In our latest Canadian quarterly update, we take a look at the growing trend in Canadian brokers internalizing retail flows and a concerning downtrend in Canada’s share of interlisted trading volumes. Because a growing portion of Canadian retail flows are internalized, we believe it is important for institutional investors to understand the various ways this is being done, and the likely impact on market quality.Read more >
In a recent poll of 80+ buy-side professionals, 37% attributed more than half of their trading cost to information leakage. It’s something that traders feel, but accurately measuring it is much more difficult. Many brokers use post-trade reversion to rank dark pool performance, but looking only at adverse selection while ignoring information leakage doesn’t give the full picture. ITG’s study of controlled measurement of information leakage in dark pools shows that dark pools with the worst information leakage have unremarkable adverse selection scores.Read more >
August 01, 2017
Stock-Specific Peer Group Analysis and its Application to Portfolio Liquidity
We introduce an activity-based approach to trading performance comparisons, in which the common denominator is an individual security. The framework facilitates answers to three questions.Read more >
July 24, 2017
Q2 updates to APAC Market Structure
-How has Hong Kong Closing Auction volume changed since inception?Read more >
-What percentage of China A share volume is being traded via Stock Connect?
-What have Chinese regulators been saying about the MSCI Emerging Market Index inclusion?
Major changes are underway, causing significant extra work in the short term as the industry adapts and builds solutions to help the buy side deal with their consequences. However, we think that long term, the buy side will continue to be able to access liquidity efficiently with unprecedented control over the counterparties they choose to interact with—in effect, an unbundling of liquidity sources from the aggregation of flows residing in broker pools today.Read more >
June 01, 2017
This is a study of the effect of social media sentiment on pricing and trading fundamentals in the foreign exchange market. Examination of the predictability of prices, the cost and depth of liquidity and the topography of the global limit order book for a currency pair is the focus.Read more >
Canadian secondary equity markets continue the trend towards greater complexity and segmentation. This quarter we take a look at how recent changes in Canadian equity market structure have impacted institutional trading costs, and discuss recent proposals to further segment the market.Read more >
May 23, 2017
Closing auction sizes have quietly but meaningfully grown over the past nine months, garnering a larger share of daily trading activity. There has been a major uptick in interest in more innovative tools and methods of trading around the close, and evidence suggests an increased use of the NYSE’s D-Quote order type. But the added flexibility of using the D-Quote has created a risk-reward tradeoff.Read more >
May 01, 2017
Q1 updates to APAC Market Structure
-What are the average trading costs in Pakistan over the last 7 years?Read more >
-What markets saw volumes reach 12-month highs in February and March 2017?
-What 6 areas did SGX agree to address following last summer’s market outage?
MiFID II implementation may significantly affect investors’ ability to source dark liquidity effectively. Broker crossing networks will disappear, and certain types of dark trading will be mostly restricted to midpoint.
If triggered, the introduction of double volume caps will limit certain dark trading volumes per stock to 4% in a single dark pool and 8% across all dark pools. The double volume caps are likely to result in six-month dark trading suspensions for many stocks, increasing market complexity around trading suspended stocks and tracking the status of each stock.Read more >