|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
SYS-CON Events announced today that HTBase will exhibit at SYS-CON's 20th International Cloud Expo®, which will take place on June 6-8, 2017, at the Javits Center in New York City, NY. HTBase (Gartner 2016 Cool Vendor) delivers a Composable IT infrastructure solution architected for agility and increased efficiency. It turns compute, storage, and fabric into fluid pools of resources that are easily composed and re-composed to meet each application’s needs. With HTBase, companies can quickly prov...
Mar. 27, 2017 10:30 AM EDT Reads: 2,973
SYS-CON Events announced today that Infranics will exhibit at SYS-CON's 20th International Cloud Expo®, which will take place on June 6-8, 2017, at the Javits Center in New York City, NY. Since 2000, Infranics has developed SysMaster Suite, which is required for the stable and efficient management of ICT infrastructure. The ICT management solution developed and provided by Infranics continues to add intelligence to the ICT infrastructure through the IMC (Infra Management Cycle) based on mathemat...
Mar. 27, 2017 10:30 AM EDT Reads: 3,098
SYS-CON Events announced today that Cloudistics, an on-premises cloud computing company, has been named “Bronze Sponsor” of SYS-CON's 20th International Cloud Expo®, which will take place on June 6-8, 2017, at the Javits Center in New York City, NY. Cloudistics delivers a complete public cloud experience with composable on-premises infrastructures to medium and large enterprises. Its software-defined technology natively converges network, storage, compute, virtualization, and management into a ...
Mar. 27, 2017 09:30 AM EDT Reads: 2,077
SYS-CON Events announced today that Interoute, owner-operator of one of Europe's largest networks and a global cloud services platform, has been named “Bronze Sponsor” of SYS-CON's 20th Cloud Expo, which will take place on June 6-8, 2017 at the Javits Center in New York, New York. Interoute is the owner-operator of one of Europe's largest networks and a global cloud services platform which encompasses 12 data centers, 14 virtual data centers and 31 colocation centers, with connections to 195 add...
Mar. 27, 2017 08:30 AM EDT Reads: 1,288
Building custom add-ons does not need to be limited to the ideas you see on a marketplace. In his session at 20th Cloud Expo, Sukhbir Dhillon, CEO and founder of Addteq, will go over some adventures they faced in developing integrations using Atlassian SDK and other technologies/platforms and how it has enabled development teams to experiment with newer paradigms like Serverless and newer features of Atlassian SDKs. In this presentation, you will be taken on a journey of Add-On and Integration ...
Mar. 27, 2017 08:15 AM EDT Reads: 3,136
There are 66 million network cameras capturing terabytes of data. How did factories in Japan improve physical security at the facilities and improve employee productivity? Edge Computing reduces possible kilobytes of data collected per second to only a few kilobytes of data transmitted to the public cloud every day. Data is aggregated and analyzed close to sensors so only intelligent results need to be transmitted to the cloud. Non-essential data is recycled to optimize storage.
Mar. 27, 2017 08:15 AM EDT Reads: 3,066
"I think that everyone recognizes that for IoT to really realize its full potential and value that it is about creating ecosystems and marketplaces and that no single vendor is able to support what is required," explained Esmeralda Swartz, VP, Marketing Enterprise and Cloud at Ericsson, in this SYS-CON.tv interview at @ThingsExpo, held June 7-9, 2016, at the Javits Center in New York City, NY.
Mar. 27, 2017 08:00 AM EDT Reads: 4,301
Interoute has announced the integration of its Global Cloud Infrastructure platform with Rancher Labs’ container management platform, Rancher. This approach enables enterprises to accelerate their digital transformation and infrastructure investments. Matthew Finnie, Interoute CTO commented “Enterprises developing and building apps in the cloud and those on a path to Digital Transformation need Digital ICT Infrastructure that allows them to build, test and deploy faster than ever before. The int...
Mar. 27, 2017 07:45 AM EDT Reads: 1,122
Culture is the most important ingredient of DevOps. The challenge for most organizations is defining and communicating a vision of beneficial DevOps culture for their organizations, and then facilitating the changes needed to achieve that. Often this comes down to an ability to provide true leadership. As a CIO, are your direct reports IT managers or are they IT leaders? The hard truth is that many IT managers have risen through the ranks based on their technical skills, not their leadership abi...
Mar. 27, 2017 05:00 AM EDT Reads: 11,120
The essence of cloud computing is that all consumable IT resources are delivered as services. In his session at 15th Cloud Expo, Yung Chou, Technology Evangelist at Microsoft, demonstrated the concepts and implementations of two important cloud computing deliveries: Infrastructure as a Service (IaaS) and Platform as a Service (PaaS). He discussed from business and technical viewpoints what exactly they are, why we care, how they are different and in what ways, and the strategies for IT to transi...
Mar. 27, 2017 05:00 AM EDT Reads: 6,248
Without a clear strategy for cost control and an architecture designed with cloud services in mind, costs and operational performance can quickly get out of control. To avoid multiple architectural redesigns requires extensive thought and planning. Boundary (now part of BMC) launched a new public-facing multi-tenant high resolution monitoring service on Amazon AWS two years ago, facing challenges and learning best practices in the early days of the new service.
Mar. 27, 2017 03:45 AM EDT Reads: 3,044
Niagara Networks exhibited at the 19th International Cloud Expo, which took place at the Santa Clara Convention Center in Santa Clara, CA, in November 2016. Niagara Networks offers the highest port-density systems, and the most complete Next-Generation Network Visibility systems including Network Packet Brokers, Bypass Switches, and Network TAPs.
Mar. 27, 2017 03:15 AM EDT Reads: 3,223
All organizations that did not originate this moment have a pre-existing culture as well as legacy technology and processes that can be more or less amenable to DevOps implementation. That organizational culture is influenced by the personalities and management styles of Executive Management, the wider culture in which the organization is situated, and the personalities of key team members at all levels of the organization. This culture and entrenched interests usually throw a wrench in the work...
Mar. 27, 2017 03:00 AM EDT Reads: 3,079
SYS-CON Events announced today that Outlyer, a monitoring service for DevOps and operations teams, has been named “Bronze Sponsor” of SYS-CON's 20th International Cloud Expo®, which will take place on June 6-8, 2017, at the Javits Center in New York City, NY. Outlyer is a monitoring service for DevOps and Operations teams running Cloud, SaaS, Microservices and IoT deployments. Designed for today's dynamic environments that need beyond cloud-scale monitoring, we make monitoring effortless so you ...
Mar. 27, 2017 02:15 AM EDT Reads: 4,259
My team embarked on building a data lake for our sales and marketing data to better understand customer journeys. This required building a hybrid data pipeline to connect our cloud CRM with the new Hadoop Data Lake. One challenge is that IT was not in a position to provide support until we proved value and marketing did not have the experience, so we embarked on the journey ourselves within the product marketing team for our line of business within Progress. In his session at @BigDataExpo, Sum...
Mar. 27, 2017 01:45 AM EDT Reads: 3,006