The Gateway to Algorithmic and Automated Trading

LSE, MIT and HFT - 18 April 2011

Fidessa : Steve Grob - 1st January 1970

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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 (High-frequency boom time hits slowdown, 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 LSE's spangly new matching platform, 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 Chi-X and BATS, by offering the same sort of low latency performance. Millennium Exchange was introduced at Turquoise on the 4th October last year and went live on LSE's main market eventually in February 2011. The chart below seems to show that the effect has been somewhat mixed:

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:

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 click here.