Pure in third, RBC's Thor to defend orders, battle HFTs
Canadian National Stock Exchange (C:*CNSX)
Tuesday January 18 2011 - Street Wire
by Stockwatch Business Reporter
Pure Trading was the third most active alternative trading system in Canada during the week ended Jan. 14, 2011. Alpha Trading Systems was once again the most active ATS, taking 18.4 per cent of total Canadian volume with an average of 247 million shares a day. Chi-X Canada came second place, capturing 4 per cent of total Canadian volume with an average of 56.6 million shares a day. Pure took 2.3 per cent of total Canadian volume with an average of 33.3 million shares a day. Omega ATS came last taking 1.1 per cent of total Canadian volume with 16.6 million shares a day. Together the ATSs captured 25 per cent of Canadian trading volume, down slightly from 25.7 per cent last week.
Looking only at securities listed on the Toronto Stock Exchange, Alpha had 22.2 per cent of trading volume, Chi-X had 5.6 per cent and Pure took 3 per cent, leaving the TSX with 65.6 per cent.
Chi-X has released its 2010 "wrap up," in which it gives itself high marks for moving its data centre to 151 Front St. in Toronto. The move from King St. took place last August, and has helped reduce trading time. The ATS is using the old centre as a back-up. New in 2011, Chi-X will offer participants the ability to set limits based on price, volume and capitalization.
The ATS is also reminding professional users that they will have to start paying "modest" fees for market data beginning Feb. 1. Chi-X will charge $15 a month for TSX level 1 -- top of book, or $30 a month for TSX level 2 -- full depth of book, which includes level 1. This compares with $43 and $73 for the TSX and $15 and $28 for Alpha. Alpha says its fees will remain the same, and reminds subscribers that it has been giving a 25-per-cent discount on its published fee since Oct. 1, 2010. For a professional user with a level 1 subscription to all services, the monthly cost will soon be $73 vs. $43 when the TSX had all the business.
Back to Chi-X, Chi-X Global is touting the success of Chi-X Japan, which began operations in July, 2010. During the month of November, it had turnover of 50.2 billion yen, up from 9.6 billion yen in October. The ATS now trades 822 stocks. Chi-X Global is also hoping to start operations this year in Australia, as soon as it receives a market operator licence.
RBC Capital Markets plans to introduce a new trading technology this month called Thor, according to an article in The Wall Street Journal. RBC says Thor will help thwart the ability of high frequency traders to pick off orders from other investors. For example, if a HFT has 1,000 shares it wants to sell, it could offer 200 shares on each of five different exchanges. If a big buyer takes the offer at one of the exchanges, the HFT can quickly cancel its other offers to sell at that price with confidence it will get a better price later, maybe seconds later. Clever Thor calculates the time it takes for its orders to reach each exchange, then slows down the faster trading signals to the pace of the slowest piece of the order. By thus executing all orders simultaneously, the sneaky HFTs will have difficulty cancelling and replacing their bids and offers on slower exchanges when they detect an order hitting the fastest exchange. Thor may not have an advantage for long as analysts predict high frequency traders will soon find a way to outsmart it.
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