LSE, MIT and HFT – 18 April 2011
First Published Monday, 18th April 2011 02:05 pm from Fidessa : Steve Grob
The opinions expressed by this blogger and those providing comments are theirs alone, this does not reflect the opinion of Automated Trader or any employee thereof. Automated Trader is not responsible for the accuracy of any of the information supplied by this article.
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"
target="_blank">High-frequency boom time hits
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
target="_blank">LSE's spangly new matching platform,
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
target="_blank">BATS, by offering the same sort of
low latency performance. Millennium Exchange was introduced at
target="_blank">Turquoise on the 4th October last
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
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
href="http://fragmentation.fidessa.com/wp-content/uploads/Capture3_Astrazeneca.png"> class="aligncenter size-full wp-image-2435" title="AstraZeneca"
alt="" width="614" height="422" />
Anyway, have your say and we'll publish the results next
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