Latest Blog Posts

What I did not do

Christian Voigt, Fidessa

Sep 19, 2014
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When I got into work this morning, I decided not to return a missed call, not to review a document, not to read a report, not to ask some colleagues for advice, not to fill in my timesheet for last month, not to think about further job training and, most importantly, not to join an internal weekly meeting which was covering a topic not relevant to me. Instead I decided to write this blog first. If you thought that my introduction was rather long winded, you will not be pleased to hear that your algo audit trails could look exactly like that too, if ESMA’s current proposal for record-keeping makes it into the final Level 2 text of MiFID II. read more

El maƱana is here

Anne Plested, Fidessa

Sep 16, 2014
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Last week I was in the beautiful city of Madrid, where besides analysing the impact of upcoming MiFID II regulation, I’ve been catching up on the Spanish Market Reforms. The upcoming changes, aka La Reforma, promise to align the Spanish market with European peers and improve competitiveness. Spain’s clearing, settlement and registry system overhaul is being tackled in 2 phases, currently underway with the introduction of a central counterparty (CCP) for equities during 2015 followed by the inclusion of fixed income and Target2Securities (T2S) by early 2017. read more

ETF ALGORITHMIC TRADING VS. BLOCK TRADING (PART 3)

Jingle Liu

Sep 15, 2014
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  FIGURE 1. Notched Box-Whisker plot that shows trade costs of algorithmic execution (blue) and block trading (red) of ETFs for various order sizes (measured as percentage of ADV). We statistically compared the ETF trade costs of implementation shortfall strategy with that of block trading which was deemed as an effective way to execute large chunk of shares. Block trade here was defined as single trade with prints of more than 10000 shares. We gathered all the ETF block prints from public market feeds of US equity market from 1/1/2013 to 12/31/2013. read more

True intentions

Christian Voigt, Fidessa

Sep 11, 2014
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With the advances made in automated trading in recent years, regulators are having to work pretty hard to catch up with the markets. ESMA currently has two documents out for consultation on the Market Abuse Regulation (MAR) and has announced a public hearing on October 8th. In parallel, last week saw the publication of the CME’s Rule 575 on disruptive trading. The implications of automated trading are under scrutiny on both sides of the Atlantic. The CME states in its new rule that traders can only enter orders with the purpose of executing them. read more

BENEFITS AND CHALLENGES FOR THE MULTI-ASSET FRONT OFFICE

Beau Alexander, SunGard

Sep 05, 2014
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With a single global order management system (OMS) for all their assets, sell-side firms will be in a stronger position to improve data management and compliance, streamline processes and reduce costs. But in the front office itself, what could consolidated technology mean for highly specialized trading? As TABB Group has noted in a recent research paper based on its global survey of brokerage firms, the desire to consolidate OMS functionality across all asset classes is top-of-mind today across the sell side. read more

Wanted: Home for OTC trading

Christian Voigt, Fidessa

Sep 04, 2014
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With MiFID II’s stated aim to push OTC trading (where appropriate) onto regulated platforms European market structure is undergoing considerable upheaval. As the first round of Level 2 consultation has just finished it’s now time to define what OTC trading is appropriate and where it can be executed. While double volume caps somewhat restrict the use of transparency waivers, Systematic Internalisers (SIs) appear to be a possible home for some OTC trading. However, reading through the discussion paper and some of the responses, this is not so certain anymore. read more

NO PAIN, MORE GAIN: WHY SETTLE FOR LESS IN THE FRONT OFFICE?

Beau Alexander, SunGard

Sep 01, 2014
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Recent research shows that sell-side firms are less than satisfied with their order management system (OMS) technology. Many front offices, however, continue to make do with their current solutions. Are they selling themselves short? In its recent global survey of brokerage firms and investment banks, TABB Group reveals the sell-side’s “striking level of tepid satisfaction and even outright frustration” with current OMS solutions. It also notes that, by having a more flexible infrastructure and a single point of execution, with execution capabilities for multiple asset classes and global locations, organizations could increase efficiency and reduce their overall trading costs. read more

LOOK UNDER THE HOOD: THE HIDDEN COSTS OF OUTDATED OMS TECHNOLOGY

Beau Alexander, SunGard

Aug 29, 2014
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Exactly how old is the technology that powers your front office? On the sell side, it pays to do a little   research and ensure that you’re running an order management system (OMS) with more years ahead of it than behind it. And while budgetary pressures may make it tempting to delay investment in new solutions, failure to regularly upgrade hardware and software could carry its own long-term costs. OMS technology can help set a sell-side broker apart from its competitors. But according to a recentglobal survey of brokerage firms and investment banks by TABB Group a significant percentage of boutique organizations and regional banks have not made meaningful upgrades to their equity OMS systems in more than two years – and many in more than five years. read more