|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
2015 predictions circa 1970: houses anticipate our needs and adapt, city infrastructure is citizen and situation aware, office buildings identify and preprocess you. Today smart buildings have no such collective conscience, no shared set of fundamental services to identify, predict and synchronize around us. LiveSpace and M2Mi are changing that. LiveSpace Smart Environment devices deliver over the M2Mi IoT Platform real time presence, awareness and intent analytics as a service to local connecte...
May. 29, 2015 04:27 PM EDT Reads: 145
High-performing enterprise Software Quality Assurance (SQA) teams validate systems that are ready for use - getting most actively involved as components integrate and form complete systems. These teams catch and report on defects, making sure the customer gets the best software possible. SQA teams have leveraged automation and virtualization to execute more thorough testing in less time - bringing Dev and Ops together, ensuring production readiness. Does the emergence of DevOps mean the end of E...
May. 29, 2015 04:00 PM EDT Reads: 5,294
Amazon and Google have built software-defined data centers (SDDCs) that deliver massively scalable services with great efficiency. Yet, building SDDCs has proven to be a near impossibility for companies without hyper-scale resources. In his session at 15th Cloud Expo, David Cauthron, CTO and Founder of NIMBOXX, highlighted how a mid-sized manufacturer of global industrial equipment bridged the gap from virtualization to software-defined services, streamlining operations and costs while connect...
May. 29, 2015 04:00 PM EDT Reads: 3,299
Container technology is sending shock waves through the world of cloud computing. Heralded as the 'next big thing,' containers provide software owners a consistent way to package their software and dependencies while infrastructure operators benefit from a standard way to deploy and run them. Containers present new challenges for tracking usage due to their dynamic nature. They can also be deployed to bare metal, virtual machines and various cloud platforms. How do software owners track the usag...
May. 29, 2015 03:45 PM EDT Reads: 800
The Industrial Internet revolution is now underway, enabled by connected machines and billions of devices that communicate and collaborate. The massive amounts of Big Data requiring real-time analysis is flooding legacy IT systems and giving way to cloud environments that can handle the unpredictable workloads. Yet many barriers remain until we can fully realize the opportunities and benefits from the convergence of machines and devices with Big Data and the cloud, including interoperability, ...
May. 29, 2015 03:45 PM EDT Reads: 4,793
paradigm shifts in networking, to cloud and licensure, and all the Internet of Things in between. In 2014 automation was the name of the game. In his session at DevOps Summit, Matthew Joyce, a Sales Engineer at Big Switch, will discuss why in 2015 it’s complexity reduction. Matthew Joyce, a sales engineer at Big Switch, is helping push networking into the 21st century. He is also a hacker at NYC Resistor. Previously he worked at NASA Ames Research Center with the Nebula Project (where OpenSta...
May. 29, 2015 03:21 PM EDT Reads: 309
The term culture has had a polarizing effect among DevOps supporters. Some propose that culture change is critical for success with DevOps, but are remiss to define culture. Some talk about a DevOps culture but then reference activities that could lead to culture change and there are those that talk about culture change as a set of behaviors that need to be adopted by those in IT. There is no question that businesses successful in adopting a DevOps mindset have seen departmental culture change, ...
May. 29, 2015 03:00 PM EDT Reads: 4,912
Discussions about cloud computing are evolving into discussions about enterprise IT in general. As enterprises increasingly migrate toward their own unique clouds, new issues such as the use of containers and microservices emerge to keep things interesting. In this Power Panel at 16th Cloud Expo, moderated by Conference Chair Roger Strukhoff, panelists will address the state of cloud computing today, and what enterprise IT professionals need to know about how the latest topics and trends affec...
May. 29, 2015 03:00 PM EDT Reads: 1,486
Explosive growth in connected devices. Enormous amounts of data for collection and analysis. Critical use of data for split-second decision making and actionable information. All three are factors in making the Internet of Things a reality. Yet, any one factor would have an IT organization pondering its infrastructure strategy. How should your organization enhance its IT framework to enable an Internet of Things implementation? In this session, James Kirkland, Red Hat's Chief Architect for the ...
May. 29, 2015 02:33 PM EDT Reads: 351
While there are hundreds of public and private cloud hosting providers to choose from, not all clouds are created equal. If you’re seeking to host enterprise-level mission-critical applications, where Cloud Security is a primary concern, WHOA.com is setting new standards for cloud hosting, and has established itself as a major contender in the marketplace. We are constantly seeking ways to innovate and leverage state-of-the-art technologies. In his session at 16th Cloud Expo, Mike Rivera, Seni...
May. 29, 2015 02:30 PM EDT Reads: 926
The Internet of Things is tied together with a thin strand that is known as time. Coincidentally, at the core of nearly all data analytics is a timestamp. When working with time series data there are a few core principles that everyone should consider, especially across datasets where time is the common boundary. In his session at Internet of @ThingsExpo, Jim Scott, Director of Enterprise Strategy & Architecture at MapR Technologies, discussed single-value, geo-spatial, and log time series dat...
May. 29, 2015 02:00 PM EDT Reads: 6,435
We’re entering a new era of computing technology that many are calling the Internet of Things (IoT). Machine to machine, machine to infrastructure, machine to environment, the Internet of Everything, the Internet of Intelligent Things, intelligent systems – call it what you want, but it’s happening, and its potential is huge. IoT is comprised of smart machines interacting and communicating with other machines, objects, environments and infrastructures. As a result, huge volumes of data are bein...
May. 29, 2015 02:00 PM EDT Reads: 779
Cloud Expo, Inc. has announced today that Andi Mann returns to DevOps Summit 2015 as Conference Chair. The 4th International DevOps Summit will take place on June 9-11, 2015, at the Javits Center in New York City. "DevOps is set to be one of the most profound disruptions to hit IT in decades," said Andi Mann. "It is a natural extension of cloud computing, and I have seen both firsthand and in independent research the fantastic results DevOps delivers. So I am excited to help the great team at ...
May. 29, 2015 02:00 PM EDT Reads: 1,717
EMC Corporation on Tuesday announced it has entered into a definitive agreement to acquire privately held Virtustream. When the transaction closes, Virtustream will form EMC’s new managed cloud services business. The acquisition represents a transformational element of EMC’s strategy to help customers move all applications to cloud-based IT environments. With the addition of Virtustream, EMC completes the industry’s most comprehensive hybrid cloud portfolio to support all applications, all workl...
May. 29, 2015 02:00 PM EDT Reads: 914
Enterprises are fast realizing the importance of integrating SaaS/Cloud applications, API and on-premises data and processes, to unleash hidden value. This webinar explores how managers can use a Microservice-centric approach to aggressively tackle the unexpected new integration challenges posed by proliferation of cloud, mobile, social and big data projects. Industry analyst and SOA expert Jason Bloomberg will strip away the hype from microservices, and clearly identify their advantages and d...
May. 29, 2015 01:15 PM EDT Reads: 1,545