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December 2011

Impact of High Frequency Trading and Considerations for Regulatory Change [SIFMA]

December 19, 2011 by mikeohara   Comments (0)

Over the past 10 years, trading in the U.S. securities markets has dramatically changed from primarily manual trading to almost predominately computer-based trading. New regulations – such as Regulation ATS, decimalization requirements and Regulation NMS – fostered comprehensive computer linkages among trading venues and concomitant upgrades to market participants’ trading systems.  Technological advances – such as high speed computing and co-located servers, increased bandwidth, and electronic messaging standards – have accelerated the adoption of new electronic trading strategies, tools, and behavior. 


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HFT Review's New Activity Stream

December 16, 2011 by mikeohara   Comments (0)

The eagle-eyed among you will have noticed some changes we've recently made to the "Activity Stream" on the HFT Review website at http://www.hftreview.com/pg/activity/


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Take 15: High-Frequency Trading, Flow Toxicity, and the Flash Crash [CFA Institute Video]

December 15, 2011 by mikeohara   Comments (0)

At the Asian Finance Association Conference in Macao SAR, China, Dr. Maureen O’Hara, an expert in market microstructure and trading, discusses high-frequency markets, algorithmic trading, flow toxicity, and differential access to price information in Asia, as well as the flash crash and market fragmentation.


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FIA PTG Responds to CFTC Effort to Define HFT

December 14, 2011 by mikeohara   Comments (0)

On Dec. 12, the FIA Principal Traders Group submitted a letter to the Commodity Futures Trading Commission in response to a request for comment on a proposed seven-part definition of high-frequency trading that was issued by CFTC Commissioner Scott O’Malia on Nov. 14. In the letter, the FIA PTG agreed that the CFTC needs to understand the characteristics and behaviors of various types of market participants, but warned that the proposed definition would be too arbitrary to be useful. The FIA PTG suggested that the CFTC instead should create a new classification called “direct ATS participant”. This classification would apply to any firms or traders that use an automated trading system that is connected directly to an exchange. The advantage of this approach, the FIA PTG said, is that it would leverage data that are already collected by the major U.S. exchanges. For example, CME’s Globex electronic trading system requires each order to indicate whether it originated from an ATS. The FIA PTG also noted that risk controls should apply to orders submitted by all market participants, rather than a narrow subset that meets a definition of HFT, and encouraged Commissioner O’Malia to form a working group to further consider what types of risk controls should be applied to automated trading systems.


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