Latest Blog Posts

Slave to a label?

Christian Voigt, Fidessa

Dec 18, 2014

ESMA has just published a report on high-frequency trading (HFT) activity in EU equity markets. It’s good to see the regulator producing an empirical study on such a hotly-debated and emotive topic. Taking a sample of European stocks, and applying two possible definitions of HFT, ESMA estimates that between 24% and 43% of value traded is done by HFT. This sounds like a nice catchy headline, but it’s a little more complicated than that. Under its requirement to provide technical advice to the European Commission to specify the definition of HFT, ESMA proposed two different options in the MiFID II consultation paper; neither of those is applied in this particular study. read more

FragPro all wrapped up for Christmas

Steve Grob, Fidessa

Dec 15, 2014

Following on from my last blog on the subject, the guys at Fidessa Labs have now made the latest version of the Fragulator available. Despite its name FragPro is still free, and yet it contains a bunch of cool new features. These include the ability to view stocks or indices by order book or venue owner (e.g. LSE Group including Turquoise, or all Euronext venues), track dark pool volumes and a download capability too. My personal favourite, however, is what the guys called the ‘Pacman’ feature whereby you can turn different venues on and off simply by clicking on them in the pie chart key. read more

How Much Does My FX Trading Cost?

Minor Huffman, SunGard

Dec 12, 2014

Recent changes in the regulation of foreign exchange (FX), bonds and over-the-counter (OTC) products bring challenges to traders, corporate treasurers and portfolio managers when evaluating the performance of their trading decisions. For many firms, the question, “How much does my FX trading cost?” is a challenging one to answer. Unlike equities, pricing for most FX transactions, along with bonds and OTC derivatives, contains no explicit transaction costs. Market makers bundle transaction costs into the bid/offer spread charged to customers, often making it difficult to unbundle the charges to see the exact price paid to execute the trade. read more

Talking Managed Services and Connectivity in Asia’s World City

Ganesh Iyer

Dec 05, 2014

The $30 billion market data industry is rapidly evolving with many firms now providing a wide array of managed service offerings. Nowhere is managed services becoming more prevalent than in the Asia-Pacific region where accessing global markets and counterparties can be challenging given vast geographical distances and significant regulatory, cultural, economic, and linguistic differences among the various countries in the region. There was a lively panel discussion on this topic at the Asia-Pacific Financial Information Conference (APFIC) which took place in November at the Renaissance Harbour View Hotel overlooking Hong Kong’s stunning Victoria Harbour. read more

Last minute shopping in Europe

Steve Grob, Fidessa

Dec 05, 2014

Imagine you are doing the last of your Christmas shopping – all that’s left to get is a large chunk of your favourite stock. Because you generally buy in bulk, you know to avoid the brightly lit but expensive retail stores, and instead shop at one of the big wholesalers. But, there’s a problem. Somebody has passed a law capping the amount that any one of those stores can sell to 4% and the total that can be sold by all wholesalers together to 8%. So now you have to closely monitor them all because, if the one you’re headed to is getting close to its limit, you should probably be diverting to another. read more

Systematic Internaliser on a wire

Christian Voigt, Fidessa

Dec 04, 2014

MiFID II imposes simple categories on a complex trading landscape, such as on- and off-exchange, or multi-lateral vs. bi-lateral. Obviously having some rules helps unravel complexity, but too many kills innovation. Walking this tightrope is not easy. Internalisation comes in two flavours. Either you have an order from a customer, agree a fixed price and then try to unload the position over time. Or, perhaps you receive two opposing orders at the same time and match them with no risk to yourself. Depending on where the Level 2 discussion ends up, potentially only the first workflow will be supported under the SI regime. read more

How to Find Liquidity for Any ETF

Mike Baradas, Bloomberg Tradebook

Nov 28, 2014

In the December 2014 edition of Bloomberg Markets Magazine, Tradebook discusses ETF growth and associated liquidity problems that are arising as a result of Basel III and the implementation of the Volcker Rule. We also highlight efforts we are making through data and analytics to create institutional-sized liquidity pools. Tradebook has the solutions to find the liquidity for any ETF. Liquidity is a problem for the exchange-traded fund industry, which has grown to more than 5,300 securities managing more than $2. read more

Synchronising regulation

Christian Voigt, Fidessa

Nov 25, 2014

US securities industry regulator FINRA recently implemented new time-stamping rules, a topic also on ESMA’s MiFID II task list. FINRA requires US firms to express time in milliseconds when reporting trades to the FINRA facilities and order events to OATS, while ESMA’s proposal wants HFT firms to timestamp records to the nanosecond. That’s a whopping one million factor difference! Additionally, FINRA is currently consulting on business clock synchronisation, an area ESMA is looking at too. read more