Features
- 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.
- 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.
MIFID II Clock Sync RequirementsJanuary 2018. MIFID II RTS 25 compliance begins. Five requirements. Seems simple enough, right? Not so fast ...
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.- 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.
How to align broker and customer interests and make exchanges more competitiveUS regulators are focused on conflicts of interest caused b