RBC: offers explanation for apparent decline in high-frequency trading

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).

The Investment Industry Regulatory Organization of Canada noted in a report last week that the volume and value of high-frequency trading was down in 2012 and the first half of this year from when data collection began in the summer and fall of 2011.

The Investment Industry Regulatory Organization of Canada noted in a report last week that the volume and value of high-frequency trading was down in 2012 and the first half of this year from when data collection began in the summer and fall of 2011.

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.

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This entry was posted in Business, Equity Markets, Foreign Exchange, High Frequency Trading, high-frequency journalism and tagged , , , , , , , . Bookmark the permalink.

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