According to financialpost.com:
RBC Capital Markets is offering a simple explanation for why data released last week by the The Investment Industry Regulatory Organization of Canada appears to suggest high-frequency trading is in decline: Exchange Traded Funds (ETFs).
In a note sent to clients Monday by RBC’s global market structure team, analysts said IIROC did not appear to strip ETF market-making activity of Canadian broker-dealers from its data. This runs contrary to the decision of other regulatory agencies such as the U.S. Securities and Exchange Commission to make a distinction between ETFs and corporate securities in their data collection and analysis, the RBC analysts said.
“Beyond the implications that the inclusion of ETF flow might have had on the debate on the merits of HFT (high-frequency trading)… it even had an immediate impact on what the general public took away from the data,” the analysts wrote.