|By PR Newswire||
|December 12, 2012 02:45 PM EST||
TORONTO, Dec. 12, 2012 /CNW/ - The Investment Industry Regulatory Organization of Canada (IIROC) today published the first two phases of a comprehensive report it has undertaken on trading activity related to high-frequency trading (HFT) in the Canadian equity markets.
The High Order-to-Trade (HOT) Study is part of an ongoing analysis, which when completed, will help Canadian and global regulators and market participants better understand the nature and impact of HFT and related trading.
"This study leverages the rich set of consolidated regulatory data from IIROC's real-time multi-market surveillance technology," said Susan Wolburgh Jenah, IIROC's President and Chief Executive Officer. "The study supports IIROC's mandate to foster fair and efficient markets and bolster investor confidence in their integrity."
"The results of this study will help to inform IIROC's work with other Canadian regulators to determine the most appropriate response in the context of global regulatory developments."
The HOT Study objectively identifies a study group of traders and offers a detailed, statistical analysis of their activity. The study focuses on the activity of traders who were responsible for a high number of orders, compared to the number of trades they actually completed between August 1, 2011 and October 31, 2011 on Canadian equity markets.
The third phase of the study will assess the impact of HFT and related activity on Canadian market quality and integrity from multiple perspectives, such as liquidity, price formation, volatility and overall market confidence. To assist in the third phase, IIROC has issued for comment a Request for Assistance for a 30-day period to obtain feedback from all interested stakeholders.
The HOT Study found that 11% of all traders were HOT traders and that this group accounted for 22% of the total share volume traded in Canada and 94% of order messages. The study also found that HOT traders were responsible for 36% of Canadian share volume traded in US inter-listed securities.
The research will complement other initiatives already adopted by IIROC and the Canadian Securities Administrators to govern electronic trading. Examples include revised electronic trading rules and guidance, proposed third-party electronic access rules and guidance, and proposed guidance on manipulative and deceptive trading.
- IIROC Notice - Provisions Respecting Electronic Trading, December 7, 2012
- IIROC Notice - Guidance Respecting Electronic Trading, December 7, 2012
- IIROC Notice - Proposed Provisions Respecting Third-Party Electronic Access to Marketplaces, October 25, 2012
- IIROC Notice - Proposed Guidance Respecting Third-Party Electronic Access to Marketplaces, October 25, 2012
IIROC Notice - Proposed Guidance on Certain Manipulative and Deceptive Trading
Practices, July 17, 2012
The HOT Study
Backgrounder and Highlights
About IIROC and the Study
- IIROC oversees all Canadian equity trading under a single set of rules.
- Through its Surveillance Technology Enhancement Program (STEP), IIROC is able to effectively conduct surveillance of all equity markets on an intra- and inter-market basis.
- As a result, IIROC has a rich repository of regulatory market data consisting of all orders and trades executed on all national equity markets. We are using this data to help us analyze and understand trading patterns in the Canadian equity markets.
- In 2011, IIROC created an in-house Analytics team dedicated to proactive and reactive market analysis to inform policy decision-making. The team began its preliminary work on Phase I of the study in late 2011 and the statistical analysis for Phase II was initiated in Spring 2012.
- Preliminary results from this analysis were presented at the joint IIROC/OSC Market Structure Conference in June 2012 and made available on IIROC's web site.
- There is no universally accepted definition of HFT.
- The HOT Study does not attempt to define HFT. Rather, IIROC statistically identified an outlier group of trader user IDs with a high order-to-trade ratio (one of the key characteristics commonly associated with HFT activity) to establish the study group (the HOT User Group).The HOT User Group encompasses a wide range of participant types including clients who directly trade electronically on the markets through a Direct Market Access (DMA) arrangement with a Canadian dealer, dealers engaging in proprietary trading, dealers trading on behalf of their clients, and dealers engaging in specialist trading/market making for Exchange Traded Funds and Notes (ETFs/ETNs) and other listed securities.
- Using the data to determine the study group and drive the analysis allowed us to view all types of trading activity in an unbiased manner.
- The study covers the prevalence, activity and characteristics of HOT traders. It includes all trading activity on exchanges and most alternative trading systems in Canada in the period studied (August 1, 2011 to October 31, 2011).
- During the study period
- Share volume, value and trades all declined, particularly in October 2011.Canadian activity in US inter-listed securities represented 23 % of volume, 59 % of value and 55 % of trades.
- Canadian activity in S&P TSX 60 securities represented 27 % of volume, 59 % of value and 49 % of trades.
- 5 % of all trading in Canada was dark trading (including dark markets and order types).
Key Findings of Phases I and II -- Trading by the Study Group
- HOT traders
represent 11% of User IDs
account for 22% of trading volume, 32% of dollar value, 42% of trades
and 94% of all order messages sent
trade 36% of all Canadian share volume traded in US inter-listed
- trade 60% of all Canadian trading in ETFs and ETNs
- HOT users trade:larger percentage of total dark activity than displayed market activity
- anonymously more often than other market participants
- passively approximately 66% of the time
- over 90% of their activity through seven IIROC Dealer Members
- 23% of their volume within the same broker1 - generally more than retail users and less than other users (excluding retail)
- predominantly liquid TSX-listed securities priced over $1.00
- more in TSX 60 Index securities than in other TSX-listed securities
primarily outside of the Opening or Market on Close trading sessions
HOT Users earned $250,000 more per day in rebates than they paid in fees2. All other participants earned more rebates than HOT Users; however
these other participants paid $462,000 more per day in fees than they
earned in rebates2.
40% of HOT Users were identified as DMA (as opposed to non-DMA).
- HOT DMA Users:
- were responsible for the majority of trading by all HOT Users
- that were categorized as "Fast" (44% of HOT DMA Users) were responsible for 91% of HOT DMA Users' share volume
- have lower order-to-trade ratios when compared with non-DMA HOT Users
Average order-to-trade ratio is higher in ETF trading for all HOT Users,
but particularly for the non-DMA groups.
- By all measures, HOT clients (DMA and non-DMA) are more active in common shares and HOT non-DMA (inventory and other) are more active in ETFs/ETNs.
IIROC is the national self-regulatory organization which oversees all investment dealers and trading activity on debt and equity marketplaces in Canada. Created in 2008 through the consolidation of the Investment Dealers Association of Canada and Market Regulation Services Inc., IIROC sets high quality regulatory and investment industry standards, protects investors and strengthens market integrity while maintaining efficient and competitive capital markets.
IIROC carries out its regulatory responsibilities through setting and enforcing rules regarding the proficiency, business and financial conduct of dealer firms and their registered employees and through setting and enforcing market integrity rules regarding trading activity on Canadian equity marketplaces.
1 Same-broker trading encompasses both intentional and unintentional
2 Over the study period for the securities included in the trading fee sample.
SOURCE Investment Industry Regulatory Organization of Canada (IIROC) - General News
As someone who has been dedicated to automation and Application Release Automation (ARA) technology for almost six years now, one of the most common questions I get asked regards Platform-as-a-Service (PaaS). Specifically, people want to know whether release automation is still needed when a PaaS is in place, and why. Isn't that what a PaaS provides? A solution to the deployment and runtime challenges of an application? Why would anyone using a PaaS then need an automation engine with workflow ...
Feb. 12, 2016 01:45 PM EST Reads: 228
With an estimated 50 billion devices connected to the Internet by 2020, several industries will begin to expand their capabilities for retaining end point data at the edge to better utilize the range of data types and sheer volume of M2M data generated by the Internet of Things. In his session at @ThingsExpo, Don DeLoach, CEO and President of Infobright, will discuss the infrastructures businesses will need to implement to handle this explosion of data by providing specific use cases for filte...
Feb. 12, 2016 01:00 PM EST Reads: 224
SYS-CON Events announced today that Avere Systems, a leading provider of enterprise storage for the hybrid cloud, will exhibit at SYS-CON's 18th International Cloud Expo®, which will take place on June 7-9, 2016, at the Javits Center in New York City, NY. Avere delivers a more modern architectural approach to storage that doesn’t require the overprovisioning of storage capacity to achieve performance, overspending on expensive storage media for inactive data or the overbuilding of data centers ...
Feb. 12, 2016 12:30 PM EST Reads: 104
SYS-CON Events announced today that Pythian, a global IT services company specializing in helping companies adopt disruptive technologies to optimize revenue-generating systems, has been named “Bronze Sponsor” of SYS-CON's 18th Cloud Expo, which will take place on June 7-9, 2015 at the Javits Center in New York, New York. Founded in 1997, Pythian is a global IT services company that helps companies compete by adopting disruptive technologies such as cloud, Big Data, advanced analytics, and DevO...
Feb. 12, 2016 12:30 PM EST Reads: 259
CIOs and those charged with running IT Operations are challenged to deliver secure, audited, and reliable compute environments for the applications and data for the business. Behind the scenes these tasks are often accomplished by following onerous time-consuming processes and often the management of these environments and processes will be outsourced to multiple IT service providers. In addition, the division of work is often siloed into traditional "towers" that are not well integrated for cro...
Feb. 12, 2016 12:00 PM EST Reads: 497
SYS-CON Events announced today that Alert Logic, Inc., the leading provider of Security-as-a-Service solutions for the cloud, will exhibit at SYS-CON's 18th International Cloud Expo®, which will take place on June 7-9, 2016, at the Javits Center in New York City, NY. Alert Logic, Inc., provides Security-as-a-Service for on-premises, cloud, and hybrid infrastructures, delivering deep security insight and continuous protection for customers at a lower cost than traditional security solutions. Ful...
Feb. 12, 2016 11:45 AM EST Reads: 447
Recognizing the need to identify and validate information security professionals’ competency in securing cloud services, the two leading membership organizations focused on cloud and information security, the Cloud Security Alliance (CSA) and (ISC)^2, joined together to develop an international cloud security credential that reflects the most current and comprehensive best practices for securing and optimizing cloud computing environments.
Feb. 12, 2016 11:45 AM EST
SYS-CON Events announced today that FalconStor Software® Inc., a 15-year innovator of software-defined storage solutions, will exhibit at SYS-CON's 18th International Cloud Expo®, which will take place on June 7-9, 2016, at the Javits Center in New York City, NY. FalconStor Software®, Inc. (NASDAQ: FALC) is a leading software-defined storage company offering a converged, hardware-agnostic, software-defined storage and data services platform. Its flagship solution FreeStor®, utilizes a horizonta...
Feb. 12, 2016 11:45 AM EST
In most cases, it is convenient to have some human interaction with a web (micro-)service, no matter how small it is. A traditional approach would be to create an HTTP interface, where user requests will be dispatched and HTML/CSS pages must be served. This approach is indeed very traditional for a web site, but not really convenient for a web service, which is not intended to be good looking, 24x7 up and running and UX-optimized. Instead, talking to a web service in a chat-bot mode would be muc...
Feb. 12, 2016 11:30 AM EST Reads: 298
SYS-CON Events announced today that Column Technologies will exhibit at SYS-CON's @DevOpsSummit at Cloud Expo, which will take place on June 7-9, 2016, at the Javits Center in New York City, NY. Established in 1998, Column Technologies is a global technology solutions provider with over 400 employees, headquartered in the United States with offices in Canada, India, and the United Kingdom. Column Technologies provides “Best of Breed” technology solutions that automate the key DevOps principal...
Feb. 12, 2016 11:16 AM EST
SYS-CON Events announced today that AppNeta, the leader in performance insight for business-critical web applications, will exhibit and present at SYS-CON's @DevOpsSummit at Cloud Expo New York, which will take place on June 7-9, 2016, at the Javits Center in New York City, NY. AppNeta is the only application performance monitoring (APM) company to provide solutions for all applications – applications you develop internally, business-critical SaaS applications you use and the networks that deli...
Feb. 12, 2016 11:15 AM EST Reads: 431
Fortunately, meaningful and tangible business cases for IoT are plentiful in a broad array of industries and vertical markets. These range from simple warranty cost reduction for capital intensive assets, to minimizing downtime for vital business tools, to creating feedback loops improving product design, to improving and enhancing enterprise customer experiences. All of these business cases, which will be briefly explored in this session, hinge on cost effectively extracting relevant data from ...
Feb. 12, 2016 11:15 AM EST Reads: 139
More and more companies are looking to microservices as an architectural pattern for breaking apart applications into more manageable pieces so that agile teams can deliver new features quicker and more effectively. What this pattern has done more than anything to date is spark organizational transformations, setting the foundation for future application development. In practice, however, there are a number of considerations to make that go beyond simply “build, ship, and run,” which changes ho...
Feb. 12, 2016 11:15 AM EST Reads: 263
When building large, cloud-based applications that operate at a high scale, it’s important to maintain a high availability and resilience to failures. In order to do that, you must be tolerant of failures, even in light of failures in other areas of your application. “Fly two mistakes high” is an old adage in the radio control airplane hobby. It means, fly high enough so that if you make a mistake, you can continue flying with room to still make mistakes. In his session at 18th Cloud Expo, Lee...
Feb. 12, 2016 10:41 AM EST
SYS-CON Events announced today that (ISC)²® (“ISC-squared”) will exhibit at SYS-CON's 18th International Cloud Expo®, which will take place on June 7-9, 2016, at the Javits Center in New York City, NY. Two leading non-profits focused on cloud and information security, (ISC)² and Cloud Security Alliance (CSA), developed the Certified Cloud Security Professional (CCSP) certification to address the increased demand for cloud security expertise due to rapid growth in cloud. Recently named “The Next...
Feb. 12, 2016 10:30 AM EST