Latest Blog Posts

Get serious about this blockchain thing

Chris Skinner

Aug 27, 2015
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Having noted that most bankers are now saying bitcoin bad, blockchain good, here’s a nice set of quotes I’ve been gathering of what banks are actually saying: “At its core, Bitcoin is a decentralized protocol that enables exchange of value among parties around the world, giving it the potential to alter the financial services landscape,” Jay Reinemann, BBVA Ventures executive director;  The Bitcoin blockchain “is an opportunity for Wall Street to streamline some operations that are pretty antiquated”, Duncan Niederauer, former CEO of NYSE Euronext “Money at its core is simply a ledger for keeping track of debts and Bitcoin is truly the best iteration of a universal ledger we’ve ever seen. read more

Nasdaq’s TRF Disruption Didn’t Just Hobble Dark Pools… It Did Much More Than That

Gary Stone & Ray Tierney, Bloomberg Tradebook

Aug 27, 2015
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Recent press reports that the outage at the Nasdaq TRF on August 4th “hobbled” the dark pools is a simplistic meme that doesn’t address the wider impact the outage had on the equity market. The NASDAQ TRF does not just serve the dark pools, it serves all off-exchange OTC equity activity including wholesalers interacting with retail order flow and regional broker-dealers. Many of these regional broker-dealers use the Bloomberg Trading Solutions’ Sell Side Order Management System (SSEOMS) to manually cross stock “upstairs” from their market making inventory or sales-trading activities. read more

The Dragon chasing its own tail

Steve Grob, Fidessa

Aug 26, 2015
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Few can have missed the carnage roiling Chinese stock markets recently. What’s interesting though is the emerging hubris from Western media that this is due to the intersection of communism and capitalism. The problem, they say, is that the purpose of markets is to allow free and open price discovery. However, they argue, a command economy like China can afford to tamper with this process and compel participants (like its state pension fund) to intervene in markets. The net effect is that when these interventions halt the slide, the millions of domestic retail investors borrow more money and buy in again in the vain hope of recovering their losses. read more

Lightening the load

Christian Voigt, Fidessa

Aug 26, 2015
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Technology is meant to make life easier. Be it a smart phone, TV or fridge, or even a smart water kettle, they all promise a simpler life. Whether they deliver on that is another matter entirely and the idea that more technology always equals better is debatable, particularly considering that my new bathroom scales tweet my weight every time I step on them. Like the ongoing trend of trading automation, the need for smart solutions also applies to market surveillance, much of which is already automated. read more

Behind Stock Price Movement, Part II: Modeling Stock Price Movement

Sanghyun Park & Kapil Phadnis, Bloomberg Tradebook

Aug 21, 2015
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In order to model the stock price movement in terms of the supply-demand imbalance in the market, we break down the imbalance into quote and trade imbalances. During a specific time interval, we define quote and trade imbalances as follows. Quote imbalance = + Number of shares added at the best bid – Number of shares cancelled at the best bid – Number of shares added at the best ask + Number of shares cancelled at the best ask Trade imbalance = + Number of shares traded above mid – Number of shares traded below mid And we further break the trade imbalance into lit and dark based on the trading venues. read more

Behind Stock Price Movement: Supply & Demand in Market Microstructure and Market Influence

Sanghyun Park & Kapil Phadnis, Bloomberg Tradebook

Aug 17, 2015
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How can we measure the supply-demand imbalance in the stock market and how much does that affect the movement of the stock prices? In a recent Journal of Trading paper, we studied short-term stock price movements in the U.S. equity market.  The movement of a security price is mainly driven by the imbalance between supply of and demand in the marketplace.  We investigated four different factors that might impact the price movement. Quote imbalance in the central limit order book. read more

Best ex transparency moves to the next level

Christian Voigt, Fidessa

Aug 11, 2015
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The draft technical standards for MiFID II require exchanges to publish quarterly execution quality reports (RTS 6). Sell-side firms are expected to digest these and update their best execution policies accordingly. Additionally, sell-sides must publish their own execution quality reports annually (RTS 7), which obviously should be digested by the buy-side. While sceptics might argue that the biggest impact will be an increased demand for paper, outright opponents point to some details which could drive significant changes in market structure. read more

Unbundling versus Best Ex

Steve Grob, Fidessa

Aug 05, 2015
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So, the September date looms for ESMA’s final clarification on unbundling. What seems evident is that payment for research with trading commissions is definitely going to be out. What seems less clear, though, is what can still be bundled into the definition of ‘execution’ and therefore still be paid for in commission dollars. Presumably, post-trade TCA services are included as they could just be thought of as a fancy form of invoice or, in the case of pre- or real-time analytics, as a mechanism that allows customers to monitor what is going on. read more