Thinking

  • 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 >
  • Q1 updates to APAC Market Structure

    -What are the average trading costs in Pakistan over the last 7 years?
    -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?

    Read more >
  • 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 >
  • The Performance Driven Trading approach seeks to simplify the process, reduce the potential for trader bias, and provide an evolutionary path towards relative performance measurement with continuous process improvement, in collaboration with the broker community.

    Read more >
  • Reinventing algos: ITG survey finds buyside traders seeking custom features and increased transparency

    Read more >
  • February 24, 2017

    Introduction of Large In Scale waiver to POSIT MTF
    We are pleased to announce that POSIT MTF is now authorized to use the Large In Scale (LIS) pre-trade transparency waiver. Trades concluded by opposing LIS orders will be excluded from the calculations for the 4% or 8% dark trading caps that will be introduced in January 2018, and will not be restricted if a cap-triggered suspension is in place. We will provide further details on how you can make use of this service as we near the end of implementation.

    Read more >
  • ITG Canada has noticed that the ability of the average agency broker to gain top-of-book priority in Canada has diminished over the past 24 months. In our latest Canadian market structure update, we take a deep dive into how the introduction of speed bumps and exotic orders types has likely harmed the ability of investors to capture spread, and we offer some potential solutions for traders and regulators.

    Read more >
  • BIVA, ready to step in as Mexico’s newest exchange, is betting that its technology will convert investors.

    Access to Mexico’s equity markets via the national exchange Bolsa de Valores (BMV) experienced several significant and disruptive infrastructure issues over the course of 2016. Highlighting the need for venue competition, local regulators are backing the creation of the Bolsa Institutional de Valores (BIVA)—an alternative venue serving domestic and international investors. BIVA is currently awaiting approval from the Ministry of Finance, expected this month, and anticipates a 3Q17 launch date. If successful, BIVA will be the first competitive exchange for LatAm markets.

    Read more >