Latest Blog Posts

Data integrity: in the spotlight

Mark Brennan, ITRS Group

May 21, 2015
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What are the markets drivers putting pressure on data integrity? Market drivers for monitoring data integrity stem from the large-scale regulatory change sweeping the industry. Back at the G20 summit in Pittsburgh in September 2009, the world’s leading countries agreed that there needed to be more transparency and risk mitigation for the global derivatives market, in the form of organized clearing, reporting and trading. These principles were later enshrined in Dodd-Frank’s Title VII, and are at varying rates of progress in the EU through EMIR and MiFID II regulatory initiatives. read more

MiFID II deadlines under further pressure

Christian Voigt, Fidessa

May 14, 2015
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The European Commission (EC) and ESMA have agreed on an improved process to draft the Level 2 texts for MiFID II. On the back of those discussions, ESMA asked for a 3-month extension on their own deadline to submit draft technical standards and the EC granted it. While the next Level 2 drafts will now not be published until September 2015, the benefit is that further changes are less likely. It is certainly better for everyone that ESMA and the EC avoid a game of legal ping pong. However, ESMA’s statement that this will not delay the implementation time seems to me rather bold. read more

Having your regulatory cake and eating it

Steve Grob, Fidessa

May 14, 2015
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This morning I read with interest a colleague’s blog post on the delay to the publication of the ESMA technical standards from July back to September. Whilst I appreciate that these things are complicated, it seems hard to understand how this won’t delay the implementation date without potentially increasing the very risks the regulations are trying to prevent. Building software and systems properly isn’t just a question of resource; it’s just as much about process. Here at Fidessa Towers, for example, we work on a quarterly release cycle. read more

Spoofing and the Flash Crash – Six Things You Need to Know

Ivy Schmerken, FlexTrade

May 12, 2015
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Charges against a UK futures trader accused of manipulating the U.S. futures markets has ignited debate on whether “spoofing”  was a contributing factor in the 2010 Flash Crash in U.S. stocks. In the entertainment field, you often watch a spoof on Saturday Night Live, but the consequences are usually innocuous.  In computerized financial markets, spoofing generates a lot of “noise” in the market, and can be far from innocuous. It’s meant to trick market participants into trading based on quotes that, while actionable, are designed to move the market in a direction favorable to the spoofer. read more

NYSE, BATS and FINRA – Time to Join Nasdaq’s Pilot

Gary Stone, Bloomberg Tradebook

May 11, 2015
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On Monday, February 2, Nasdaq, on its “classic” or NSDQ exchange, unilaterally lowered access fees on 14 stocks in a test of US market structure. The 14 stocks are comprised of 7 Nasdaq-listed and 7 NYSE-listed relatively high ADV stocks. The results are rather conclusive: • Nasdaq has lost market share in the continuous market trading in every stock in their Pilot (Figure 1, column 13 “continuous mkt share – ex-Auction Volume”); In our opinion, the implication is clear: • The SEC, by capping take fees at 30 mils in 2004 under Regulation NMS Rule 610, created a “Prisoner’s Dilemma” that only it can solve. read more

MiFID II set to cast its net worldwide

Christian Voigt, Fidessa

May 08, 2015
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The current MiFID II draft suggests that trading venues have to fulfil the transaction reporting for non-EEA exchange members. While it is understandable that regulators want to ensure complete records of all trading activity within Europe, the operational burden could be far-reaching. Currently, exchanges rely largely on trading interfaces to collect information from their members, but these were never designed for transaction reporting. Most importantly, some of the required information is not available when the order is submitted to the exchange. read more

Spoofing, the Flash Crash, and Transparency

Mark Brennan, ITRS Group

May 08, 2015
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This week marked the five year anniversary of the Flash Crash, but for several weeks now the financial press have been running articles on a daily basis on the spoofing indictment brought against a UK trader, whose actions the CFTC alleges “contributed to an extreme E-mini S&P order book imbalance that contributed to market conditions that led to the Flash Crash.”  The original analysis of the event, published jointly by the SEC and the CFTC, attributed the cause to market structure complexity and transmission mechanisms:  an extremely large S&P e-mini sell order in the futures market by a fundamental trader was thought to trigger a profound liquidity imbalance in related cash markets. read more

Facing off to Big Data

Steve Grob, Fidessa

May 07, 2015
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