Beruflich Dokumente
Kultur Dokumente
Session Participants
Steve Mariotti Chief Technology Officer, Mapleridge Capital Corp.
Alison Crosthwait Head of Research, ITG Canada Abraham Kohen Director Trading Strategies, FlexTrade Systems Inc. Lou Mouaket Eugene Choe Vice President, Portfolio Trading, TD Newcrest Director, Credit Suisse
All Canadian orders to the TSX are routed through our Smart Router (SMRTCAN) which checks the ATS Exchanges and MatchNow for liquidity before posting on the TSX. SMRTCAN ensures access to all Canadian market centres and thus access to liquidity and price improvement opportunities.
MatchNowSM is a product offering of TriAct Canada Marketplace LP (TriAct) and indirectly owned by ITG Canada Corp. TriAct is registered as an Investment Dealer and Alternative Trading System in the provinces of Ontario and Alberta, and exempt from registration as a dealer in the Provinces of BC, SK, MN, QC, NS and NFLD & Labrador. Further information regarding TriAct is available on the website www.triactcanada.com.
Dark Connectivity
Trends
+ interest in other asset classes . Trade cheapest asset or richest asset + volumes, in derivatives, and underlying
A. hedging (delta and gamma, if long vol) B. portfolio margining C. options algorithms, ( equity algos) e.g., 1. Volatility trading 2. Dispersion trading 3. Delta adjusted limits D. Risk Arb via Options; E. Buy BSC garbage puts rather than Short Stock
Exchange consolidation & new exchanges + ECNs Desire for opaqueness (stealth) by traders Execute butterfly & underlying on 4 or more exchanges Algorithm trading unique to each asset class & unique to arbitrages across classes FX to facilitate cross-border arbitrage; FX as a pro trade
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Canada
Liquidity: Exch/ATSs, Crossing Networks, and Dark Pools
TSX, Pure, Chi-X, Omega, Alpha Perimeter, Liquidnet TSX ATX, MATCH Now
Smart Order Routing Unique to Canadian market microstructure (icebergs, etc.) Portfolio Optimization Whose Volume? (VWAP, Vol Participation, etc.) TMX Group (TSX-ME approved) TSX warrants, debentures & equities already multi-asset 2009 TSX/ISE -> TMX/ISE ?? What about ME + BOX ??
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Trader Add Value by choosing parameters or algos reflecting market or trend; Quants add value by Meta-level algo selection Use broker-neutral platform to route to reliable destinations Keep broker/destination statistics; reward good performance Use broker-neutral smart router Use adaptive dynamic algos. (Dynamic Delta)
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State of Algo I
Equities
Brokers have algo suites which they each claim are the best. CS: guerilla, sniper; BofA: ambush, razor; GS: sonar Hedge Funds write their own proprietary tactics Broker-Neutral Vendors (Flextrade) give you tools to write tactics in C/C++ in a Formula Builder, and let you use libraries accessible by rules Broker-Neutral Vendors (Flextrade) provide API (C++/Java/.net) Broker-Neutral Vendors (Flextrade) offer out-of-box algos, broker algos, build your own.
Options
Phase I Brokers rehash equity algos as options algos TWAP, pathfinder, sniper, trigger Phase II Brokers announce options algos Volatility Pegged Trades 20 vol bid at 40 vol offer Delta adjusted limits Constant delta (0 gamma) over a range
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State of Algo II
Options
Volatility pegged trades w/ Options Pricing Models built-in, using firms i-rates and div projections Delta-adjusted limits with dynamic delta (gamma, ATM near-expiry) Multi-legged trades algorithmically Spreads, Butterflies, Condors Dispersion Execution Short Vol : Auto Delta Hedging w/ User Defined Hedge Instrument Long Vol : Gamma Hedge (Buy Lo, Sell Hi) Staged Sweeper Liquidity Cleaner, sweeps exchanges multiple times allows excluding certain exchanges
Futures
Synthetic Order Types Iceberg Contingent Orders Multi-legged trades algorithmically.
Multi-Asset
Full integration with Options, Futures and FX from a single screen.
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Technology Provided Internally Designed Ownership Publicly Traded, Widely Held TSX TSX Datalinx All Vendors Incumbent, market share substantial and rooted Published
N/A (see website) CHIXCANADA TSX/TSXV Names Interlisted in ALL TSX US Perimeter Financial, MarLar Internally Designed (Instinet) Group Perimeter Financial, MarLar Group, SwiftTrade Reuters (page-based) Instinet TSX Datalinx Reuters (page-based)
Trade Information
First fully live competitor to TSX, very Second live ATS, fast engine quick messaging times on engine Published Make/Take Tiered Structure $0.0027/$0.0037 (<30MM shrs/mth) $0.0032/$0.0032 (>30MM shrs/mth) Subscription-based (Level 1/2), Connection-based (PBF) YES Richard Carleton richard.carleton@cnq.ca 416-572-2000 ext. 2326 Not Published (Anonymous) Make/Take No Tiers $0.0036/$0.0039 No Charge YES Greg King gking@omegaats.com 416-646-2764
Also offers order routing facility, Mature ATS experience, access investors represent significant order to global network flow Not Published (Anonymous) Make/Take No Tiers $0.0025/$0.0028 No Charge YES Published Make/Take TBA (Expected to be Inside TSX Top Tier) TBD YES
Make/Take Tiered Structure Trading Fee Structure $0.0027/$0.0037 (top tier) $0.0029/$0.0035 (mid tier) $0.0031/$0.0033 (low tier) Subscription-based (Level 1/2), Data Fee Structure Connection-based (TBF) Rebate Cheques to Net NO Liquidity Providers Contact Email Phone Thomas Kalafaitis thomas.kalafatis@tsx.com 416-947-4288
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Owned by Perimeter Financial - closely held Principal investor is Seth Merrin, minority private company - partners include, CDP, holders are TVC, Summit, TH Lee OTPP, Goldman Sachs, CI Funds Distributed by TSX Datalinx and Reuters - Anonymous dark pool only accessible by buy-side - Not a separate electronic entity, system resides within buy-side OMS systems and 100% of client orders stay in system until completed, cancelled or re-routed
Trade Information
Distributed by TSX Datalinx (included in Distributed by TSX Datalinx, included in Distributed by TSX Datalinx, Reuters and TL1 and TBF), Bloomberg ("TR" market) TL1 and TBF BlockBook website - Passive intents match in a call market or participate with market-bound flow - Brokers have option of having all order - Anonymous, continuous, PRICE-time flow pass through ATX priority block market - If orders are not matched right away, signals will indicate that there are offsetting orders at nearby price points, some argue this is more of a "grey book"
- Intents will be matched continuously - Intents will match against eachother at throughout the day (rather than 30 second intervals or trade with inbound intervals) with no order queuing and orders that sweep through en route to a broker matching function still applicable CLOB (same as TSX)
Passive intents that interact with active Intents that match eachother will split the intents or order flow will be matched at Prices can be negotiated at any price,sell- Prices can be negotiated at any price, buyNBBO spread 50/50, liquidity-providing the NBBO price plus an exchangeside members are limited by best price/best- side members are not limited by best intents that match against market-bound determined price improvement (price ex obligations, buy-side members are not price/best-ex obligations orders will receive 80% of the spread improvement specifics not yet available) Published (but Anonymous is available) Stock price > $5.00 $0.001/share/side (capped @ $10) Crosses = $0.01/share (capped @ $10) Stock price < $5.00 $0.005/share/side (capped @ $10) Crosses = $0.05/share (capped @ $10) Sell-side (Buy-side access via brokersponsored DMA) Published Tiered Active/Passive Structure See: www.tsx.com/en/pdf/notices/July272007_ATXFeeNotice-022.pdf Sell-side (Buy-side access via brokersponsored DMA) N/A (Community matching facility not yet live) $0.01/share $0.02/share Not Published Not Published (Buy-side Only)
Broker Numbers
Access Open To
Buy-side Only
How To Access System Available via FIX (Trading & Info) Average Daily Volume (Oct.1/07 - Feb.29/08) Average Daily Value (Oct.1/07 - Feb.29/08) Contact Email Phone $ Joanne Hill jhill@triactcanada.com 416-861-1010 ext. 261
Available via FIX (REDIPlus, ITG Triton, Available via Liquidnet Desktop Network Neovest, TradingScreen, Bloomberg EMS) Application (OMS Integrated) 57,201 $ Chris Jackson chris.jackson@pfin.ca 416-703-7800 ext. 400 1,516,983.65 $ Robert Young ryoung@liquidnet.com 646-674-2128 505,529 14,408,783.24
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Crossfinder+ Pathfinder
Interlisted
Traditional Exchanges
ECNs
BorderCross
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Introduction
Electronic Trading as % of Total US Volume
80% 70% 60% 50% 40% 30% 20% 10% 0% 2000 2001 2002 2003 2004 2005 2006 2007E Algo DMA
500,000,000 450,000,000 400,000,000 350,000,000 300,000,000 250,000,000 200,000,000 150,000,000 100,000,000 50,000,000 Fe bM 02 ay A 02 ug -0 N 2 ov -0 Fe 2 bM 03 ay A 03 ug -0 N 3 ov -0 Fe 3 bM 04 ay A 04 ug -0 N 4 ov -0 Fe 4 bM 05 ay A 05 ug -0 N 5 ov -0 Fe 5 b0 M 6 ay -0 A 6 ug -0 N 6 ov -0 Fe 6 bM 07 ay -0 A 7 ug -0 N 7 ov -0 7
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27 26 26 25 24 18 18 17 15 12 12 11 10 8
40 36
55
87
118
5 7 20
US median: 5 ms
49 54 81 86 90 95 105 111 116 251 321 1083
Euro median: 90 ms
US median: 5 bips
Speed of Change
Established exchanges are not particularly keen to respond to these changes. Market inefficiencies coupled with large
ticksizes dictate that many markets will continue to have large median spreads higher
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25
20.00%
15.00%
5.00%
0.00% 1/2/2008
1/9/2008
1/16/2008
1/23/2008
1/30/2008
2/6/2008
2/13/2008
And this is only with 3 venues: Crossfinder, Chi-x light orders and Chi-X dark!
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CrossFinder Results
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Foreign Exchange
Imagine one world, one smart router:
Trade cross-listed stocks seamlessly in multiple nations. AES trades the FX, delivers you a fill in the local currency. Trade Any Country, Settle Any Currency.
Smart routing hits Foreign Exchange:
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Futures
2007 Percentage of Electronic vs. Manual in Futures:
100%
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80% 60% 40% 20% 0%
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28 Electronic Manual
75
83
72
waving goodbye
CME
CBOT
NYMEX
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Options
US listed options volume (1973 2007)
3000000000
6 competing
exchanges:
2500000000
Decimalization
pilot launched last January
2000000000
1500000000 1000000000
Very similar to
500000000
0
73 79 83 91 95 01 75 85 93 97 99 03 05 77 81 87 89 19 19 19 19 19 19 19 19 19 20 19 19 19 19 19 20 20 20 07
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Questions?
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