FiNETIK – Asia and Latin America – Market News Network

Asia and Latin America News Network focusing on Financial Markets, Energy, Environment, Commodity and Risk, Trading and Data Management

Innovations in Accessing Asia: Listed Equity Derivatives and Delta One Products.

Institutional investors seeking exposure to emerging Asian equity markets face challenges in accessing many of the region’s closed markets and are turning to exchange-traded derivatives markets, as well as over-the-counter (OTC) instruments that can provide the exposure they need, says TABB Group in new research published today, “Innovations in Accessing Asia: Listed Equity Derivatives and Delta One Products.

Investment managers are active users of OTC equity derivatives, including contracts for differences (CFDs), equity swaps, participation notes and other structured products, says Andy Nybo, a TABB principal, head of derivatives research and the report’s author. “However, global regulatory efforts to reduce concentration of counterparty risk have driven investment managers to explore alternatives for exposure, leading them to centrally-cleared, exchange-traded products that can lower overall levels of risk.”

According to TABB, as the appeal of developed markets waned in recent years, investors began examining new markets, searching for investment opportunities offering higher alpha and greater returns, especially emerging markets in Asia. Hedge funds are focusing their attention on the APAC markets, with 33% of US and European funds targeting the region for new investments. However, Nybo explains, direct investment in the emerging equity markets of Asia has been hindered by low market capitalization, restrictive regulatory environments and capital constraints that prohibit direct access to cash markets.

“Asia’s relatively stable political and regulatory environment has done well to attract investor interest,” Nybo says, “but some of the region’s regulators seem to use regulation as a policy tool in an attempt to control market fluctuations.” He adds that markets with heavy-handed regulatory authorities face a backlash from investors seeking opportunities and provide an opening for regional exchanges to launch products designed to meet investor demand for exposure to more closed markets.

“Pent-up demand from investors will contribute to innovation and new product launches by these emerging Asian exchanges to capture investment flows from both international investors and Asian-domiciled hedge funds,” he adds. “Many of the region’s regulators are very keen to promote greater participation in the financial markets. They are eager to attract strong capital flows from investors all over the world.”

The 33-page report with 24 exhibits is available for download by TABB Research Alliance Derivatives clients and pre-qualified media at https://www.tabbgroup.com/Login.aspx. For an executive summary or to purchase the report, visit http://www.tabbgroup.com or write to info@tabbgroup.com.

Other recent TABB derivatives research includes: Accelerated Expirations: The Growing Relevance of Short-term Options; US Options Trading 2011: Finding the Other Side of the Trade; Feeding the Options Beast: Big Data in the US Options Space; EU Equity Options Market Structure: Opening The Door To High Frequency Flow; VIX Trading: The Structure of Uncertainty; and TABB Group Options LiquidityMatrix.

Innovations in Accessing Asia:Listed Equity Derivatives and Delta One Products – Executive Summary

Source: MondoVisione, Tabb Group, 15.03.2012

Filed under: Asia, News, Trading Technology, , , , , , , , , , , , , , , ,

Brazil: RTS Realtime Systems Launches DMA to BM&FBovespa

Offers Algorithmic Trading Solutions with Ultra-low Latency

Brazil – The Challenges of DMA and Risk Management  read full article

RTS today announced that it now offers DMA (Direct Market Access) connectivity for low-latency, high frequency traders to BM&FBovespa, Brazil’s securities, commodities and futures exchange. The new native connectivity comes with comprehensive pre-trade risk functionality that was audited and approved by the exchange and now can be used via DMA 1 and DMA 2 connectivity.

The Exchange’s DMA 1 model consists of the routing of orders via a local brokerage house’s technological infrastructure while the DMA 2 model orders are routed via a third party or DMA provider.

Through RTS, global clients can gain immediate access to the burgeoning financial markets in Brazil, tapping arbitrage opportunities and local financial instruments, ensuring they are receiving top-tier service, mitigating operational risks and abiding by Brazilian regulatory approvals and procedures. As one of the first fully certified vendors of the exchange, RTS provides access to the exchange’s FIX-based Unified Market Data Feed (UMDF) and EntryPoint application programming interfaces (APIs)…read the full press release

Key Highlights

  • Capture new trading opportunities in the Brazilian markets
  • Access BM&FBovespa via RTS’ certified technology
  • Existing relationships with local brokers and clearers
  • Trade with internationally proven solutions suited for market makers and arbitrage

Source: RTS, 14.03.2012

Filed under: BM&FBOVESPA, Brazil, Exchanges, FIX Connectivity, Trading Technology, , , , , ,

Fidessa on Latam Trading – Opportunities and Challenges

Electronic trading in Latin America continues to be a hot subject, with action moving beyond Brazil to other countries. Low-Latency.comspoke to Fidessa’s head of business development for the region, Alice Botis, to get an update, and a handle on low-latency initiatives in the marketplace.

Q: Can you start by some scene setting – where is the electronic trading action in the Latam market?

A: Electronic trading is already well established in ;Brazil, Mexico and Chile, and with the introduction of MILA, both Colombia and Peru have also adopted FIX order routing. Colombia has not yet opened their market to allow FIX connectivity to third-party network providers, but they are looking forward to making that available in 2012-2013.

In Peru, the decision to make FIX connectivity available to third-party network providers is still pending regulatory approval, but if approved, they expect implementation to move swiftly.

Buy-sides in Latin America have been slow to adopt electronic order routing, but where they have, they often still pick up the phone to have a conversation with the trader for local colour. But, by having electronic connectivity, the sell-side is able to enter the order into their OMS and send unsolicited notices of execution back to the client which minimises manual errors.

The move toward the adoption of electronic order routing in Latin America is significantly driven by the desire to attract international order flow and to make trading in Latin America as seamless as trading in other mature markets.

Q: Where does Fidessa have operations, and connectivity? What’s the latest news on that front?

A: Fidessa recently opened an office in Sao Paulo to serve our clients in Latin America, including Mexico. The office was opened to provide on-the-ground technical and production support to our local clients. Our plan is to continue building out the appropriate infrastructure to offer data centre hosting, hosted services such as a local ticker plant and a local network hub to facilitate North, South and local order routing and execution. We will also be hiring local staff to ensure support in both Spanish and Portuguese.

We currently have 21 receiving brokers in Latin America concentrated in Brazil, Mexico, Chile and Colombia, and we are in discussions with several others in the region to join the Fidessa network.

Q: What are the infrastructure challenges of working in Latam?

A: The greatest infrastructure challenges are being seen by international players looking to gain access to the local markets. There are many challenges, such as hardware and telecom acquisition, so they seek the expertise of local brokers, custodians and technology vendors to help them put the appropriate infrastructure in place to start trading.

It is important to understand the workflow the client is looking to facilitate to assure a balance of cost and speed. As demand in the region continues to increase, things will only get easier, and we can hope, with scale, less expensive.

Q: Focusing on Brazil, it looks like competition is heating up there with Bats and Direct Edge planning to take on BM&FBOVESPA. What opportunities does this open up for Fidessa?

A: With the introduction of fragmentation comes the increased responsibility for brokers to provide best execution to their clients. In some markets, the exchanges themselves will be mandated to provide aggregated quote data and routing to the best price, but even in these markets, brokers will compete for business by aggregating the data feeds and connecting directly to each market themselves to more quickly identify and access best price and volume.

Whether you are an international player who has experienced fragmentation in other markets or a local player who has never had to overcome this challenge before, there will be a significant investment in time and money to accommodate the data feed, connectivity and smart order routing requirements. Working with experienced vendors in other markets like Fidessa, who has worked with Bats and Direct Edge, can provide a time to market and cost advantage to implementing the required technology and infrastructure.

Q: Are Latam markets looking to invest in low-latency technologies and offerings in a similar way that markets in North America and Europe have? Is this ‘me too’ or are they learning from others’ experience and doing things differently?

A: Brazil, Mexico and Chile have all made significant investments in their exchange technology to provide lower latency, higher throughput execution for their participants, setting the stage for algorithmic and HFT participation in their market. Brazil is leveraging the experience and expertise of the CME by partnering with them for the implementation of their new multi asset trading engine. Chile has extended their proprietary technology along with partnerships with technology providers like IBM for their low-latency messaging, and Mexico ;is enhancing their proprietary technology to provide significant improvements to latency and throughput.

Brazil has seen the highest rate of clients seeking to set up local infrastructure to facilitate low-latency market access for algorithmic and HFT participation. But, there is a delicate balance that firms are trying to find between investment in low-latency technology and return on investment on that technology purchase. That said, the amount of high frequency trading participation in the region as a whole is still growing, so as volume continues to increase, so might the returns on those technology investments.

Q: What about regulatory oversight for all of these developments? Is there a MiFID in the works for Latam?

A: There is not currently a regional regulation such as MiFID or Regulation NMS for best execution in place because Latin America is not yet fragmented. However, each country does have its own regulatory rules in place to oversee the various different types of order flow and assure quality execution for retail transactions.

In Chile, for example, there are three exchanges that are not electronically linked. The brokers are not obligated to provide best price. As long as they demonstrate they are trading on the primary exchange, and provide the best price along with the executed price on the confirmation, they are in compliance with the local rules.

As fragmentation is undoubtedly coming to LatAm, I do believe you will see local regulators augment their current rules to protect their market participants.

Q: What do you expect to be some other specific developments in the coming year in Latam, for the markets and for Fidessa?

A: As far as market changes that might affect the region, the potential addition of Mexico to the Integrated Latin American Market (MILA) will certainly affect the development of the region. Mexico has already signed a letter of intent to join MILA, and if they do, it will further drive connectivity in the region and the need for trading systems to manage higher volumes and provide multi-regional orders and execution capabilities.

The region is very dynamic with growth, change and investment, and we are excited to be working with partners in the region who are driving the extension of our trading services to accommodate their growth and success.

Source: Low Latenency, 08.02.2012

Filed under: BM&FBOVESPA, BMV - Mexico, Brazil, Chile, Colombia, FIX Connectivity, Latin America, Mexico, Peru, Trading Technology, , , , , , , , , , , , , , , , , , , , ,

NYSE Technologies extends CameronTec FIX enginee relationship in Asia Infrastructure

 CameronTec, the global financial industry’s long-standing provider of FIX infrastructure and connectivity solutions and wholly owned subsidiary of Orc Group (SSE: ORC), today announced an agreement with NYSE Technologies to continue providing the CameronFIX and Catalys technologies for its Asian operations.  Signed in August, the agreement also covers reseller rights for CameronTec products in Japan and is based on CameronTec’s licensing subscription model.

NYSE Technologies recently acquired Metabit, the Tokyo-based provider of high performance market access products that includes a trading community of more than 140 trading firms throughout Japan and Asia.  Continuing the existing relationship between Metabit and CameronTec, CameronFIX has powered many of Metabit’s valued market assets and solutions since 2002.

“Japan and Asia are key priorities for NYSE Technologies and our global customers.  Our products are built in Asia for the local market and CameronFIX has been an important part of that strategic offering since 2002,” said Daniel Bürgin, Head of Asia Pacific, NYSE Technologies. “As a new product line within NYSE Technologies, Metabit will continue to work with CameronTec to provide high performance connectivity to Japan’s exchanges while offering local market participants access to and support for Cameron’s suite of solutions.”

“We are especially pleased to be working alongside NYSE Technologies to continue to deliver FIX technology as part of the Metabit product suite and have them support our products throughout such a critical market as Japan,” says Anders Henriksson, CEO, CameronTec. “CameronTec is continuously working to improve the standard in FIX infrastructure and to provide our markets with cutting edge innovation for which we are renowned. These developments are a further demonstration that CameronTec continues to lead the industry in FIX innovation.”

At the core of CameronTec technology is a unique understanding of the FIX world that comes from a concentration of the world’s largest FIX deployments. With a host of industry-firsts, Catalys and CameronFIX technology provide unprecedented levels of flexibility and innovation that firms need to sustainably differentiate in today’s markets.

Source: NYSE Technologies, 07.12.2011

Filed under: Asia, Hong Kong, Japan, Korea, Malaysia, Singapore, , , , , , , , , , ,

Mexico´s Exchanges take huge steps to boost High-Speed Trading.

The Mexican Exchange, which is the second largest exchange in Latin America, announced a number of strategic and technology initiatives designed to promote foreign investment in the Mexican financial markets and its position as a Latin American leader in high-frequency trading.

While Brazil continues to be the hottest emerging market in Latin America, the Mexican Exchange (BMV Group), is taking huge steps to boost its growth in the high-speed marketplace.

The Mexican Exchange, which is the second largest exchange in Latin America, announced a number of strategic and technology initiatives designed to promote foreign investment in the Mexican financial markets and its position as a Latin American leader in high-frequency trading.

Mexico now provides worldwide participants with seamless, high-speed and efficient access through low touch direct market access (DMA), high speed co-location services, and FIX standard protocol for order routing and market data Part of Mexico’s success is down to its determination to improve its operative rules to better comply with international market standards, as well as adopting new technology.

In 2012, the Mexican Exchange will announce the launch of a new trading engine, internally developed. This multi-market, multi-asset, flexible and scalable trading engine has throughput of more than 200,000 messages per second. The trading engine will be ultra low latency, executing trades in 100 microseconds roundtrip (improvement over 25 milliseconds on legacy trading system). Full deployment is planned for Q2 2012. Further in 2012, The Mexican Exchange will introduce several new initiatives including midpoint hidden order book trading, aimed at institutional investors looking to trade large blocks anonymously with reduced execution risk. Simpler cross order rules will also be implemented; all stocks, global market equity securities and debt instruments will be crossed within the best bid/ask spread with no intervention. And, VWAP executions for the day will be able to be entered from 8:00 AM CT to 2:40 PM CT.

Recently, the Mexican Exchange has established major alliances broadening investment opportunities in the Mexican market. The Mexican Derivatives Exchange (MexDer) and the Chicago Mercantile Exchange (CME) established phase one, “south-to-north,” of its strategic order routing agreement, giving Mexican investors access to CME Group’s benchmark derivatives contracts, including interest rates, foreign currencies, equity indexes, energy, metals and agricultural commodities.

Phase two of the partnership, “north-to-south,” now in place provides CME Group customers with access to MexDer benchmark products, including Mexican Stock Exchange Index futures, bond futures and MXN Peso / US dollar futures contracts.

Source: Wallstreet&Technology, Melanie Rodier, 18.11.2011

Filed under: BMV - Mexico, Exchanges, Latin America, Mexico, , , , , , , , , , , , , , , , , , , , , , , , , , , ,

Fidessa opens São Paulo office in Brazil

Fidessa group plc (LSE: FDSA), provider of high-performance trading, investment management and information solutions for the world’s financial community, has today announced the expansion of its Latin American operations with a new headquarters in the region, new staff and data centers that provide resilient, redundant hosting.

The new office, located in São Paulo, Brazil, will serve as a base for the whole of Latin America and comes about as a direct result of Fidessa’s continued growth there, as well as from the ongoing demand for its products and services from domestic and international firms across the region. As well as cultivating and growing the local business further, the team based in São Paulo will also provide dedicated service and support functions for the regional client base.

The new office is headed by Bryan Miller, Managing Director for Fidessa’s Latin American business, who was previously Senior Vice President and Director of Hosted Client Services for Fidessa in the US. Miller’s background in implementation, project management, and ongoing support for Fidessa’s US clients, positions him well to ensure that the same market-leading levels of delivery and support, for which Fidessa is well known globally, are provided to clients locally as well.

Miller comments: “We are seeing increasing demand for our award-winning investment management, trading, connectivity and market data solutions from many emerging regions around the world. The markets of Latin America, in particular, are growing rapidly and have attracted significant interest from international players looking for opportunities in expanding economies. This is fueling the need for our solutions among both local and international firms looking to trade in the region.”

“Establishing this office is a clear sign of Fidessa’s commitment to the marketplace and we will be building the local team with a mixture of experienced Fidessa people from North America as well as local hires.” Continues Miller, “Latin America is an important strategic step for Fidessa globally, and I look forward to cementing and expanding our presence here to take advantage of the exciting opportunities that it presents.”

Source: Finextra, 17.11.2011

Filed under: Brazil, FIX Connectivity, Latin America, Trading Technology, , , , , , , ,

Shenzhen Stock Exchange revamps trading system

SZSE held the celebration for 10-year anniversary of the 4th version of trading system, also for launching the construction of the 5th version of trading system.

The 4th version of trading system, officially launched on November 12, 2001, was independently researched and developed by SZSE, which, adhering to the fundamental principal of “secure, efficient and self-controllable”, constantly expands and improves the function and performance of the system in light of the needs for constructing China’s multi-layer capital market. In the past 10 years, the 4th version of trading system has witnessed the establishment of split share structure reform, SME Board, ChiNext, and Zhongguancun Park Enterprises Stock Quotation System, and other major business innovation including ETFs, LOFs, margin trading securities lending in the process of rapid development of Shenzhen securities. It plays a significant role as technology support to guarantee the safe and stable market operation and push forward the construction of multi-layer capital market. By far, the 4th version of trading system has provided trading services for as many as 1800 securities, 4700 sales networks and 100 million investors, with the actual peak amount of daily entrusted deals handled as high as 22.47 million, and a 10-year record for continuously safe operation.

As multi-layer capital market continuously develop healthily in China, SZSE, on the basis of ongoing plan, now officially implement constructing new version of transaction system, namely the 5th version of transaction system, so as to support the future business development, provide better market transaction services, and reinforce market competitiveness. The prospective 5th version of trading system aims at, on the one hand, building a scientific and sound structure with higher efficiency, larger capacity, better security, more expansibility and more flexible business adaptation, on the other hand constructing an integrated transaction platform capable of supporting multi-layer, multi-variety, multi-market. It is expected to be launched in 2015, by the time of which the new system’s speed of handling orders will reach more than 200 thousand deals per second.

Chen Dongzheng, Chairman of SZSE Council, and concurrently Secretary of SZSE Party Committee attended the ceremony and announced the official launch of the research and development for the 5th trading system.

Source: Shenzhen Stock Exchange, 16.11.2011

Filed under: China, Exchanges, Trading Technology, , , , , , , , , , , ,

Finamex launches Algorithms with US Equities in the Mexican market

Finamex, a full-service independent broker dealer from Mexico City, and leading provider of innovative trading solutions, has released four opportunistic market trending algorithms for use by Direct Market Access (DMA) clients. The main idea is to allow clients to effectively gain arbitrage profits while mitigating collocation and/or their own strategy development costs.

Finamex’s latest release of arbitrage algorithms have been designed to build opportunities on fungible domestic equities displayed in the Mexican exchange marketplace. Execution calculations work through pre-programmed algorithms built on leveraging theoretical quote pricing as the primary driver of behavior, speed and momentum.

There are a variety of features to how the Finamex arbitrage algorithms provide opportunities with US equities in the Mexican market:

1. Hunter – is an algo which seeks to take advantage of sudden inefficiencies between the equities of foreign listed symbols in Mexico versus their originating market (such as the QQQ or AAPL on the Nasdaq or NYSE markets). The Hunter algorithm computes required data-sets and adjusts itself independently within defined price spreads on the Mexican Stock Exchange (Bolsa Mexicana de Valores: BMV).

2. Ghost – has a characteristic of lying dormant until a desired buy/sell signal appears with a non-previously indicated ask/bid price then it executes contrarily. Similarly with the Finamex “Hunter” algo, Ghost receives the side, quantity and spread parameters of opposing bids/offers satisfying spread parameters of its local market yet quickly hitting IOC type status. This feature helps in the recognition of desired price opportunities without revealing trade strategy intentions by its clients.

3. Scaled – uses a two-spread metric like the Hunter algo, with a signal that triggers in a suddenly inefficient environment. The Scaled algo strategy is seen on a big spread definition, called a “base.” Scaled reacts instantaneously when a lower spread, called the “target”, is satisfied on the other side. Unlike the Finamex “Ghost” algo, the Scaled algo’s intentions are exposed but move immediately when the target spread is satisfied. The Scaled strategy allows other market participants to preview this algo’s activity, causing them to sometimes take a glance on the board, which in turn drive executions over the spreads.

4. Market-maker – a next generation algo intended to provide liquidity and act as a market maker within the local Mexican marketplace. Market-maker absorbs the last trade, adds an indicated spread and automatically places or replaces the order with an indicated quantity. In combination with pegging and short-sell models, the Marketmaker algo is highly beneficial for market making strategies and for acting on market divergences.

“We’re putting in place all of these free strategies for clients who want to access the Mexican stock market with an almost-zero setup price. Our goal is to take Mexico to a higher level in the emerging markets priority list of global investors,” states Hector Casavantes, head of Electronic Trading at Finamex. “We wanted to offer automated algo strategies in order to let investors know how active and easy this market can be to trade. All algorithms were architected with profitability in mind. They’re highly customizable, completely auditable and comprehensive, fully meeting our clients’ demands”.

“With the addition of these tools, we’ve further enhanced our suite of algorithmic-trading products beyond our well-known execution algos in VWAPs, TWAPs, Implementation Shortfall and POV, “Roberto Larenas, Head of Equity Markets at Finamex added. “While we are aware that these algos are more opportunistic, we are still keeping our business model as pure-agency. Buy-side firms are increasingly requesting new tools, new ideas, and new ways to exploit opportunities in emerging markets. Finamex is fully committed in addressing these demands with our best-of-the breed solutions

Source: A-Team, 14.11.2011

Filed under: BMV - Mexico, FIX Connectivity, Latin America, Mexico, Trading Technology, , , , , , , , , , , , , , ,

Mexican Market Leaps Forward – FIX, Technology, Co-Location and Regulation

In the last 12 months dramatic changes have occurred at Mexico’s stock exchange and among its brokerage clients. Cross border partnerships, technology upgrades, new FIX infrastructure and business friendly regulatory changes have opened the Mexican market to high frequency trading (HFT).

While US regulators can be seen to scold HFT firms, the Mexican market has opened its arms. The Mexican Exchange (BMV) and its brokerage firms have upgraded their infrastructure and sought business opportunities north of the border. Earlier this year after the CME Group and the BMV signed their partnership, high frequency traders on the CME Globex trading system began to route orders to the Mexican Derivatives Exchange or MexDer. Today 90 percent of average daily volume on the MexDer comes from high frequency traders north of the border.

Mexico’s brokerage firms have completed significant infrastructure upgrades. Last spring only a few brokers in Mexico could handle a highfrequency hedge fund client and many Mexican brokers could process no more than one connection to the Bolsa Mexicana de Valores (BMV) at a time. The landscape has changed quickly and improvements in broker and exchange systems have ushered in a new capacity for speed in the transmission and execution of orders in Mexico.

Over the summer a major milestone occurred for the industry. Working with the BMV, Mexico’s brokers completed an industry-wide upgrade to FIX 4.4. The top 25 brokers are now certified with FIX 4.4 to the BMV. Leading the way, are brokerages like GBM, Interacciones, Actinver, UBS Mexico, IXE and others.

Now that Mexican brokers speak FIX 4.4, all of the order routing to the BMV can now be done through FIX allowing the BMV to retire the antiquated SETRIB protocol. The only way the BMV will allow Mexican brokers to continue to use SETRIB is by paying excessive fees, and even this will not be allowed by the end of 2011. Retiring SETRIB sets the stage for more positive changes in the industry and at the BMV.

Work is already underway to upgrade the BMV’s trade matching engine. The existing engine was built in the 1990s for a Tandem mainframe. Retiring the Tandem has many benefits. Faster order matching and processing is high on the list. In addition, more choices for application and software vendors and significant cost savings are expected. Retiring the mainframe will also eliminate the scheduling nightmares associated with the limited availability of the central mainframe for testing with the broker community. The new matching engine will be hosted on modern Unix based hardware. The release of the new matching engine and infrastructure is planned for the first quarter of 2012.

Another important milestone is the availability of a state-of-the-art co-location facility at KIO Santa Fe. The BMV infrastructure is located here and starting in October it will be easy for brokers and third party providers to collocate order routing and market data in this hosting facility leading to high throughput low latency services.

While all of the infrastructure and matching engine upgrades are momentous, they would bear no fruit without the simultaneous modernization of Mexican regulations. The initiative to modernize Mexico’s regulations, called RINO, began a year ago and phase two is due to rollout in the fall of 2011. The goal of RINO is to conform Mexican regulations to international standards. By converging with international standards, regulators hope to bring more international order flow and greater liquidity to the market, resulting in increased investment in the Mexican market.

While regulations in the US like Sarbanes Oxley and Dodd-Frank can be seen to drive businesses offshore, the regulatory changes in Mexico are removing handcuffs from businesses and facilitating opportunities. The first step forward occurred early this year with RINO I. RINO I allowed brokers to have multiple channels to the BMV’s electronic trading system. Previously all orders were in a single queue. Multiple access points per broker provides more flexibility in executing strategies and handling client requests, including separate BMV channels for program trading and orders called into the trading desk. RINO I also eliminated sizebased criteria from order management,  thus leveling the playing field in the processing of orders. RINO II takes effect on October 10, 2011, bringing more modernizations including pegged orders, improvements in crossing operations, average price operations, price delivery regardless of volume, and decimal bids for fixed income securities.

Crosses, in which a brokerage carries out a transaction through the stock exchange between two of its clients, were permitted previously but the rules were very arcane. Starting in October, the crossing operations will be vastly simplified allowing clients to simply choose whether to cross inside or outside the spread. With this modernization, the BMV hopes to repatriate orders that brokers would previously carry out in the US, where crossing orders was possible using ADRs in dark pools or at the NYSE.

In addition the RINO II regulations a very important new mid-point hidden book order. The orders execute at the midpoint, broker anonymity is guaranteed and the order priority is determined by volume. This is effectively a dark pool. Similar to Xetra, this new BMV order helps the market participants and simultaneously protects the BMV from  providers toying with moving into the Mexican marketplace.

As the regulations modernize and the FIX infrastructure hardens, opportunity beckons. Brokers are beginning to push for more high frequency trading algorithms, more efficient routing of international orders, and more sophisticated risk controls, all of which will attract even more international business. As the need for speed grows, co-location previously offered by the exchange may become more strategic, particularly to brokers wanting to attract high frequency traders.

All of this progress was made possible in large part because of the exchange’s demutualization and subsequent listing in 2008. The demutualization coincided with rule changes allowing Mexico’s pension funds or AFORES to invest. Before the rule changes, the AFORES were forced to invest almost entirely in short-term government paper. Today, Mexico’s pension funds are allowed to invest up to 25 percent, in individual stocks and shares and 12 percent in a hybrid of corporate debt and equity capital to allow companies to raise funds to expand businesses.

Considered together, regulatory improvements and infrastructure updates have morphed the BMV and the Mexican brokerage community into a thriving and modern marketplace. The BMV reported a 22 percent jump in earnings last year, with operating income increasing 70 percent in the last three months. A record six initial public offerings made it to market last year and overall trading volumes rose 50 percent in 2010. This year Mexico’s IPC index has tested and hovered near record highs.

In 2011 there are fewer IPOs, but trading volume remains strong. The order-routing agreement signed with Chicago’s CME Group has opened Mexico’s derivatives market to the world. Now, electronic trading infrastructure and investor friendly regulations have set the stage for act two.

Latin America has enjoyed a strong recovery for the most part it has sailed through the recession without lasting damage. Boosted by capital inflows, by record prices for commodity exports, by sound policies and by a heady expansion in domestic credit, the region saw economic growth of 6% last year and is on course to notch close to 5% this year. The region faces slower growth but not disaster. To up the pace, now is the time for reforms to boost productivity.

The main engines for growth in Latin America are China’s demand for minerals, food stuffs and raw materials – this looks set to continue – and consumption as tens of millions edge out of poverty and benefit from newly available credit.

Source: FIX Global Trading, 15.09.2011

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Filed under: BMV - Mexico, FIX Connectivity, Latin America, Market Data, Mexico, News, Risk Management, Trading Technology, , , , , , , , , , , , , , , , , , , , , , , , , ,

Chinese Markets STEP Forward with China FIX

Dr. Bai Shuo of the Shanghai Stock Exchange (SSE) explains the importance of the STEP Protocol and its development in China.

Dr. Bai Shuo, Shanghai Stock ExchangeHow did the STEP Protocol begin and which organisations originally developed it?

Back in 2003, at the same time when the SSE began to prepare the Next Generation Trading System (NGTS) project, which would later go live on Nov 23, 2009, the SSE decided to introduce a message-based protocol between the exchange and brokers, which is widely accepted to be FIX. The pioneering work was encouraged by the China Securities Regulatory Commission (CSRC).

Under the framework of national standardization, this protocol became one of the eight standards in the securities industry. The WG01 group was responsible for the drafting of the protocol under the direction of the CSRC. The membership of the WG01 group includes: SSE, Shenzhen Stock Exchange (SZSE), Shanghai Futures Exchange (SHFE), Guoxin Security Co. and some other securities companies. The protocol, which is informally called Chinese FIX, or CFIX, is named STEP (Securities Trading Exchange Protocol), as it is regarded as the initial ‘step’ towards a first-class stock market. STEP 1.0 was written in 2004 and issued in 2005. STEP was revised as version 1.1 in 2006.

How does STEP fit into China’s overall usage of standards in the financial world?

While FIX is a global standard in the securities industry, STEP is more suitable for the Chinese market, since STEP introduced many native business and local definitions. The CSRC is responsible for the STEP standard. The SSE has agreed to use STEP and is eager to promote STEP, so as to encourage brokers to follow STEP. In China, investor accounts that should be supervised are designed to be contained in Parties component block. Tags in range 8500 to 8540 are allocated for Chinese market usage, such as market data delivery and business for funds, warrants and voting. Quite a few tags are enhanced for local businesses, such as tag 40 (OrdType), tag 103 (OrdRejReason), tag 269 (MDEntryType), tag 326 (SecurityTradingStatus).

What is the scope of STEP’s usage? What parts of the trading cycle was it intended to cover and what asset classes is it used for?

STEP covers the pre-trade and trade parts of trading cycle, as well as some specific registering instructions. STEP is used for stocks, funds, bonds, warrants, ETFs, and lots of featured non-trading businesses, such as IPOs, right issuances, fund creation and redemptions, warrant executions, bond deposit and withdrawals, voting, etc.

Who were the early adopters of STEP? Who currently uses STEP and for what?

The SSE uses STEP for level2 market data service. Information vendors have taken STEP for level2 service in the meantime. Creative businesses like this are suitable to take the new protocol standard in order to have the ability to easily maintain and extend, without a burden to support a legacy interface.

What is the next stage in the development of STEP? Where is adoption of STEP going to grow most significantly in the near future? Are there new goals or applications for STEP?

STEP is under revision as many new businesses were introduced during the last five years. STEP is considered easier to be adopted in market data and other creative businesses. Also, STEP over FAST will be used for SSE level 1 market data delivery. Block trading, quote repo, agreed repo and margin financing on the Alternative Trading Platform (ATP) of the SSE will take STEP as the format for business records. Traditional trading business will gradually be enhanced to support STEP in near future as we get more confidence through the experience on creative business.

Source: FIXGlobalTrading, 15.09.2011
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Filed under: Asia, China, Exchanges, FIX Connectivity, Market Data, Trading Technology, , , , , , , , , , , , , , , , ,

NYSE Technologies Open Sources MAMA API to create vendor neutral OpenMAMA platform

Broadens Access and Increases Flexibility for All Users and Vendors  through New Standard for Global Capital Markets, Hosted at Linux Foundation

NYSE Technologies, the commercial technology unit of NYSE Euronext (NYX), today announced that it has open sourced its Middleware Agnostic Messaging Application Programming Interface (MAMASM), now called OpenMAMA. As a vendor neutral platform driven by the financial services technology community, OpenMAMA enables companies to protect their technology investments and help remove the friction in implementing new trading technology solutions across their technology operations utilizing a simple, consistent API.

Hosted by The Linux Foundation, OpenMAMA is supported by a steering committee of some of the most recognized names in financial services, including J.P. Morgan, Bank of America Merrill Lynch, EMC, Exegy and Fixnetix, among others. This newly open-sourced code establishes a new industry standard delivering greater flexibility and reduced development times with an underlying goal of lowering costs and building broader support for a range of interconnected programs. OpenMAMA offers a robust set of features with unmatched reliability and performance that ensure a uniform, future-proof middleware messaging solution for financial services firms. It is available through the Linux Foundation project today and the steering committee will announce new members and participants to the OpenMAMA initiative in the coming months.

“NYSE Technologies’ vision has always been to create a new breed of capital markets community that benefits from our extensive global network and utilizes the best, most innovative technologies from a range of service providers, not just ourselves,” said Stanley Young, CEO, NYSE Technologies. “Launching OpenMAMA through the Linux Foundation is another step toward achieving that goal. Through the industry steering committee, we are positioning ourselves alongside our peers and customers to become expert consultants for open sourced capital markets technology. We have created a vibrant customer community of over 150 market participants using MAMATM, and now with OpenMAMA, customers and firms everywhere will benefit from third-party contributors creating an even richer and more compelling API.”

Additionally, NYSE Technologies has worked with a diverse range of vendors and financial institutions at the forefront of technological innovation to create a steering group comprised of industry leaders building and utilizing financial technology applications. Collectively, the committee will determine OpenMAMA’s development roadmap, funding, strategy and product direction. As the OpenMAMA community grows, the steering committee composition could change to incorporate new members that join through the Linux Foundation.

Scott Parsons, CTO, Exegy added, “OpenMAMA is a very exciting chance for the industry to collaborate and architect the functionality and direction of a key piece of infrastructure. Using the MAMA API, we can now design a platform that strikes a unique balance of performance, interoperability and future proofing that has never been done before.”

“Fixnetix is pleased to join leading members of the global banking, hedge fund and proprietary trading community for the Linux Foundation steering committee on OpenMAMA,” says Anthony Kingsnorth, Director of Operations, Fixnetix. “We believe industry collaboration will only yield the best results and outcome for our universal trading, market data and risk control customer base.”

NYSE Technologies decision to open the MAMA platform creates an easily accessible architecture and proves its commitment to true strategic partnership with its customers. The benefits of the OpenMAMA platform are further strengthened by NYSE Technologies’ innovative plan to publish an industry-wide standardized data model. Furthermore, the OpenMAMA project will release the Middleware Agnostic Market Data API (MAMDA Aerly next year. MAMDA will provide users with the ability to publish and consume market data from multiple sources and vendors in a standardized format onto the open platform to help market participants better leverage technology assets and innovate more rapidly.

As market activity evolves and customer needs change, OpenMAMA will continue to be an open, flexible and efficient means of developing and deploying new, event-driven applications. The first release of OpenMAMA is available now with substantial updates expected through March 2012.

Source: Bobsguide, 31.10.2011

Filed under: Data Management, Data Vendor, Market Data, News, Standards, , , , , , ,

Brazil: High Frequency Trading in Brazil: Mirage or Miracle?

Christian Zimmer, Head of Quantitative Trading and Research, and Hellinton Hatsuo Takada, Quantitative Trader, of Itaú Asset Management reveal the truth about high frequency trading in Brazil.

Conference panels, discussions and articles on High Frequency Trading (HFT) generally start with its definition. The term HFT is like ‘Cleopatra’ – sexy and mysterious and everyone is keen to know more about it. But the term HFT speaks for itself, so is it wasting time to go over it again?

Probably, because the term ‘high’ only has meaning relative to an external point of reference, just like cold, hot, sweet or other adjectives. This subjectivity is all the more interesting, as it is extremely difficult to measure an investor’s  brief holding period in most financial markets and, therefore, determine if it really is ‘high’. Unlike in the US, where the exchanges do not register the origin of the trade, Brazilian regulation allows BM&FBOVESPA to identify the final client on every trade. Consequently, it is much easier to measure the holding period of an investor for each asset. Also, this rule is the means by which the exchange determines whether an investor’s trade is classified as a ‘day trade’ and is thus eligible for reduced fees.

Naturally, BM&FBOVESPA does not classify a trader opening a position in the morning and closing it at the end of the day as a high frequency trader. There should be far more trading than this to qualify as HFT.  But how much more? It depends on the exchange’s criteria and reference point for ‘high’.

Figures for HFT published by BM&FBOVESPA in their April 2011report show 3.9% of the BM&F segment is high frequency and 5.9% of the BOVESPA segment. Consequently, the reduced fees are presented to the Brazilian trading community as less of an issue, as they say there is evidence of HFT taking hold. But HFT volume is not really increasing and is still far off the US figures which are often cited at around 60-70%. After carefully observing BM&FBOVESPA market prices, it is easy to conclude that it would take some time (possibly hours) to have a change in the prices sufficiently large enough to pay the transaction costs.Remember that HFT strategies are very sensitive to transaction costs.

Our suggestion is to step away from making subjective references to ‘high frequency’. Instead, one should look at the underlying trading strategies. The incentives an exchange should create to attract flow must be adjusted to the strategies that are really needed. Each strategy deserves a different set of policies and this will help the diversification of the traders’ strategies.

A trader using a market maker strategy can live with exchange fees as long as the bid-ask spread is sufficiently high. If the spread narrows, the costs become crucial and the exchange must lower the fees in order to keep this client in the market. On the other hand, a directional trader has different issues; if the fees are high, a trader must wait longer for a relevant price move so that they can capitalize on their position. Contrary to the market maker, the directional trader loves to see narrow bid-ask spreads. There would be no need to lower fees when the spread is close. The same is true for the statistical arbitrage traders.

When looking at the third party analyses of HFT in the international markets, we often see that the most common strategy is the market maker approach. This fact is strongly influenced by market fragmentation, which we do not have in Brazil. Fragmentation creates new intermarket trades, which could qualify as arbitrage trades, but not necessarily as market maker trades. Fragmentation also makes exchanges and other venues compete for the customers that provide liquidity and, as a result, give incentives to market makers. As mentioned above, Brazil does not have a fragmented market and BM&FBOVESPA does not see it necessary to ask for more liquidity. At least not as long as international capital flows are strong and increasing. Liquidity is needed in second tier shares and below.

It remains to be seen whether the inventive BM&FBOVESPA program to exempt the officially designated market makers from exchange fees will be enough to stimulate other participants to trade. At least theoretically, this provides an entry/ exit point for statistical arbitrage traders. However, as long as the allowed spreads can be as large as 1%, the strategy might not be necessarily profitable. At this moment it is worth noting that most of the Brazilian statistical arbitrage trades are longshort trades in stocks focusing on preferred-common stock relationships (in Brazil they are known as PNON, with PN standing for preferred stocks and ON for common ones).

It is also interesting to look at statistical arbitrage trades that are latency dependent, i.e. true arbitrage trades. Are these the ‘true’ high frequency traders? If there are only a few trading opportunities per day, it does not seem as if BM&FBOVESPA could classify them as high frequency. Latency sensitive traders typically use what the exchange refers to as the DMA3 (clients directly sending orders through a connection to the exchange) or DMA4 (co-location) categories. Trades through these categories can easily be measured. Unfortunately, the ability to measure the latency sensitive flow is lost because the DMA3 category is also used for any direct sponsored customer trades, so all that remains is to  measure the flow from the co-location model.

If we use the DMA4 numbers as the reference point for HFT, then we reach a HFT participation figure of 2.8% in the BM&F segment and about 2% in the BOVESPA segment (as at April 2011). The BM&FBOVESPA DMA4 measurements are significantly lower than their HFT percentages. This suggests they accounted additional strategies into this pool, such as market making strategies. Theoretically market makers could have contributed to this figure, but because of a very narrow spread in the high volume stocks and high fees, it is reasonable to assume that the market making strategy does not contribute too much to the HFT volume.

One might argue that there are still the directional trades. Yet, as this strategy needs a certain price move before it can make money and the number of trades per day is limited. On the other hand, the number of traders that might be using this strategy is not limited, as the models are nearly all different. There are only about ten Brazilian players able to successfully run intraday directional trades. Perhaps we should conclude that the international players have better models or a better understanding of the market?

Recently, BM&FBOVESPA announced a new pricing model for high-frequency traders, which uses the Average Daily Trading Value (ADTV) to calculate fees in its equity market. Fees range from 0.019% for R$20 million ADTV up to 0.01% for firms trading over R$500 million ADTV. Ironically, almost no firms were able to qualify as ‘high frequency’ players within the exchange’s cost reduction program.

Source:FIXGloabalTrading, 15.06.2011

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Filed under: BM&FBOVESPA, Brazil, Exchanges, Latin America, Trading Technology, , , , , , , , , , , , , , , , ,

Brazil: BM&FBOVESPA – News September 2011 – Nr.20

Launch of the first stage of the BM&FBOVESPA PUMATrading System

BM&FBOVESPA announces the conclusion of the first stage of development and integrated tests with the market of its new trading platform, named the BM&FBOVESPA PUMA Trading System. This is a multi-asset electronic trading platform that has been developed by BM&FBOVESPA and CME Group. BM&FBOVESPA PUMA Trading System will replace the Global Trading System (GTS), Mega Bolsa, BOVESPA FIX and SISBEX, integrating them into a single system with greater processing capacity, extremely low latency, and new functions. The implementation will occur in stages:

  • 1st Stage: Substitution of GTS (derivatives and spot foreign exchange);
  • 2nd Stage: Substitution of Mega Bolsa (equities and equity derivatives);
  • 3rd Stage: Substitution of BOVESPA FIX (fixed-income corporate securities) and SISBEX (government securities).

The Exchange implemented the BM&FBOVESPA PUMA Trading System in the spot foreign exchange market on August 29, 2011. The other stages will be executed in the following weeks, at dates to be announced at an opportune moment. As part of the GTS replacement effort, instruments will migratein four-stages. At each stage, orders sent to the Exchange for these contracts will be processed exclusively by the new system. The migration stages are:

  • 1st Migration: Spot foreign exchange contracts.
  • 2nd Migration: Agricultural derivatives.
  • 3rd Migration: Financial derivatives (interest rates, foreign exchange, inflation indices, gold etc.), except for derivatives based on stock indices.
  • 4th Migration: Derivatives based on stock indices.

Automated solution for market surveillance, operation and market oversight

BM&FBOVESPA and BOVESPA Market Supervision (BSM), the Brazilian self-regulatory organization in charge of inspecting and supervising transactions and trade authorizations, announced on September 15 that they will use NASDAQ OMX’s SMARTS Integrity market surveillance platform to monitor trading across their equities and commodities platforms. Using SMARTS Integrity, BM&FBOVESPA and BSM will have a comprehensive portfolio of alert scenarios for market behavior.

> More information

BM&FBOVESPA and BNDES present new portfolio for the Carbon Efficient Index

BM&FBOVESPA and BNDES announced on September 5 the composition of the theoretical portfolio of the Carbon Efficient Index, valid from September to December 2011. The ICO2 is an index composed of stocks in IBrX-50 index companies that have accepted involvement in the initiative, adopting transparent practices as regards greenhouse gas emissions (GGEs). The calculation of shares in the ICO2 index takes into consideration the greenhouse gas emissions and free float of companies.

The portfolio valid as of today can be viewed here.

New head of BM&FBOVESPA for UK

BM&FBOVESPA announces that Sergio Gullo has been hired as the new chief representative for BM&FBOVESPA in London. He will report to BM&FBOVESPA International Business Development Officer Lucy Pamboukdjian and be responsible for operations with the European, Middle Eastern and African markets. Sergio Gullo has been active in the financial market for more than 27 years. He was Business Development Manager in the United Kingdom for BGC Partners and has worked in financial institutions such as Banco Votorantim and Renaissance Capital, specializing in emerging markets and always in commercial areas with a focus on fixed income and structured products. He also held a wide range of positions at Lloyd’s TSB Bank for 19 years, in both Brazil and the UK.

New office in London

The BM&FBOVESPA office in London has moved to One New Change, 4th floor (London, EC4M, 9AF, United Kingdom). The London office may be contacted by e-mail at sgullo@bvmf.com.br and by telephone at (+44) 203 379 3978.

BM&FBOVESPA and Shenzhen Stock Exchange Sign Memorandum of Understanding

BM&FBOVESPA (BVMF) and the Shenzhen Stock Exchange (SZSE) signed on September 26 a memorandum of understanding (MOU) which includes personnel exchange, mutual training and information and experience sharing. Ms Song Liping, President of the Shenzhen Stock Exchange, and Mr. Edemir Pinto, CEO of BM&FBOVESPA, signed the MOU last month during the 5th International, Financial and Capital Market Conference in Campos do Jordão, in the state of São Paulo.

BM&FBOVESPA’s options and capital raising activity

According to the WFE (World Federation of Exchanges), BM&FBOVESPA is ranked as #1 in volume of Stock Options contracts trades and #4 in IPOs (Capital Raised). These and other regulated exchange industry numbers are available at: http://www.world-exchanges.org/statistics

Securities Lending

In August, the total number of securities lending transactions reached a record 141,721 compared to the previous record of 121,971 in May 2011 and to 114,989 in July. Financial volume was BRL 62.63 billion in August from BRL 52.16 billion the previous month.

Ibovespa and other index portfolios, valid for September-December 2011

BM&FBOVESPA has announced the Ibovespa theoretical index portfolio, which will be valid from September 5 to December 29, 2011, based on the closing of the September 2, 2011 trading session. The new portfolio now includes common shares in BR Malls and Cia Hering, which brings its total to 68 stocks in 63 companies.

> More information

BM&FBOVESPA launches app for Google Chrome web browser

BM&FBOVESPA announced on September, 16th that users of the Google Chrome web browser can download a free app that allows real time monitoring of the share prices of companies traded on BM&FBOVESPA and of the directions taken by the main capital market indexes. This tool allows users to customize their share portfolio, storing in the “Favorites” tab the companies that they wish to monitor daily. The app includes films that explain stock investment, wealth creation, and financial education. It also contains messages that are sent to the BM&FBOVESPA twitter channel @Info_BMFBOVESPA

To obtain the BM&FBOVESPA Google Chrome app, please access the Google Web Store and download the file at: https://chrome.google.com/webstore.

2011 EVENTS

Family Office Summit – Latin America

BM&FBOVESPA is currently sending invitations for this event promoted by the World Research Group and which will be held in São Paulo September 26-28. A BM&FBOVESPA representative is scheduled to talk about alternative investments. The summit will present current trends for optimizing effective strategies and alternative methods to produce investments for single and multi family offices in the Brazilian capital market. There will be a special networking session bringing together managers, single and multi family offices, advisors and consultants.

Location: Intercontinental São Paulo – Alameda Santos, 1123, São Paulo , SP.
Date: September 26-28, 2011.

> Full Agenda and Registration

2nd FX Growth Markets Series: Brazil – Profit & Loss

BM&FBOVESPA will join the Profit & Loss FX Growth Markets conference on October 20, 2011 at the Tivoli Hotel in São Paulo. Profit & Loss has been operating its highly successful series of Forex Network and FX Growth Markets conferences for more than 10 years, with regular annual events held in London, New York, Chicago, Singapore, Brazil, Mexico, Colombia, Chile, Shanghai and Toronto, and comes to Brazil for the second time. A BM&FBOVESPA representative will talk at the event.

Location: Tivoli Hotel São Paulo, São Paulo, Brazil
Date: October 20, 2011.

> Full Agenda

BM&FBOVESPA at Chicago’s FIA EXPO

BM&FBOVESPA will exhibit at FIA EXPO 2011. The event attracts approximately 5,000 people from more than 30 countries, from senior staff at brokerage firms and exchanges to floor traders, pension fund managers, corporate treasurers, CTAs and CPOs, and individual investors. BM&FBOVESPA staff will present the Exchange’s products, connectivity, DMA access via Globlex, co-location and others.

Location: Hilton Chicago, USA
Date: October 10-12, 2011

> More info

The World Cup of ETFs and Indexing Latin America

BM&FBOVESPA is lending its support to the World Research Group’s “World Cup of ETFs and Indexing Latin America.” The event aims at providing attendees with the best practices for ETFs use, as well as a comprehensive analysis of market structure, regulations and current and future opportunities. The expected audience includes pension funds, hedge fund managers and investors, investment advisors, financial consultants, and other market participants. A BM&FBOVESPA representative will talk about the Exchange’s ETF products.

Location: São Paulo (TBC)
Date: October 17-18, 2011.

> Full Agenda and Registration

Volumes and trades by Direct Market Access (DMA)

BM&F Segment
In August, BM&F* market segment transactions carried out through order routing via Direct Market Access (DMA) registered 41,417,494 contracts traded and 4,431,750 trades. In July, the volume reached 20,009,841 contracts traded and 2,417,398 trades.

The volumes registered by each access modality in the BM&F segment were as follows:

  • Traditional DMA – 17,540,231 contracts traded, in 1,306,241 trades, in comparison to 7,440,774 contracts and 797,002 trades in July;
  • Via DMA provider (including orders routed via the Globex System) – 14,088,756 contracts traded, in 435,281 trades, compared to 7,040,432 contracts and 258,881 trades in July;
  • DMA via direct connection – 4,210 contracts traded in 830 trades, against 3,691 contracts and 977 trades in July;
  • DMA via co-location – 9,784,297 contracts traded, in 2,689,398 trades, compared to 5,524,944 contracts and 1,360,538 trades in July.

In August, transactions carried out by foreign investors presented by CME to BVMF (who use the Globex-GTS order routing system or access BVMF markets via co-location) totaled 5,308,308 contracts traded, in 1,235,349 trades, compared to 2,897,744 contracts and 688,862 trades in July.

BOVESPA Segment
In August, order routing via DMA in the BOVESPA* segment totaled BRL 138,522,096,000.00 and 17,021,408 trades, from BRL 95,030,778,000.00 and 11,225,193 trades the previous month.

Trading volumes per type of DMA in the BOVESPA segment:

  • Traditional DMA – Volume of BRL 120,451,427,000.00 and 14,098,638 trades from BRL 87,674,861,000.00 and 10,091,956 in July;
  • DMA via co-location – Volume of BRL 16,691,370,000.00 and 2,755,498 trades from BRL 6,381,361,000.00 and 1,007,081 in July;
  • DMA via provider – Volume of BRL 1,379,299,000.00 and 167,272 trades from BRL 974,556,000.00 and 126,156 in July.

* Direct access to the BM&FBOVESPA market segments is carried out through DMA models 1, 2, 3 and 4. In model 1 or traditional DMA, the client accesses the GTS or Mega Bolsa through technological intermediation of a brokerage house. In model 2 or via DMA provider, the client does not use the technological intermediation of a brokerage house, but rather connects to the system through an authorized access provider. DMA via order routing with CME Globex is also a form of DMA model 2. In model 3, the client connects to the system through a direct connection. In model 4 or via co-location, the client installs its own computer within the Exchange’s facilities.

Notes:

The volumes registered by access modality include both buy and sell sides of a trade.

The volumes by access modality for both the BM&F and the BOVESPA market segments have been reported in a consolidated manner in the BM&FBOVESPA statements since May 2009.

MARKET RESULTS

BM&F Segment August 2011

Derivatives markets in the BM&F segment (including financial and commodities derivatives) totaled 78,606,873 contracts and BRL 5.23 trillion in volume in August, compared to 44,199,125 contracts and BRL 3.35 trillion in July. The daily average of contracts traded in the derivatives markets in August was 3,417,690, in contrast to 2,104,720 in July. Open interest contracts ended the last trading day of August with 37,821,302 positions, compared to 30,716,596 in July.

BOVESPA Segment August 2011

In August 2011, the equity markets (BOVESPA segment) financial volume totaled a record BRL 177.906 billion, in a record 16,234,673 trades, with daily averages of BRL 7.73 billion and a record 705,855 trades. This was in comparison to the prior total volume record of BRL 155.55 billion in October 2010, the prior total trades record of 11,172,707 in May 2011 and the prior daily average trades record of 544,88 in February 2011.

Source:BM&FBOVESPA, 20.09.2011

Filed under: BM&FBOVESPA, Brazil, FIX Connectivity, News, Trading Technology, , , , , , , , , , , , , , , , , , , , ,

ITG Launches Algorithms for Mexican Equities

Investment Technology Group, Inc. (NYSE: ITG), a leading agency research broker and financial technology firm, today announced the launch of algorithms for Mexican equities, including the proprietary Active algorithm, which has been customized for the structure and spread profile of the Mexican market. The algorithms are available via ITG’s award-winning Execution Management System, Triton®, as well as other widely used trading platforms and via FIX connection.

“Regulatory and technological changes are accelerating the move towards electronic trading in Mexico, and our tailored algorithms provide a valuable new tool for institutional asset managers seeking to access that market,” said Jeff Bacidore, Managing Director and Head of Algorithms at ITG. “These algorithms are designed to reduce market impact, maximize execution quality and improve trading performance in the Mexican equity market.”

The Mexican algorithms complement ITG’s growing Latin American trading capabilities. ITG offers a full suite of algorithms for Brazilian equities, including Active, Flexible Participation, Volume Participation and the recently added Peg & Pounce algorithm. Peg & Pounce empowers traders to take liquidity opportunistically when the size is available and supply liquidity passively when liquidity is not available.

Source: Bobsguide, 20.09.2011

Filed under: BMV - Mexico, FIX Connectivity, Latin America, Mexico, News, Trading Technology, , , , , , , , , ,

10 Trading Trends in Latin America : SunGard

Raj Mahajan, president of SunGard’s global trading business, said: “The economy in Latin America continues to grow at an exceptional pace. Led by Brazil, which has achieved an annual average growth of 3.7% over the last ten years, (nearly twice that of the US), the boom includes Mexico, Chile, Columbia and Peru. SunGard is helping Latin American trading firms capitalize on the change and growth in that region, by providing low latency execution to help them compete in the global race for liquidity with greater transparency, efficiency and access to network connectivity.”

The ten trends SunGard has identified as shaping Latin American trading are:

1. Mexico, Chile, Columbia and Peru are quickly gaining recognition as key markets in Latin America, as their combined trading volumes edge closer to Brazilian levels.

2. Brazil’s markets are going completely electronic, increasing firms’ ability to more efficiently and more quickly access liquidity. As a result volumes have skyrocketed; a 400% increase in activity in the last decade.

3. Demand for international order flow is high as volumes are rising in emerging markets: Brazil is ranked the fourth largest emerging market according to a recent article.

4. The sell-side in Latin America is consolidating; large international players are buying local brokers to quickly increase their presence and credibility.

5. FIX connectivity is increasing: As firms receive and execute more order flow internationally, the adoption of FIX has taken hold in Latin America, helping to efficiently connect buy- and sell-side firms.

6. Trading volumes are increasing across the region and firms need real-time data and analytical tools for greater transparency into market movements. It is predicted that Brazil will see a 4.9% increase in equity market performance in 2011, according to a recent report. From 2006-2010, fund flows into Brazil have totaled $10 billion.

7. As more international investors want exposure to LatAm markets, the networks into and out of these markets becomes more important. Local firms and international players are investing in telecommunications infrastructure to ensure bandwidth and reliability for their trading networks.

8. With major exchanges allowing third party software firms direct access to exchanges, traders have more network connectivity options and can now take advantage of independent software vendors to provide their technology platforms.

9. As LatAm trading volumes skyrocket, the demand for financial information within the region is growing. In terms of financial market data and news, Latin America is second only to the Asian nations in allocating more budget for this resource.

10. LatAm trading firms are investing in low latency execution and stable customizable trading solutions, leaving legacy technologies behind for greater operating efficiency.

Danielle Tierney, junior analyst at Aite, said, “Networks are the key to sustaining growth in Latin America. Approximately 25 percent of the volume traded in Latin America is international, driving the search for new sources of liquidity and establishing connections to powerful global networks.”

Sourc: SunGard, 12.09.2011

Filed under: Argentina, Brazil, Chile, Colombia, Data Vendor, Exchanges, FIX Connectivity, Latin America, Market Data, Mexico, Peru, Trading Technology, , , , , , , , , , , , , , , , , , , , ,

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