Features
- Simple Binary Encoding for high performance market data interfacesThe FIX Trading Community realised that its message encoding was no longer fit-for-purpose for high-performance trading. It came up with the Simple Binary Encoding (SBE) standard to balance the needs of latency versus bandwidth utilisation. We look at how the market data interfaces at the CME Group were implemented with SBE.
- Models for daily and intra-day volume predictionA practical approach to building an intuitive model for intra-session and all-day traded volumes. Multiple factors are combined in a straight-forward manner to give robust and usable results.
MIFID II Clock Sync RequirementsJanuary 2018. MIFID II RTS 25 compliance begins. Five requirements. Seems simple enough, right? Not so fast ...
Measuring the absolute accuracy of 10GbE packet timestampingPrecise Ethernet timestamps are key to knowing exactly when a network event occurred. Metamako designed and implemented a rigorous test methodology to measure the absolute accuracy of a 10 Gigabit Ethernet packet capture and timestamping solution, confirming the importance of using accurate timestamps
How to align broker and customer interests and make exchanges more competitiveUS regulators are focused on conflicts of interest caused by maker-taker rebates. Is there a way to align broker and customer interests and still incentivise liquidity provision?- Hide-and-seek in the limit order bookDespite some disadvantages, hidden orders have become increasingly popular on the US stock exchanges. Archana and Chinmay Jain explore this hidden liquidity. Data from 2012-2015 shows that smaller stocks, more volatile stocks and less liquid stocks have higher levels of hidden liquidity.
MiFID 2 double volume caps - the end of dark trading?A controversial rule in MiFID 2 is the double volume cap mechanism for dark pools. Recently, a quantitative study presented dramatic numbers on the percentage of stocks that would be suspended under the regime. We investigate if the efficient use of large-in-scale trading can help to mitigate the caps.
Updates
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Headlines
- 6 Million USD stolen from Russian Bank Hackers used SWIFT system according to a side note in a report by Russian Central Bank
- The not so fantastic Three Yet again, some of the usual suspects have been charged for spoofing precious materials
- SEC approves Cboe's closing auction alternative Cboe has been successful in its application to create an alternative to closing auctions in the US stock market
Industry News
- CLS are up 1.805 trillion USD
- Michael Farthing joins UBS
- BCS Americas Announces New York Stock Exchange Membership
- RegTek and its new CFO
- Eurex gains ground with profit sharing scheme
- A landmark chapter in the history of Invast Global
- FXPA hires John Shay as President
- BNY Mellon to launch FX Prime Brokerage services
- Saxo Bank's FX Prime adds full amount execution in UK and US
- Exactpro completes management buyout from London Stock Exchange Group
Financial Events