Latest Blog Posts

What to expect when you’re expecting ESMA

Vicky Sanders, RSRCHXchange

Sep 23, 2015
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As we eagerly await  the final verdict on unbundling under MiFID II, here is a list of 10 things we can expect for research while we’re expecting ESMA’s much-anticipated release.   1. January 2017 is here to stay The delay of the final text from the original June deadline, was the subject of much attention earlier this summer. This particular postponement, however, is no reason to speculate that the January 2017 implementation date can be pushed back. The date was agreed by a European Parliament vote and therefore can’t be changed by ESMA or the EC independently. read more

A second chance for the SI?

Christian Voigt, Fidessa

Sep 18, 2015

Looking back at MiFID I, the Systematic Internaliser (SI) didn’t really take off, resulting in a meagre 1-2% market share in the FTSE 100 today. Many EU countries had different models to execute or internalise order flow, leaving the SI model on the shelf like a dented can of beans. Under MiFID II, Brussels will take a stricter approach by introducing quantitative SI thresholds and having a double volume cap for equities dark trading. This leads to the question: what will markets look like in 2017 if more firms opt for the SI route? It mostly depends on whether firms will truly embrace the SI regime and start to compete on the attractiveness of their quotes, or whether they see the publication of quotes as a regulatory burden that provides no business value. read more

If you go down to the woods today…

Lewis Richardson, Fidessa

Sep 17, 2015
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The derivatives markets of Asia are the destination of choice for firms across the derivatives spectrum. But bear traps remain for the unwary. Lewis Richardson, Derivatives Business Development Manager at Fidessa, looks at how to choose the safest path through the jungle of this asset class in Asia. Derivatives markets in Asia are basking in global attention, with exchanges, clearing houses, brokers, international investors and vendors all piling in to local markets. Between August 2014 and August 2015 trading in SGX China A50 futures more than doubled. read more

Canada’s New Market Model Conundrum

Doug Clark, ITG

Sep 15, 2015

On September 8, 2015 the TMX Group published the much anticipated fee schedule for the revamped Alpha Exchange (subject to regulatory approval). Coupled with the recently published minimum size thresholds for “Post Only” orders, we now have near perfect information around how the market will operate and can opine intelligently on the expected impact the new model is likely to have on equity trading in Canada. Before we begin to pontificate upon the migration of flow, or impact on market quality, let’s first review what the Alpha model is and how it will function. read more

The rise of the Super Sales Trader

Steve Grob, Fidessa

Sep 15, 2015

Spent a great few days in Madrid last week at the International Trader Forum. The event brings together key figures from the buy and sell-side to debate the current and future likely shape of the industry. One of the key predictions this time was the rise of a new type of sales trader. One that could do all the relationship stuff of before, but was also armed with new tools that enable them to source liquidity in size and provide real colour on any given trading situation. One of the reasons for this is the buy-side’s frustration with continued IOI spam and the fact that even the best algos struggle to sniff out large blocks, let alone trade them. read more

Behind Stock Price Movement IV: Classification of Stocks Based on Bid-Ask Spread

Sanghyun Park & Kapil Phadnis, Bloomberg Tradebook

Sep 10, 2015

In the previous parts of this blog post series, we introduced a model that explains stock price movements based on market imbalances.  This model reveals interesting characteristics of stocks.  For some stocks the quote imbalance is the dominant factor that dictates the price movement, and for others the trade imbalance is more significant. What determines this classification between quote-driven and trade-driven stocks?  The determining factor turns out to be the bid-ask spread. read more

BATS auctions off the block problem

Steve Grob, Fidessa

Sep 09, 2015

There has a been a lot of talk about how to trade blocks that are smaller than the LIS waiver but that are still too big to go to regular lit markets. The debate has been ratcheted up by the 4 and 8% dark pool caps that are part of the MiFID II spectre looming above us all. One approach, of course, is to chop your block into smaller pieces with an algo but this is becoming increasingly unattractive in an HFT-dominated world. Venues like Turquoise have done their bit to help solve for this with their innovative Block Discovery service which has been gaining momentum steadily. read more

Buy-Side FX Shifts in Evolving Market Structure

Ivy Schmerken, FlexTrade

Sep 09, 2015

As electronic trading grows on the buy-side and top dealers retreat from sharing market color, exchanges are snapping up FX trading venues. In July, Deutsche Borse said it will buy foreign exchange trading platform 360T for $796 million to diversify and capture volume in the $5.3 trillion-a-day currency markets. This followsBATS Global Markets’ purchase of Hotspot FX from KCG Holdings for $365million earlier this year. Meanwhile, in late August, Nasdaq OMX said it’s preparing to launch its own FX trading platform, most likely in 2016, reported Reuters. read more