Singapore, Hong Kong Algo Performance Lags Japan
Singapore and Hong Kong lag Japan when it comes to algorithm performance across markets, according to a recent study released by trading technology provider Tora Trading.
Through the first six months of 2010, Tora officials examined 120,000 algo orders from their client base and found that in a best-case performance comparison against the volume-weighted average price (VWAP) benchmark, slippage, the difference between the expected price of a trade and the price where the trade is actually executed, was 111 percent higher for Hong Kong than Japan and 236 percent higher in Singapore than Japan.
This is likely due to liquidity concentration as well as differences in market structure for markets outside Japan, say Tora officials.
The study found that the average slippage in Singapore was 15.1 basis points (bps) and 9.5 bps in Hong Kong. In Japan, it was 4.5 bps for Tora clients.
"Our analysis looked at a wide range of factors that affect performance, including liquidity, volatility, spreads and user-defined parameters," said Tora CEO Robert Dykes in a prepared statement. "The key to maximizing algorithm performance is to use the one that best reacts to prevailing market conditions."
Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.
To access these options, along with all other subscription benefits, please contact info@waterstechnology.com or view our subscription options here: http://subscriptions.waterstechnology.com/subscribe
You are currently unable to print this content. Please contact info@waterstechnology.com to find out more.
You are currently unable to copy this content. Please contact info@waterstechnology.com to find out more.
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. Printing this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-digital.com/terms-and-conditions/subscriptions/
If you would like to purchase additional rights please email info@waterstechnology.com
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. Copying this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-digital.com/terms-and-conditions/subscriptions/
If you would like to purchase additional rights please email info@waterstechnology.com
More on Trading Tech
Waters Wrap: The changing definition and perception of blockchain
Anthony says that questions of definition and perception are killing DLT projects in the capital markets—oh, and a lack of proven implementations.
BlackRock to integrate Aladdin and Preqin to create new private markets platform
CEO Larry Fink calls combining the two platforms “maybe the biggest opportunity in 10 years.”
Ace high or busted flush? Digital Asset’s mixed fortunes mirror DLT adversity
The vendor hoped to remodel post-trade using blockchain technology—and it still might—but its bumpy progress raises questions over the future of DLT in finance.
This Week: BlackRock/Preqin, Trading Technologies, FIA Tech and more
A summary of some of the past week’s financial technology news.
Adaptive’s Aeron goes live on Microsoft Azure Marketplace
The messaging software used for building bespoke trading platforms is now available on Microsoft’s marketplace, making it accessible through major cloud providers.
Bloomberg, industry bodies push back on Cboe’s proposed OEMS rule change
Some industry bodies disagree with the options exchange’s proposal to carve its Silexx OEMS out of the SEC’s definition of an exchange facility and place it into a separate business line.
Waters Wrap: CME, Google and the pursuit of ultra-low-latency trading
CME Group and Google have announced Aurora, Illinois, as the location for the exchange’s new co-location facility. Anthony explains why this is more than just the next phase of the two companies’ originally announced project.
WatersTechnology latest edition
Check out our latest edition, plus more than 12 years of our best content.