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High Frequency Trading Review's Blog

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The Potential Impact of Dodd Frank on HFT and Proprietary Trading Firms

November 2, 2011 Comments (0)

In this interview for the HFT Review, Mike O’Hara talks to Scott Parsons, Co-Founder and Managing Principal at Washington DC-based strategic advisory and lobbying firm, Delta Strategy Group. Earlier in his career, Scott was Chief of Staff and COO at the Commodity Futures Trading Commission (CFTC).read more...

MiFID II—How It Affects Proprietary Traders and Algorithmic Traders [Katten Muchin Rosenman]

November 1, 2011 Comments (0)

Background The European Commission’s final draft proposals for the revised Markets in Financial Instruments Directive (MiFID II) along with a related regulation (MiFIR) were published 20 October 2011. The objective of the original MiFID, which was passed in 2004 and came into force in 2007, was to improve investor protection and promote cross-border market access across the EU. As proposed, MiFID II is designed to further that objective and to address issues which have been exposed...

Commentary: When Hidden Orders Come to Light [Traders Magazine]

November 1, 2011 Comments (0)

By Garrett Nenner The news on Pipeline Trading Systems’ $1 Million dollar SEC fine for trading with an undisclosed affiliated entity brings to light some very important questions about trading in so-called dark venues, and how best to go about selecting which is best for your specific investment strategy.  Is trading in the dark really dark?  Better yet, does your order remain hidden and at what point is it not?  After your order has been executed, those fill reports, and...

FIA EPTA Discusses Risks in Automated Trading and Supports Regulatory Guidelines on Risk Management Controls

October 31, 2011 Comments (0)

Oct 6, 2011 The FIA European Principal Traders Association released a paper on Oct. 6 outlining its views on the systems and controls needed to manage risks in automated trading. The paper was drafted by the association in response to a consultation issued by the European Securities and Markets Authority and contains a number of specific recommendations for policies and procedures that should be implemented by trading firms, intermediaries and trading platforms.   “The members of FIA...

Characteristics of High-Frequency Trading [Fredrik Henrikson]

October 31, 2011 Comments (0)

Abstract In this thesis we investigate some properties that have been suggested in the literature to be characteristic of High Frequency Trading (HFT). These properties are examined on a data set consisting of 28 days of tick market data from the Swedish exchange Burgundy. A statistical analysis of the properties is conducted to determine if they seem to be correlated with one another. Read more

Flash-Crash Lipstick: Implementing SEC Rule 15c3-5

October 31, 2011 Comments (0)

Rule 15c3-5 Takes Common-Sense Steps Toward Avoiding A Future Flash Crash, But Fails To Apply To All Trading Markets.   Boston, October 13, 2011 – A new report from Aite Group examines U.S. market preparedness for the implementation of the U.S. Securities and Exchange Commission’s Rule 15c3-5, also known as the “market-access rule.” Based on Aite Group conversations with pre-trade risk vendors, broker-dealers, and the SEC, the report outlines the benefits...

Algorithmic Trading in China: Advanced Execution Trends, Traders, and Technology

October 31, 2011 Comments (0)

Abstract Celent estimates that algorithmic trading will account for about 0.6% of securities trading in China in 2011, and this figure is expected to reach 2.5% in 2013. The use of algorithmic trading is still minimal in the A-share market; the situation is slightly more optimistic in the B-share market. On the other hand, algorithmic trading is actively used in the stock index futures market. Read more

Improving Academic Research into HFT & Fighting High Frequency Spam

October 26, 2011 Comments (0)

An Interview with Eric Scott Hunsader

High-Frequency Trading Webcast [Waters Technology]

October 24, 2011 Comments (0)

The growth in high-frequency trading (HFT), a phenomenon no longer restricted to equities only, has seen the financial markets constantly innovating in their pursuit of greater computing/processing power and speed. What are the most acute challenges for firms aiming to improve the performance of their HFT businesses, and how will new regulations on both sides of the Atlantic affect those strategies? Also, what will be the next securities market to see the introduction of high-frequency trading?...

MiFID Revision and Market Abuse: Commission Tables New Rules for More Sound and Transparent Financial Markets

October 21, 2011 Comments (0)

The European Commission has tabled proposals to revise the Markets in Financial Instruments Directive (MiFID). These proposals consist of a Directive and a Regulation and aim to make financial markets more efficient and transparent, in particular by improving the oversight of less regulated markets and by addressing the issue of excessive price volatility in commodity derivatives markets. The Commission has also proposed a Regulation on market abuse and a Directive to ensure effective sanctions...