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ABN AMRO Clearing joins Power Exchange Central Europe

Aug 29, 2014

As a Global Clearing Member on European Commodity Clearing AG (ECC) and other major Clearing Houses (CCPs), ABN AMRO Clearing is now able to offer access to all products traded on PXE, in addition to other ECC exchange partners such as CEGH, EEX, EPEX SPOT, HUPX and Powernext

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ABN AMRO Clearing joins Power Exchange Central Europe

Aug 29, 2014

As a Global Clearing Member on European Commodity Clearing AG (ECC) and other major Clearing Houses (CCPs), ABN AMRO Clearing is now able to offer access to all products traded on PXE, in addition to other ECC exchange partners such as CEGH, EEX, EPEX SPOT, HUPX and Powernext

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New MT4 WebTrader platform available with FXPro

Aug 29, 2014

By logging into FxPro WebTrader with only their FxPro Direct login details, clients can access all their MT4 accounts, real and demo and easily switch between them without re-authenticating or reloading the page

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Latest Blog Posts

How Analytics Can Help Make the Most of Asian Liquidity

Erin Stanton, ITG

Aug 29, 2014
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The term 'TCA' has now become so common across the industry, and some would argue commoditized, that its value is in danger of becoming misunderstood. While most buyside firms use some form of broker post-trade analysis to measure how they've performed against their benchmark, the firms who are out-performing versus their peers are using a broader approach of pre-trade, real time and post-trade analytics to answer questions about how and why trading costs are incurred, and what actions can be taken to reduce them. We call this broad range of tools Trading Analytics, and this article looks at some common Asia liquidity events to show practical examples of how Trading Analytics can provide data that answers real questions, helping traders take advantage of liquidity while minimizing costs. TRADING AROUND THE OPEN AND CLOSE More buyside traders are now involved in investment meetings, acting as advisors in the discussion of how to get the most alpha for a given investment decision. Using Trading Analytics to form an opinion in advance of the trade on how to structure its timing can have a significant effect on the alpha outcome. Understanding intra-day volume profiles and the corresponding volatility can be critical to finding liquidity that comes from trading at the times when others also are. The chart below shows average profiles of how much is traded in different Asia Pacific markets in the first and last 30 mins of the day (including auctions). One common theme is that traders often avoid the more volatile early trading period for fear of price movements, preferring to hold their trading back to the more stable sessions through the day. However, doing this too much, particularly in markets such as Taiwan and Japan where high volumes are done during early trading, can push overall costs higher and increase risk. Missing out on significant early liquidity requires the trader to execute more later in the day where they may need to cross the spread more, and increases the risk of non-completion of an order – often overnight volatility is higher than that seen during early trading sessions. It also increases risk of over-participation in the Close which may push a stock price, a topic that Asian regulators are particularly sensitive to. While an overall understanding of market profiles is helpful, Trading Analytics really becomes useful at a stock-specific level, understanding in advance when a stock may deviate from the market norm. A recent query run by a trader using ITG's pre-trade portal for stock-specific volume analysis shows that Hong Kong stock Cheung Kong [0001] normally trades significantly more during the last 15 mins of the day than the market average. When the trader received an order from the portfolio manager (PM) late in the day, he made the decision to hold more of the stock back for the closing session to take advantage of this, while finishing more of Hang Lung [0010] when he could, and completed the trades favorably. RED FLAGS AND UNEXPECTED LIQUIDITY EVENTS ITG's Transaction Cost Analysis of real institutional trading costs consistently shows that many outlier trades – both high and low cost - occur at times when both volume and volatility in a stock are high. To handle this, traders need a real-time 'red flag' system to accurately identify these conditions at a stock level, and make decisions accordingly. This allows early conversations with PMs to adjust strategy or manage expectations, as well as enabling the trader to change the trading instructions to take advantage of the situation and increase the chances of a positive outcome. We call this 'market surprise' monitoring, which when combined with real-time P&L analysis is a further example of how Trading Analytics can help traders maximize liquidity opportunities or make informed risk management decisions to improve their daily trading. MAKING THE MOST OF THE HOLIDAYS Another common liquidity event features the many and varied holidays across the region. Knowing which result in liquidity lulls, and which in volume spikes, is useful both for staffing trading desks and planning investment decisions around them. For example, Trading Analytics drilling into Opening volumes after Hong Kong holidays shows significant and unusual levels of liquidity after the locally specific holidays of Chinese New Year, National Day etc driven by large backlogs of orders from overseas. The same is not true for local holidays in the more domestically driven Japanese market, nor for the period of global holidays over Christmas and Easter. Detailed data can help both traders and PMs decide whether to stay away from these volatile spikes or take advantage of unusual liquidity. TAKING ADVANTAGE OF LIQUIDITY EVENTS These are just a few examples of how Trading Analytics moves far beyond standard TCA to provide traders and PMs with data to improve trading decisions and maximize alpha. Trading Analytics also encompasses data-driven tools to help answer a range of questions covering portfolio capacity analysis, regression testing on turnover, how best to time orders and how to treat different market cap stocks in various markets. In Asia Pacific's often illiquid and volatile market conditions, this can make a significant and long term difference to both the traders, and to fund performance. ASK US A QUESTION: ITG's Trading Analytics team invites you to ask us a question about the Asia markets that could help improve your trading. Using the ITG Peer Database and a wide range of market data and analytics tools, we provide evidence and data-driven insights that can be acted upon to improve trading outcomes. Email: info@itg.com with your questions
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REG NMS SHADES OF GRAY

Gary Stone, Bloomberg Tradebook

Aug 27, 2014
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There are “gray” areas in the implementation of Regulation NMS. Many of these gray areas arise because Reg NMS Rules 610 and 611 are intertwined. For example, a gray area of rule 610, Access to Quotations, is treatment the prohibition of locked markets and the “replenishment” from the “Reserve” portion of an order as part of Rule 611, the Order Protection Rule. Reg NMS and the technical implementation guidance literature were mainly concerned about a market venue executing the Display AND Reserve portions of a large incoming order. The issue arises because most market venues split the Display and Reserve portions of an order into separate queues. Only the display portion of an order is protected under Rule 611. NOTE: Officially, under Regulation NMS Rule 600, the NBBO is defined by the prices coming from the SIP. The SIP, however, is not sole standard for Rule 610 or 611 compliance. In Regulation NMS, the SEC foresaw the effects that data latency skews could have on efficient execution. They created “The Market BBO Alternative” for market venues and brokers to use direct feeds and create their own view of that the market looked like when they (the broker) routed and what the market looked like when they (the market venue) received an order. For simplicity, we will refer to the NBBO as either the SIP or the Market BBO Alternative. Although they are different the market tends to use the terms interchangeably. So when a large incoming order is received, and the venue finishes sweeping the Display queue, does the venue need to check the NBBO (or it’s Market BBO Alternative) before replenishing the Display from the Reserve queue? The technical guidance was clear that the sweep of the Display and Reserve queues could occur after an initial check of the NBBO for Rule 611 Compliance. Example: • “NBBO” is $10-$11 • Market venue A has an $11 offer with 1,000 shares displayed, 9,000 shares in Reserve • Incoming buy order: 5,000 shares at $11 • According to the Staff Guidance, the market venue first checks NBBO – then if there are no other protected quotes are better prices, executes 1,000 shares from the display queue and 4,000 shares from the Reserve. The Reserve shares then replenish the Display shares, so that 1,000 shares are again displayed and 4,000 are in Reserve. That was the easy part. Now for the “gray” part: Issue: If there is a residual amount remaining in the Reserve queue, where can the market venue re-display? • In the example above, the incoming order didn’t take out all of the Reserve. There are still 4,000 shares left. So 1,000 shares would be displayed and 4,000 would be in Reserve • Assume that someone was sweeping the market at 11 and a venue goes 11 bid so the NBBO is now $11-12. • Yikes! Rule 610 says you can’t lock the market… 1. Is the market center allowed to just replenish Display with the Reserve at 11 (the same price) because the act of being taken occurs at the same time as the replenishment? OR… 2. Does the market center have to have a check of the “NBBO” prior to replenishing and defer to the price in the feed before replenishment? Reg NMS isn’t clear and there are a couple of standards operating in the market which is a reason (there are others) we have seen locked markets. One standard we see is to check the NBBO before replenishing the Display quantity from Reserve and in the example, if the market goes $11 bid, is either slide the Display offer to 12 and make the order eligible to be matched at $11 or make it a hidden order in the matching function at 11. Another practice is to simply refresh without checking the price and replenish the Display at $11, essentially locking the market.
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The Future of Best Execution

Steve Grob, Fidessa

Aug 18, 2014
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I was chatting with a few work colleagues last Friday about best execution and derivatives. They confidently asserted that without real fungibility (i.e. the ability to trade the same instrument on different venues), price comparison is not possible and so any notion of best-ex was pretty meaningless. By coincidence, I was later looking at the wording in the best-ex policy of my own broker (and yes, it was a slow afternoon). Interestingly though, it reminded me that best-ex is a much broader concept than just price comparison – it needs to take into account the liquidity, tradability and reputation of any venue, together with an assessment of my own sophistication/naivety. So imagine how the concept of best-ex could extend into the rapidly converging OTC and exchange traded markets. Agreed futures, swap futures, CMFs and other OTC products are not strictly fungible, but they are certainly economically equivalent. If that’s the case then maybe my broker needs to explain why they traded a future rather than a swap future or OTC contract in order to hedge my risk. Also, any decision would need to include their obligation to make best use of my scarce capital by minimising my margin requirement. So maybe the idea of best-ex does have a real place in derivatives markets – if so, then expect a whole range of tools to come out to help the derivatives industry achieve and measure it.
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Interview

ATMonitor talks to ITG's Ian Domowitz about Best Execution

Jul 17, 2014
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Ian Domowitz, Managing Director of ITG and CEO of ITG Solutions Network, talks to ATMonitor about transparency in terms of institutional trading and how Best Execution can be achieved across different asset classes.

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ATMonitor talks to ITG's Ian Domowitz about Big Data and TCA

Jul 09, 2014
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Ian Domowitz, CEO of ITG Solutions Network, talks to ATMonitor about the problems surrounding Big Data in terms of real-time TCA. Domowitz discusses the main issues including the volume, the variety and the velocity of the data.

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ATMonitor talks with Alexandra Foster, BT's Global Head of Strategy

Jul 08, 2014
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Alexandra Foster, Global Head of Strategy & Business Development, discusses the changes that BT Financial Technology Services are seeing within this current market and the future challenges facing their clients.

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Survey

Execution Management Systems Survey 2014

THE TRADE invites you to participate in the EMS Survey for 2014, now in its second year running. If you are trading electronically, we would appreciate your input on the use of EMS systems, which features you consider important and how you rate their current capabilities.To express our thanks, all participants are eligible for a free one-month online subscription to thetradenews.com. Please click here to participate.

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Research

Streaming Analytics to Run Electronic Trading Systems in the Now

Corvil

Jul 22, 2014
Streaming Analytics to Run Electronic Trading Systems in the Now

Electronic trading firms use information technology to automate business operations at every stage of the trading​ ​process, from dissemination of news and market data, to order processing and forwarding, to trade execution and clearing. Automation makes these operations faster and more efficient, reducing trading costs and delays. It also makes firms more dependent on the performance and reliability of IT Operations, and creates challenges for application and network performance management.

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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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