing of FOMC Monetary Policy Announcements and Intraday Trading Volume Patterns

After FOMC started practicing alternative release schedules for policy announcements in 2011, the volume profiles for many US securities experienced significant realignments. Commonly used schedule-driven algorithms that don't account for these changes do not accurately estimate available liquidity on announcement days. In this edition of The Blotter, we analyze distinct volume patterns on these event days to help inform your algorithmic strategy.

Keepin’ It Retail: SEC Approves NYSE’s RLP Proposal

July 5, 2012, the SEC approved NYSE’s Retail Liquidity Program, or “RLP,” for a oneyear pilot for all NYSE and NYSE MKT (AMEX) listings. We provide an overview and offer our thoughts on implications in this edition of The Blotter.

Preliminary Russell Analysis

With this year’s Russell Reconstitution just a week past, we analyzed the trading characteristics of Russell adds and deletes to provide color on the reconstitution and the two days surrounding the event in this week’s edition of The Blotter.

Our analysis focuses on the trading characteristics of constituents added to or removed from the Russell 1000® (R1K) and Russell 2000® (R2K) indices. With the available data and trend analysis, we aim to help clients assess whether the execution strategy implemented was most conducive to the trading characteristics associated with these securities.

Lifting the Veil From ETF Liquidity What You Need to Know to Appreciate What You See

Liquidity is cited as one of the top ETF selection criteria and so understanding the ETF trading process is crucial. In this edition of The Blotter, ITG's experts examine twelve popular ETFs and show that these ETFs exhibit qualitatively very different liquidity and cost characteristics than common stocks with similar daily share volume, price, spread and volatility. They discuss the reasons behind these differences and explore the role of the creation/redemption mechanism.

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