Latest Blog Posts

MiFID II delay – a missed opportunity

Christian Voigt, Fidessa

Feb 10, 2016

The European Commission’s long-awaited official proposal for a one year extension to the MiFID II deadline is finally published today. In short, application dates will be pushed back by one year, with the official go-live date now set for Wednesday 3rd January 2018. While the delay comes as a massive relief to many market participants and the regulators, it is also a missed opportunity. Brussels opted, again, to define a fixed deadline rather than a relative timeline (12 months after an event, for example). read more

Understanding the Growth of Merger Arbitrage: Part II

Mike Baradas, Bloomberg Tradebook

Feb 09, 2016

Our previous post, “Understanding the Growth of Merger Arbitrage: Part I”, described how Merger Arbitrage traders can position themselves on the outcome of a merger cash deal.  Other deals will have deal payment terms with stock or a combination of cash and/or stock.  In 2015, 60% of the deal payment terms were with stock (22%), cash-or-stock (7%), or cash-and-stock (31%). We will demonstrate how a trader would take a position on a merger based on a stock or cash-stock combination payment terms. read more

Nosey neighbours

Christian Voigt, Fidessa

Feb 05, 2016

Is MiFID II really going to force investment firms to pass around huge amounts of personal, identifiable information? Will competitors and counterparties learn way too much about your business? While many of these concerns may be overblown, there are some valid points to consider. The most obvious one relates to transaction reporting under RTS 22, which will require numerous items such as national IDs, algo IDs, names and birth dates to be submitted to the regulator. Given that firms have to report transactions only from their own perspective, and not that of their counterparties, that data goes no further than the regulator. read more

The Algo Survey - who is winning so far

Robert Kay

Feb 04, 2016
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The main Algorithmic Trading Survey is now at the half -way stage, and early indications suggest that 2016 will see a further strengthening of trends seen over the last two years as the industry has matured. Customers want something that is easy to use and gets the job done – not obviously complex requirements. Ease-of Use ranks number one of the aspects of service that clients prioritise, based on results in so far. The importance of this factor is even more pronounced among hedge fund clients than overall, but even long-only managers have it as #1. read more

Best Execution FX: A Shifting Landscape

Ivy Schmerken, FlexTrade

Feb 02, 2016
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As European regulators eye the foreign exchange market, the onus is falling on buy- side firms to develop best execution standards and take more control over their trades, according to a recent industry conference In light of recent scandals involving currency-rate rigging, and the controversy over ‘last look’, where banks have the right to reject a trade after a client requests a quote, traders are paying close attention to data. Some quantitative firms are already focused on algorithms and aggregation tools that pull together disparate pools of liquidity from a mix of banks and ECNs. read more

China Trading Turmoil

Ofir Gefen, ITG

Feb 01, 2016
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As the new year started, China turmoil and the activation of new circuit breakers triggered global market contagion. ITG uses key data points to analyse what happened, and provides a useful ‘Market Compass’ tool to help traders predict the broader effects of market conditions on Asian markets as they open. CHINA FOCUS WHAT HAPPENED (4 TO 11 JANUARY 2016) CSI300 Volumes traded weren’t significantly different from the December average, other than broadly proportionally on the days when trading was cut short by the circuit breakers. read more

SMP checks in the balance

Christian Voigt, Fidessa

Jan 29, 2016

Self-match prevention (SMP) is offered by many exchanges – CME, ICE, Turquoise and BATS among them – and by the more advanced order management systems. In most cases, employing an SMP check is voluntary for trading firms; that is important because not every prevented self-match is also a prevented (illegal) wash trade. Some regulatory jurisdictions require intent as a defining characteristic of a wash trade, but even the best technology cannot read minds. SMP checks can therefore suffer from Type I errors – statistical speak for the unnecessary rejection of a legitimate order. read more

Understanding the Growth of Merger Arbitrage: Part I

Mike Baradas, Bloomberg Tradebook

Jan 27, 2016

Global Mergers & Acquisitions activity hit a record $5.1 trillion in 2015, from the previous record of $4.1 trillion in 2007.  In this post we will explore the parallel growth of Merger Arbitrage Hedge Funds and trading platforms used to implement this alternative investment strategy. After a strong fourth quarter, a recent Bloomberg story on completed and pending deals, “2015 Was Best-Ever Year for M&A; This Year Looks Good Too,” suggests a temporary lull in deals for the first quarter this year due to the recent volatility in the markets, the U. read more