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RSJ Selects ACTIV X-ray For Tick Data Analytics To Accelerate Growth Into New Markets

Jul 26, 2016

ACTIV Financial announced today that RSJ has selected ACTIV X-ray to help identify trading opportunities as they expand their trading activity in new asset classes and trading venues.

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Tullett Prebon’s tpMESSENGER Service Selects CME Pivot Instant Messaging Platform To Support Open Communication

Jul 26, 2016
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Tullett Prebon, one of the world’s leading interdealer brokers, today announced its tpMESSENGER service has selected CME Group’s CME Pivot Instant Messaging platform to power its solution and support open communication for commodities and financial markets.

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ACTIV Financial Leverages big xyt’s Cloud Platform To Enable Immediate Access To High-Quality Tick Data And Scalable Testing of Trading Models

Jul 26, 2016

ACTIV Financial, a global provider of real-time, multi-asset financial market data and solutions, and big xyt, the leading provider for data and analytics solutions on large datasets, today announced the launch of ACTIV X-ray, a cloud-based tick data repository which will enhance the way trading firms discover and test new venues or meet ever growing regulatory requirements.

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Latest Blog Posts

Light relief for dark pools – but for how long?

Christian Voigt, Fidessa

Jul 22, 2016
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The dark pool debate has raged across the globe for some time now and, in every jurisdiction, it’s more often than not accompanied by a smattering of assumptions on almost everything and certain knowledge of almost nothing. Fair enough, in the absence of hard facts, the term dark pool doesn’t really instil a great deal of trust from the outside world. But this lack of reliable information has been significantly reduced by the recent publication of the FCA’s thematic reviewon equity dark pools. The report not only describes current practices, but also highlights the FCA’s expectations of dark pool users and their decision to engage in them, their due diligence and their monitoring efforts. Equally, the FCA addresses dark pool providers and their requirements around client communications, client onboarding, operational integrity, fairness of access and best execution, just to name a few. While the report is rich in detail and spells out a number of areas for improvement, overall the FCA recognises the role that dark pools play in providing additional liquidity and lowering the risk of information leakage. This sobering and perhaps surprisingly positive picture isn’t likely to last though. With MiFID II just around the corner, and its stricter approach to OTC trading and double volume caps for equities dark trading, the rosy glow the FCA’s review casts around dark pools looks set to fade rather quickly.
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No summer break for MiFID II

Anne Plested, Fidessa

Jul 18, 2016
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You may have noticed that the MiFID II Regulatory Technical Standards (RTS) continue to roll off the press at a steady pace signalling finalisation of the Level 2 detail. Last week alone seven RTS documents were adopted by the European Commission, including the long-debated RTS 2 on non-equity transparency and also an RTS on registration of third country firms which could become the focus of significantly more interest in light of the Brexit vote. Only a few documents now remain outstanding. The next stage following the Commission’s adoption is the European Parliament/Council scrutiny of the standards and thereafter – subject to agreement – I’d anticipate that Level 2 could be completed and published in the Official Journal as early as the end of August.
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Hong Kong-London Market Relay on Price Discovery

Gabriel Kan, Bloomberg Tradebook

Jul 15, 2016
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On June 10, 2016 right before 15:00 in Hong Kong, HSBC (5 HK) was trading between HKD 49.8 and HKD 50.15, which represents a volatility of about 0.7%. When the London market started at 15:00 Hong Kong time, the HSBC stock price dropped as much as 1.2% (HKD 49.85 to as low as HKD 49.25) together with the dual listed shares (HSBA LN) until market close at 16:00. Rewinding back 4 months, on February 5, HSBC (5 HK) was trading between HKD 52.15 and HKD 52.75 for the whole day, which represents a volatility of about 1% volatility. In the last one hour of trading, the stock was traded in a narrower band of HKD 52.25 and HKD 52.55, which is about 0.5% volatility. Unlike June 10, the London market started after Hong Kong close on February 5 at 16:00 due to daylight saving. In the above examples, the Hong Kong stock market experienced higher price volatility when London had an overlapping trading period. Is this a consistent behavior? Does London provide additional information for price discovery that drives higher price volatility? Is trading volume in Hong Kong also affected? Figure 1. HSBC stock prices on June 10, 2016. 5 HK vs HSBA LN. Source: Bloomberg. Figure 2. HSBC (5 HK) stock prices on February 5, 2016. Source: Bloomberg.   Overlapping Days To investigate the impact of market information from London on the Hong Kong equity market, we looked at two years of historical data of HSI index members as of June 1, 2016. During this period, the London Stock Exchange had one hour of overlap with Hong Kong stock exchange in the following periods due to daylight saving: June 1, 2014 to October 26, 2014 March 29, 2015 to October 25, 2015 March 27, 2016 to June 1, 2016 On other days, the London market starts after Hong Kong close. Days with and without daylight saving will give us the sample to identify the impact of the London market. Another sample is the London holidays during the overlapping period. On those days, the London market was closed and Hong Kong market was open even though they are in the overlapping calendar period. Overall, we compared two sets of sample: Overlapping period (excluding London holidays) vs non-overlapping period due to daylight saving London holidays vs non-holidays during the overlapping period   Price Impact To measure the impact on stock prices, we considered the volatility percentage, which is calculated as Volatility percentage = (Last hour high price – Last hour low price) / (Day high price – Day low price) Volatility percentage is always between 0% and 100%. When it is high, it means that the final hour contributes substantial amount of volatility to the stock movement. We first compared the average volatility percentage during the overlapping period, non-overlapping period and London holidays in Figure 3. It is obvious that the last hour of Hong Kong trading experiences higher volatility when London is overlapping. The impact is more substantial when comparing to London holidays where volatility percentage is 6% higher. In Figure 4, we compared the difference of average volatility percentage for each stock. A positive difference means higher volatility percentage on overlapping days. Out of 50 index members, a majority 38 of them (76%) had a higher volatility percentage when London came in. This is not only contained to dual-listed stocks such as HSBC (5 HK and HSBA LN), but also non-dual listed ones. In particular, Bank of China (2388 HK) had the largest difference even though it is not listed in London. The differences on London holidays were more substantial than regular non-overlapping days across all stocks. Figure 3. Average volatility percentage on overlapping days, non-overlapping days and London holidays. Source: Bloomberg Tradebook Figure 4. Difference in volatility percentage for each HSI index members. Positive difference represents higher volatility percentage on overlapping days. Source: Bloomberg Tradebook. Volume Impact To measure the impact on volume, we considered the volume percentage in the last hour of Hong Kong trading as Volume percentage = Last hour volume / Day volume Our goal is to investigate if there is a significant shift in the volume profile in the final hour when London comes in. Figure 5 compares the average volume percentage on overlapping days, non-overlapping days and London holidays. Unlike price volatility, the impact on volume profile was not significant. In fact, the average volume percentage on overlapping days was even higher than non-overlapping days for about than 0.5%. The difference on London holidays is more significant at about 1.5% higher on overlapping days. For each stock, we compared the difference of average volume percentage between overlapping and non-overlapping days in Figure 6. Positive difference represents a higher volume percentage on overlapping days. Out of 50 stocks, 21 of them (42%) had a higher volume percentage on overlapping days. It is not clear whether London market participants help in pushing a higher volume in the final hour of trading on a regular basis. The impact is more significant on London holidays where 29 stocks (78%) had a lower volume percentage. Similar to the price impact, this was not only observed from dual-listed stocks, but also the non-dual listed ones. Figure 5. Average volume percentage on overlapping days, non-overlapping days and London holidays. Source: Bloomberg Tradebook. Figure 6. Difference in volume percentage for each HSI index member. Positive difference represents higher volume percentage on overlapping days. Source: Bloomberg Tradebook. Price Discovery And Volume Profile Shift When the London market opens during Hong Kong trading hours, our studies show that the new information leads to an increase in the price discovery activities in Hong Kong, which results in driving the volatility up significantly. This phenomenon is more substantial when comparing the London holidays in the overlapping calendar period. For price sensitive strategies, such as an arrival price algo, the last hour in Hong Kong becomes critical when it is overlapped with the London market. Higher price volatility could result in higher risk and uncertainty to the execution. Success in managing the risk and outperforming the benchmark price will illustrate the value added by buy side traders. On the other hand, the volume profile does not appear to shift on overlapping days unless it is a London holiday. For schedule based strategies, such as a VWAP algo, prediction of volume profile in Hong Kong should be adjusted on those special days to accommodate the change in trading activities that are affected by the London market participants.  
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Interview

MiFID II – the good, the bad and the regulatory

Jun 27, 2016
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ATMonitor talks with Christer Wennerberg, Head of Market Structure at Itiviti. Wennerberg discusses the main differences between equities and derivatives markets in regards to regulation, fragmentation and the implementation of MiFID II.

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MAR – What you need to know

Jun 22, 2016
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ATMonitor talks with Johannes Frey-Skött, Principle Software Engineer at Itiviti. Frey-Skött discusses the implementation and components of a complete MAR solution.

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Talking Trading with Itiviti

Jun 21, 2016
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ATMonitor talks with Chris Anderson, Senior Product Manager at Itiviti. Anderson discusses what sets Tbricks apart from other trading solutions, as well as current trends within the market and the challenges faced by clients.

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Survey

Execution Management Systems Survey

Trading Survey Now in its fourth year running, The TRADE magazine in conjunction with ATMonitor, is once again running its industry leading survey of Execution Management Systems for 2016. If you are trading electronically, we invite you to comment on your use of execution management systems, which features you consider important and how you rate their current capabilities. All submissions are reported in aggregated and anonymous format. Please rate your EMS vendors by completing the online questionnaire available here

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Research

The 2016 Algorithmic Trading Survey: Hedge Funds

The TRADE

Jul 18, 2016
The 2016 Algorithmic Trading Survey: Hedge Funds

2016 is the third year in which the Algorithmic Trading Survey results have been separated with different results reported on for hedge funds and long only firms. One of the most interesting conclusions from the current results is the contrast in momentum in scoring of one group against the other. As we noted in our last issue, scores for long only firms were generally on an upward trend, with twelve of fourteen categorie posting higher scores and the highest scores ever being recorded for Customer Support. The position with hedge fund respondents could not be more stark.

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Video showcase

Corvil working with RSJ

Corvil Watch Michal Sanak, CIO, RSJ Algorithmic Trading discuss working with Corvil. read more

Corvil working with Tradition

Corvil Watch Yann L'Huillier, CIO, Tradition and Alex Krovina, CTO, Tradition discuss working with Corvil. read more

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