Latest Blog Posts

Trading U.S. Opening Gap In Asia Hours

Gabriel Kan, Kei Gamo & Tom Kingsley, Bloomberg Tradebook

Sep 23, 2016

Global economic slowdown, monetary policies and political unrest have introduced significant uncertainty to the equity market. The risk of holding a U.S. equity position overnight, measured by the difference between previous day’s closing price and market opening price, has increased by more than seven times in the last four years from 2.3bp in 2012 to 17.5bp in 2016 H1. The overnight gap risk is trending towards the 2008 financial crisis level at 28.1bp. The higher degree of interconnectivity and information flow among global equity markets contributes to the increase in the overnight gap risk. read more

The Long And The Short Of It

Christian Voigt, Fidessa

Sep 22, 2016

MiFID II requires trading venues to store personally identifiable information (each potentially 50 characters long) relating to the traders, investment managers and clients of the orders they receive. While it might be very convenient for surveillance to have order book data married up with personal data, this requirement is not only an additional burden to system load but also raises data privacy concerns. To mitigate these issues the industry is currently working towards an approach that allows trading platforms to rely on short codes submitted during trading, then receiving the mappings to the sensitive data via a separate link at the end of the day. read more

RegTech: Brother In Arms With FinTech

Chris Skinner

Sep 22, 2016

During recent months, I’ve enjoyed a real ding-dong of conversations between Europeans, Asians, Americans and Brits about FinTech and, to be more specific, RegTech. RegTech is a couple of years in catch-up with FinTech, and is all about how to use technologies to make regulations more efficient and effective. The claim is that the UK leads the field in this space, but why would that be? My claim is that it is because the UK Government and the London Mayor’s Office has made a real agenda and focus of making FinTech London and, more widely, Britain their leading platform. read more

Queuing In Asia Equity Market: Part 1 – Queue Formation

Gabriel Kan & Hideaki Sano, Bloomberg Tradebook

Sep 21, 2016

Mailing a letter, waiting for a bus, buying a burger… queuing is an essential part of everyday life to get what you want, and trade execution is no different. By posting on the same side of the order book, passive orders can improve execution by capturing the spread and minimizing market impact. In order to increase the chance of getting filled under the first-in-first-out rule, orders need to queue early and obtain front positions in the order book. It is particularly challenging when the market has a long queue as is the case in Asia. read more

Central Risk Books – The New Black For Capital Markets

Steve Grob, Fidessa

Sep 20, 2016

I first came across the term “central risk book” at the excellent International Trader Forum event in Rome a couple of weeks back. It seems like it’s the banks’ answer to the dark pool caps that will be upon us in a little over a year. As of January 2018 banks won’t be able to operate their own dark pools in their current form and it seems that the preferred option is to become Systematic Internalisers and trade on a principal basis with clients. The purpose of the CRB in all this is to act as a huge repository for all the firm’s positions. read more

The Ever-Growing MiFID II Shopping List

Anne Plested, Business Solutions Consultant at Fidessa

Sep 19, 2016

Amongst other things, MiFID II’s transparency reforms intend to clean up the quality of post-trade data and eradicate duplicate prints – long-suffered bugbears for investment firms. But in simply stating the rules, ESMA has left buy- and sell-sides puzzling over just how significant a change this is. A look at the cost benefit analysis the regulator published in September last year reassured me that a sweeping reinvention of the wheel is not the intention. The brokers’ exchange-traded domain looks likely to remain unaffected, aside from the handling of new, harmonised trade flagging and of waiver IDs to help regulators and exchanges count for the equity dark caps. read more

The Banking Bazaar And The Bizarre Banker

Chris Skinner

Sep 16, 2016

I’ve spent a lot of this week talking about marketplaces. We have a growing number of financial marketplaces appearing. Lending marketplaces, credit marketplaces, payments marketplaces and more. A marketplace is the bazaar. Market stall holders gather to meet with prospective clients, and the digital version of the marketplace is the focal point for many FinTech start-ups, as they can create stalls here that become major technology businesses like Stripe and Square. For the banks, they have to think different. read more

Challenges In ETF NAV Trading

Lisa Packham & Kiran Pingali, Bloomberg Tradebook

Sep 14, 2016

WHAT IS NAV Net Asset Value (NAV), whether for mutual funds or exchange traded funds, is considered an indicator of the true value of that fund and is one of the most important data points when making investment decisions around a fund. A fund’s NAV is the sum of all its assets (the value of its holdings in cash, shares, bonds, financial derivatives and other securities) less any liabilities, all divided by the number of shares outstanding. It’s an indication of the fair value of a single share of the fund. read more