There were a couple of interesting pieces in the FT last

week that looked at how the levels of HFT activity may be on the

wane, both here in Europe and in the US ( title="High-frequency boom time hits slowdown"

href="http://www.ft.com/cms/s/0/e364be1a-6529-11e0-b150-00144feab49a.html#axzz1JaxnuOHK"

target="_blank">High-frequency boom time hits

slowdown,

href="http://www.ft.com/cms/s/0/94fbaa3a-66c4-11e0-8d88-00144feab49a.html#axzz1JaxnuOHK"

target="_blank">Super-fast traders feel heat from

competition). Whilst HFT activity is notoriously hard

to measure, the FT points to data collated by Tabb Group which

seem to show a definite reversal in HFT volumes.

With this in mind, I thought it might be worth looking

at how the

href="http://www.londonstockexchangegroup.com"

target="_blank">LSE's spangly new matching platform,

href="http://www.londonstockexchange.com/products-and-services/millennium-exchange/intro-to-millennium-it.htm"

target="_blank">Millennium Exchange, has fared in

all this. As we know, a key objective of the Millennium Exchange

project was to win back the HFT community, that had defected to

the likes of

href="http://www.chi-xeurope.com/home/home.asp"

target="_blank">Chi-X and

href="http://www.batstrading.co.uk/"

target="_blank">BATS, by offering the same sort of

low latency performance. Millennium Exchange was introduced at

href="http://www.tradeturquoise.com/tq_services.shtml"

target="_blank">Turquoise on the 4th October last

year and

href="http://www.londonstockexchange.com/about-the-exchange/media-relations/press-releases/2011/londonstockexchangescashmarketsgoliveonnewtradingsystem.htm"

target="_blank">went live on LSE's main market

eventually in February 2011. The chart below seems to show that

the effect has been somewhat mixed:

href="http://fragmentation.fidessa.com/wp-content/uploads/Capture2FTSE100-from-2010.png"> class="aligncenter size-full wp-image-2434" title="FTSE100 from

2010"

src="http://fragmentation.fidessa.com/wp-content/uploads/Capture2FTSE100-from-2010.png"

alt="" width="615" height="422" />

The question is whether this is because the HFT party is

over or just that the HFT guys haven't yet been convinced by the

new platforms available within the LSE Group. It's not all bad

news for the LSE though, as some stocks do seem to have swung

back their way as the chart for AstraZeneca below

shows:

href="http://fragmentation.fidessa.com/wp-content/uploads/Capture3_Astrazeneca.png"> class="aligncenter size-full wp-image-2435" title="AstraZeneca"

src="http://fragmentation.fidessa.com/wp-content/uploads/Capture3_Astrazeneca.png"

alt="" width="614" height="422" />

Anyway, have your say and we'll publish the results next

week.

Note: There is a poll embedded within this post,

please visit the site to participate in this post's poll.

P.S. Thanks to everyone for their enthusiastic reception

of the Tradalyzer which we launched last week. Seems like the

fragmentation community likes the idea of comparing its trades

against our consolidated market view. If you haven't seen it yet

then just

href="http://fragmentation.fidessa.com/tradalyzer/"

target="_blank">click here.