For the first time in 20 years, we witnessed a Level 1 cross-market trading halt on March 9, 2020. It was followed by three more days where the Level 1 market-wide circuit breakers (MWCB) were triggered and the markets halted due to significant market declines with the potential of exhausting market liquidity.
The title of a recent blog post, “How Fast Should You Trade”, brought me back to the early ’90s and one of my favorite rap songs, “Sometimes I Rhyme Slow Sometimes I Rhyme Quick”, by Nice and Smooth.
The massive amount of market data available in the current day is both a boon and a burden. More information can lead to making smarter decisions, but does the glut of data lead somewhat to paralysis by analysis?
As we enter the season of market structure conferences, we are sharing Clearpool's annual Market Structure Viewpoints—our view of some of the most pressing equities market microstructure matters that support transparency and fair and equitable access to our markets.
By definition, rebalancing—also known as reloading—is an algorithm's ability to dynamically respond to source additional liquidity based on its assessment of the liquidity landscape after its baseline route to the “Street”.
If you remember GI Joe, you may also recall every episode ending with GI Joe saying, “Knowing is half the battle.” The idea put forth was that “knowing” was the impetus of change. Change that would lead to a better outcome because of the lesson that was learned.
SEC Rule 10b-18 sets the requirements for corporate stock buybacks and the rule’s “safe harbor,” which allows companies to purchase their shares in the open market without concern that their activities could later be deemed to be manipulative under the law. One of the requirements of the Rule 10b-18 safe harbor is that brokers buying stock for an issuer must buy at a price that is no greater than the higher of the last independent bid price or the last sale price.
In our initial observation of the Tick Size Pilot*, we found a shift in liquidity from off-exchange venues to exchanges in G3 and a shift from maker/taker to inverted exchanges across all test groups. However, we did not observe the same increase in impact costs that other studies found. We concluded that the pilot may be showing signs of improved liquidity capture for institutional investors and we committed to measure and report the results of the pilot in the future.
M-ELO, Nasdaq’s Midpoint Extended Life Order, is a new order type that is designed to attract longer term investors to interact with each other by trading against other M-ELO orders at the midpoint of the NBBO.
The views of many broker-dealers are often underrepresented in the ongoing debate over market structure reform, but not understanding the impact that trading regulations may have on those broker-dealers can cause many unintended consequences.