Latest Blog Posts

Summary of SEC Chair, Mary Jo White “Enhancing our market structure"

Brian Barry, Bloomberg Tradebook

Jun 13, 2014

On June 5, SEC Chair Mary Jo White delivered a now highly disseminated speech entitled “Enhancing Our Market Structure” to the Sandler O’Neill & Partners Global Exchange and Brokerage conference in New York City. The SEC has identified five focus areas to improve market structure; an outline of the chair’s speech can be found here. The Tradebook Execution Consulting team is dedicated to helping you focus on the points that matter most. In this piece, we highlight the three subpoints that we feel will potentially have the most impact on the institutional trading community. read more

Build vs Buy becomes Rent vs Collaborate

Steve Grob, Fidessa

Jun 12, 2014

An interesting couple of days at the International Derivatives Expo in London this week. Alongside the usual debate on OTC clearing, algo tagging and other regulatory conundrums, I was on a panel looking at the changing face of vendor relationships. What is evident is that the build vs buy debate has reached a new dimension as the economics of the FCM business, combined with the regulatory burden, have forced a rethink. Buying in 3rd party technology saves money, but how do FCMs differentiate if they are using the same kit as everybody else? The answer lies in thinking about technology in horizontal layers rather than vertical silos. read more

Global Trading Frontiers

Ganesh Iyer

Jun 11, 2014

When the Federal Reserve drastically scaled back its quantitative easing program earlier this year it sent shock waves throughout the emerging markets. During the last few years, artificially low interest rates in the US and other developed markets (a result of quantitative easing such as the Fed’s bond purchasing program) led to vast amounts of capital flowing into emerging markets where investors could get better returns. With the Fed reducing its bond purchases, capital started fleeing emerging markets and resulted in these economies facing higher borrowing costs, currency depreciation and stock market declines. read more

Block trading in today's electronic markets

Kapil Phadnis

Jun 10, 2014

Block trading, or trades with sizes much larger than average, has been a feature of equity markets for a long time. Electronic markets have made information about such trades more readily available. Additionally, block trade analytics, like MBTR on the Bloomberg Professional service®, can monitor and analyze the information. Our goal is to analyze otherwise hard-to-read information based on publicly available datasets and find nuggets of information that might prove useful to the participants in today’s “big data”–driven markets. read more

London’s innovating enterprises helping derivatives traders

Matthew Dent

Jun 10, 2014
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2014 is commonly recognised as ‘crunch year’ with new asset classes being systematically pushed onto regulated exchanges as part of the G20 drive towards increased transparency in financial markets. Investors managing those asset classes, including OTC derivatives traders, have to grapple with the best way to undergo this transition. The ultimate result of these recent regulations, such as EMIR, MiFID II and Dodd-Frank, is a rush by asset management firms towards automation. Some players in this market are mirroring their existing equities infrastructure. read more

History doesn’t repeat itself, but it does rhyme

Christian Voigt, Fidessa

Jun 04, 2014

While I’m not suggesting that history is repeating itself, there are certainly some interesting similarities between MiFID I and II. With its focus firmly on equity markets MiFID I saw a number of new ventures (Chi-X, BATS, Turquoise, Quote MTF, NYSE Arca Europe and others) line up to capture a share of the European markets. With MiFID II now encompassing derivatives markets too, the new competitors today include NASDAQ’s NLX, GMEX and the new venture planned by LSE. Interestingly, incumbent exchanges seem more active the second time around with LIFFE and EUREX implementing a wide range of new projects, where listing their competitors’ products is the smallest of the changes. read more

Factors affecting VWAP in futures: Volatility and pricing risk (part 3 of 3)

Jingle Liu

May 29, 2014

When traders have a large size of futures contracts to trade, liquidity become more precious and rapid market price movement can turn against you. Market volatility plays an important role in determining how fast the order should be executed to reduce price slippage against arrival price (the mid quote at the order entry), which measures the potential pricing risk faced by traders. The importance of understanding the volatility profile of contracts you are trading cannot be overstated. Our studies show that volatility increases and decreases in a future contract are strongly correlated with volume profiles, reaching their highest at the end of pit trading hours and electronic hours (see Figure 1(a) and Figure 1(b)). read more

MiFID-compliant social media

The Banker's Umbrella

May 22, 2014
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Time for a lesson in law. Wait, wait, WAIT! Don’t go. Come back! Behold, my fellow soldiers fighting it out on the frontlines of the financial services industry, what I provide to you now will make you an expert on European financial law, it is in fact Compliance Kryptonite. I will admit that it won’t help you score with the opposite sex but it’ll make you sound all kinds of professional and knowledgeable amongst your finance peers. The below analysis is based on a white paper I am working on with Bridget Greenwood regarding legislation affecting marketing in global financial services. read more