1) The document discusses how to extract the best liquidity from dark pools by understanding the different types of participants and separating them, measuring performance across dark pools and participants, and optimally allocating orders.
2) It emphasizes the importance of measuring total implementation shortfall rather than just fill rates, as higher adverse selection can negate good execution prices.
3) ITG's POSIT Marketplace and Liquidity Filter technology aims to separate "toxic" from "non-toxic" participants, measure dark pool performance, and allocate orders to the highest quality pools and participants to minimize total implementation shortfall.
Today’s trading is complex and frequently involves little human intervention. Five years after the "Flash Crash," do you know how high frequency trading and dark pools work? Our new report separates fact from fiction.
The document provides information about 5 major banks in Malaysia - Maybank, HSBC, Public Bank, CIMB Bank and RHB Bank. It discusses their establishment, history and key businesses. Maybank was established in 1960 and is the largest bank in Malaysia, while HSBC has its origins in 1865 in Hong Kong and Shanghai. Public Bank was founded in 1966 and is renowned for its prudent management. CIMB Group emerged from a 2005 merger and is now ASEAN's leading universal bank, and RHB Bank was formed from mergers starting in 1997.
High frequency trading (HFT) uses high-speed computers and complex algorithms to generate and execute trades at extremely high speeds. It has become popular due to advances in computer technology that allow for highly low latency rates. HFT is another type of trading method that turns over market positions very quickly by exploiting these advanced technologies. It has both advantages like increasing market liquidity and challenges like potential market manipulation. The success of HFT depends heavily on technology innovations that reduce latency and develop competitive trading algorithms.
High-frequency trading (HFT) has become a significant part of the foreign exchange (FX) market, with HFTs accounting for 30-35% of FX trading volume. HFT strategies in FX include arbitrage between currency prices on different platforms, reacting rapidly to news events and economic data releases, and providing liquidity. While HFTs have increased market liquidity and narrowed spreads under normal conditions, their ability to rapidly withdraw liquidity in times of market stress has raised concerns. The growth of HFT in FX shares some similarities but also differences compared to HFT in equity markets.
The document discusses CIMB, a banking company in Malaysia. It outlines the company's mission statement, core values, and business portfolio. It then discusses two strategies the company uses - market penetration and market development. For market penetration, it provides examples of a loyalty program and new job opportunities. For market development, it discusses expanding to new geographical markets and sponsoring events to reach new demographic markets. It also includes a SWOT analysis of CIMB and discusses some of the company's marketing programs.
Winning Kaggle competitions involves getting a good score as fast as possible using versatile machine learning libraries and models like Scikit-learn, XGBoost, and Keras. It also involves model ensembling techniques like voting, averaging, bagging and boosting to improve scores. The document provides tips for approaches like feature engineering, algorithm selection, and stacked generalization/stacking to develop strong ensemble models for competitions.
(Almost) everything you need to know to start in FintechSophie Guibaud
This workshop will provide readers with a global overview of the Fintech world, market dynamics and how London has managed to become a leading Fintech hub. They will learn about the various business models that fall under the Fintech umbrella (Payments, Money transfer, Crowdfunding, Lending, Data & Analytics) and also discuss new banking models that are trying to inspire and shape the bank of the future.
Foreign exchange refers to the exchange of one country's currency for another. The foreign exchange market allows currencies to be traded globally, 24 hours a day. Major participants include banks, brokers, and authorized dealers. Exchange rates are determined by supply and demand in the foreign exchange market. They can be fixed by governments or allowed to float based on market forces. Factors like economic performance, interest rates, trade balances, and political events influence exchange rate movements. Risks from exchange rate fluctuations must be managed through techniques like setting loss limits and controlling overall currency exposure.
Today’s trading is complex and frequently involves little human intervention. Five years after the "Flash Crash," do you know how high frequency trading and dark pools work? Our new report separates fact from fiction.
The document provides information about 5 major banks in Malaysia - Maybank, HSBC, Public Bank, CIMB Bank and RHB Bank. It discusses their establishment, history and key businesses. Maybank was established in 1960 and is the largest bank in Malaysia, while HSBC has its origins in 1865 in Hong Kong and Shanghai. Public Bank was founded in 1966 and is renowned for its prudent management. CIMB Group emerged from a 2005 merger and is now ASEAN's leading universal bank, and RHB Bank was formed from mergers starting in 1997.
High frequency trading (HFT) uses high-speed computers and complex algorithms to generate and execute trades at extremely high speeds. It has become popular due to advances in computer technology that allow for highly low latency rates. HFT is another type of trading method that turns over market positions very quickly by exploiting these advanced technologies. It has both advantages like increasing market liquidity and challenges like potential market manipulation. The success of HFT depends heavily on technology innovations that reduce latency and develop competitive trading algorithms.
High-frequency trading (HFT) has become a significant part of the foreign exchange (FX) market, with HFTs accounting for 30-35% of FX trading volume. HFT strategies in FX include arbitrage between currency prices on different platforms, reacting rapidly to news events and economic data releases, and providing liquidity. While HFTs have increased market liquidity and narrowed spreads under normal conditions, their ability to rapidly withdraw liquidity in times of market stress has raised concerns. The growth of HFT in FX shares some similarities but also differences compared to HFT in equity markets.
The document discusses CIMB, a banking company in Malaysia. It outlines the company's mission statement, core values, and business portfolio. It then discusses two strategies the company uses - market penetration and market development. For market penetration, it provides examples of a loyalty program and new job opportunities. For market development, it discusses expanding to new geographical markets and sponsoring events to reach new demographic markets. It also includes a SWOT analysis of CIMB and discusses some of the company's marketing programs.
Winning Kaggle competitions involves getting a good score as fast as possible using versatile machine learning libraries and models like Scikit-learn, XGBoost, and Keras. It also involves model ensembling techniques like voting, averaging, bagging and boosting to improve scores. The document provides tips for approaches like feature engineering, algorithm selection, and stacked generalization/stacking to develop strong ensemble models for competitions.
(Almost) everything you need to know to start in FintechSophie Guibaud
This workshop will provide readers with a global overview of the Fintech world, market dynamics and how London has managed to become a leading Fintech hub. They will learn about the various business models that fall under the Fintech umbrella (Payments, Money transfer, Crowdfunding, Lending, Data & Analytics) and also discuss new banking models that are trying to inspire and shape the bank of the future.
Foreign exchange refers to the exchange of one country's currency for another. The foreign exchange market allows currencies to be traded globally, 24 hours a day. Major participants include banks, brokers, and authorized dealers. Exchange rates are determined by supply and demand in the foreign exchange market. They can be fixed by governments or allowed to float based on market forces. Factors like economic performance, interest rates, trade balances, and political events influence exchange rate movements. Risks from exchange rate fluctuations must be managed through techniques like setting loss limits and controlling overall currency exposure.
The document summarizes the Capstone simulation results of Minhee Huh, Molly McGowan, and King Tan. Their original strategy was cost leadership and differentiation but they shifted to focus on cost leadership and differentiation. They achieved peak market share in round 4 but then lost shares. Their 3-year plan focuses on developing new products, entering new segments, and making investments. They achieved high sales, profits, and stock price over the 8 rounds.
The document summarizes the Capstone simulation results of Minhee Huh, Molly McGowan, and King Tan. Their original strategy was cost leadership and differentiation but they shifted to focus on cost leadership and differentiation. They achieved peak market share in round 4 but then lost shares. Their 3-year plan focuses on developing new products, entering new segments, and increasing investments and finance. They achieved high sales, profits, and stock price over 8 rounds.
The pitch deck outlines an investor pitch for a startup. It introduces the founding team and their experience. It then discusses the problem the startup aims to solve, the size of the market opportunity, and the solution the startup has developed. The deck also covers the traction and user acquisition strategy, business model, competition, and financial needs. The overall goal is to convince the investor that the startup has a strong team, large market need, and solution that can generate revenues and competitive advantage.
Web 2.0 Weekly - June 22, 2010: "AOL Sells Bebo for Massive Loss"David Shore
Deals (M&A, Finance)
AOL is reported to have sold Bebo, the UK-based social network it bought just two years ago for $850 mm, to private equity firm Criterion Partners for under $10 mm. Based on our calculations, AOL paid the equivalent of $38 per Unique Visitor (UV) for Bebo, and sold it for under $1 per UV.
Positive price performance
The Web 2.0 public company universe rose again this week, with 60% of companies seeing their market cap rise vs. 33% falling and 7% flat.
The document discusses various methods for evaluating economic projects and investment opportunities, including the minimum attractive rate of return (MARR) concept. It provides examples of using the present worth method to analyze the Federal Express couriers powerpad project and Mr. Bracewell's hydroelectric plant investment. The present worth method discounts all cash inflows and outflows to the present time using the MARR to determine if the net present worth is positive, indicating the project or investment is economically profitable. Determining the appropriate MARR is critical for accurately evaluating projects using the present worth method.
How To Pitch - Genesis Partners (Gil Dibner)Omer Perchik
This document provides guidance on pitching innovations to venture capitalists (VCs). It discusses that pitching to VCs is difficult because they are inherently skeptical and investing other people's money. As such, VCs are looking for startups with strong teams, large market opportunities, defensible technology, competitive positioning, solid execution plans, potential for high returns, and reasonable deal terms. The document provides tips for an effective presentation structure and highlights the importance of demonstrating momentum through progress, user traction, or other validation.
This document announces a competition to fund collaborative R&D projects that address challenges in the digital industries. The competition will invest up to £18M over 12 months. It identifies three key challenge areas: people, digital content/services, and networks. The first round will provide up to £10M for projects addressing at least two areas. It aims to fund projects that can help create a sustainable economic future for all participants in the digital industries.
Know your valuation for equity compensation and avoid the perils of 409aThe Capital Network
If you are a CEO or a CFO of a high growth startup, it is vital to understand how to value your company correctly.
Here is a quick list of questions this lunch will help you answer:
Do you offer or are you planning to offer your employees stock options? Do you know the difference between ISOs and non-ISOs? Do you understand the general valuation concepts and approaches that the IRS has outlined, especially as they apply to early-stage companies? Did you know that if you run afoul of the 409A rules, your employees could have an unpleasant tax surprise and that some of that responsibility could revert back to you as the employer? Do you know if and when you need to engage an outside expert to assist with a valuation?
This is a limited seat lunch to teach issues of valuation for equity compensation and ask specific questions about your company.
Experts:
- Alicia Amaral, Scalar Analytics
- Scott Goodwin, Wolf & Company
This document outlines a proposed blue ocean strategy for small-cap IT and ITes firms. It discusses formulating the strategy by reconstructing market boundaries, focusing on the big picture rather than numbers, getting the strategic sequence right, and overcoming key organizational hurdles. For evaluation, it recommends streamlining processes, creating a business continuity plan, faster decision making, and encouraging specialization certifications. Finally, it provides examples of differentiating value through an eliminate-reduce-raise-create framework and constructing a strategy canvas.
This document discusses how to make a successful "Rock Star" product. It notes that of 1000 business plans, only 6 get funded, 40% of those survive, and less than 0.1% become big hits. The key is to achieve "product-market fit" quickly by using customer discovery and an agile development process to iteratively test hypotheses and pivot if needed, rather than assuming the problem and solution are known upfront. Features should be prioritized based on their expected benefit and development cost to maximize ROI. The biggest traps to avoid are focusing on growing individual features rather than the overall product, believing that just adding more features will lead to success, and not listening to customer feedback.
This presentation was given at MicroStrategy World 2009 and is a review of the MicroStrategy 9 platform which had yet to be released at that time. It highlights some of the new features and enhancements as well as Beta benchmark
The document outlines two proposed approaches for BT's new Online Showcase. Approach 1 would involve a series of pre-defined stories covering different customer criteria, while Approach 2 would allow for composite stories tailored to each user. Both approaches would bring the stories to life through HTML5 and focus on providing a consistent yet personalized user experience. Estimated costs for Approach 1 are between £96,000-£122,000 excluding VAT.
Startup Funding Options - From Kickstarter to Venture Capital - Dreamforce 20...Salesforce Partners
What if you could get the inside scoop on the key drivers that leading venture capital firms look for when funding a cloud startup? Join us to learn the tips and techniques used to attract VC funding for your company, including Force.com ISV success stories. This session is primarily for C-level, business development, and entrepreneurs
- Reassess identification of all assets and liabilities to ensure all were identified
- Review procedures used to measure amounts required to be recognized
- Consider if purchase price is significantly below value of tangible assets, working capital or other benchmarks
- If fair value of net assets exceeds consideration paid, it represents a bargain purchase requiring recognition of gain
Determining if a transaction meets the definition of a bargain purchase requires carefully reassessing the identification and measurement of all assets and liabilities to validate the excess fair value.
This is a talk by Raj Kapoor (Founder & Managing Partner of www.cofounder.co and Venture Partner, Mayfield Fund) that he presented at MIT and Harvard. It's best accompanied by voice over but you can get the gist of it from the slideshow.
The talk is about:
1) The Snapfish story - lessons learned
2) What VCs look for from internet/mobile entrepreneurs
3) Should you base your company in Silicon Valley
4) How the new cofounder.co model will work
The document discusses improving construction industry productivity. It recommends focusing on productivity through measuring results, documenting processes, and continually improving techniques. Specific tips include having daily huddles, tracking project estimates, and selecting profitable project types and customers. The document also promotes specializing in bonded construction work as a competitive niche with reduced competition and sophisticated customers.
Planning Your Exit: How and Why Some Studios Get Bought | James KostaJessica Tams
Delivered at Casual Connect Asia 2016
Decisions you make about your game, your company structure and your customers can radically affect the interest you receive from partners, acquirers and financiers. It can also affect your negotiating power. In this session we'll focus on techniques which have been used to bring high valuations to independent games. We'll also discuss how to maximize the strength of your game and studio on a small budget.
The document outlines an agenda for a one-day course on the FIX Protocol, covering an introduction to FIX including its history, components, and sample message flow, how FIX is used for electronic equity trading through order types and trading scenarios, and technical implementation considerations for FIX integration. FIX Protocol is an open, electronic messaging standard used widely in the financial industry for exchanging trading-related information.
The document outlines an agenda for a one-day course on the FIX Protocol, covering an introduction to FIX including its history, components, and sample message flow, how FIX is used for electronic equity trading through order types and trading scenarios, and technical implementation considerations for FIX integration. FIX Protocol is an open, electronic messaging standard used widely in the financial industry for exchanging trading-related information.
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The document summarizes the Capstone simulation results of Minhee Huh, Molly McGowan, and King Tan. Their original strategy was cost leadership and differentiation but they shifted to focus on cost leadership and differentiation. They achieved peak market share in round 4 but then lost shares. Their 3-year plan focuses on developing new products, entering new segments, and making investments. They achieved high sales, profits, and stock price over the 8 rounds.
The document summarizes the Capstone simulation results of Minhee Huh, Molly McGowan, and King Tan. Their original strategy was cost leadership and differentiation but they shifted to focus on cost leadership and differentiation. They achieved peak market share in round 4 but then lost shares. Their 3-year plan focuses on developing new products, entering new segments, and increasing investments and finance. They achieved high sales, profits, and stock price over 8 rounds.
The pitch deck outlines an investor pitch for a startup. It introduces the founding team and their experience. It then discusses the problem the startup aims to solve, the size of the market opportunity, and the solution the startup has developed. The deck also covers the traction and user acquisition strategy, business model, competition, and financial needs. The overall goal is to convince the investor that the startup has a strong team, large market need, and solution that can generate revenues and competitive advantage.
Web 2.0 Weekly - June 22, 2010: "AOL Sells Bebo for Massive Loss"David Shore
Deals (M&A, Finance)
AOL is reported to have sold Bebo, the UK-based social network it bought just two years ago for $850 mm, to private equity firm Criterion Partners for under $10 mm. Based on our calculations, AOL paid the equivalent of $38 per Unique Visitor (UV) for Bebo, and sold it for under $1 per UV.
Positive price performance
The Web 2.0 public company universe rose again this week, with 60% of companies seeing their market cap rise vs. 33% falling and 7% flat.
The document discusses various methods for evaluating economic projects and investment opportunities, including the minimum attractive rate of return (MARR) concept. It provides examples of using the present worth method to analyze the Federal Express couriers powerpad project and Mr. Bracewell's hydroelectric plant investment. The present worth method discounts all cash inflows and outflows to the present time using the MARR to determine if the net present worth is positive, indicating the project or investment is economically profitable. Determining the appropriate MARR is critical for accurately evaluating projects using the present worth method.
How To Pitch - Genesis Partners (Gil Dibner)Omer Perchik
This document provides guidance on pitching innovations to venture capitalists (VCs). It discusses that pitching to VCs is difficult because they are inherently skeptical and investing other people's money. As such, VCs are looking for startups with strong teams, large market opportunities, defensible technology, competitive positioning, solid execution plans, potential for high returns, and reasonable deal terms. The document provides tips for an effective presentation structure and highlights the importance of demonstrating momentum through progress, user traction, or other validation.
This document announces a competition to fund collaborative R&D projects that address challenges in the digital industries. The competition will invest up to £18M over 12 months. It identifies three key challenge areas: people, digital content/services, and networks. The first round will provide up to £10M for projects addressing at least two areas. It aims to fund projects that can help create a sustainable economic future for all participants in the digital industries.
Know your valuation for equity compensation and avoid the perils of 409aThe Capital Network
If you are a CEO or a CFO of a high growth startup, it is vital to understand how to value your company correctly.
Here is a quick list of questions this lunch will help you answer:
Do you offer or are you planning to offer your employees stock options? Do you know the difference between ISOs and non-ISOs? Do you understand the general valuation concepts and approaches that the IRS has outlined, especially as they apply to early-stage companies? Did you know that if you run afoul of the 409A rules, your employees could have an unpleasant tax surprise and that some of that responsibility could revert back to you as the employer? Do you know if and when you need to engage an outside expert to assist with a valuation?
This is a limited seat lunch to teach issues of valuation for equity compensation and ask specific questions about your company.
Experts:
- Alicia Amaral, Scalar Analytics
- Scott Goodwin, Wolf & Company
This document outlines a proposed blue ocean strategy for small-cap IT and ITes firms. It discusses formulating the strategy by reconstructing market boundaries, focusing on the big picture rather than numbers, getting the strategic sequence right, and overcoming key organizational hurdles. For evaluation, it recommends streamlining processes, creating a business continuity plan, faster decision making, and encouraging specialization certifications. Finally, it provides examples of differentiating value through an eliminate-reduce-raise-create framework and constructing a strategy canvas.
This document discusses how to make a successful "Rock Star" product. It notes that of 1000 business plans, only 6 get funded, 40% of those survive, and less than 0.1% become big hits. The key is to achieve "product-market fit" quickly by using customer discovery and an agile development process to iteratively test hypotheses and pivot if needed, rather than assuming the problem and solution are known upfront. Features should be prioritized based on their expected benefit and development cost to maximize ROI. The biggest traps to avoid are focusing on growing individual features rather than the overall product, believing that just adding more features will lead to success, and not listening to customer feedback.
This presentation was given at MicroStrategy World 2009 and is a review of the MicroStrategy 9 platform which had yet to be released at that time. It highlights some of the new features and enhancements as well as Beta benchmark
The document outlines two proposed approaches for BT's new Online Showcase. Approach 1 would involve a series of pre-defined stories covering different customer criteria, while Approach 2 would allow for composite stories tailored to each user. Both approaches would bring the stories to life through HTML5 and focus on providing a consistent yet personalized user experience. Estimated costs for Approach 1 are between £96,000-£122,000 excluding VAT.
Startup Funding Options - From Kickstarter to Venture Capital - Dreamforce 20...Salesforce Partners
What if you could get the inside scoop on the key drivers that leading venture capital firms look for when funding a cloud startup? Join us to learn the tips and techniques used to attract VC funding for your company, including Force.com ISV success stories. This session is primarily for C-level, business development, and entrepreneurs
- Reassess identification of all assets and liabilities to ensure all were identified
- Review procedures used to measure amounts required to be recognized
- Consider if purchase price is significantly below value of tangible assets, working capital or other benchmarks
- If fair value of net assets exceeds consideration paid, it represents a bargain purchase requiring recognition of gain
Determining if a transaction meets the definition of a bargain purchase requires carefully reassessing the identification and measurement of all assets and liabilities to validate the excess fair value.
This is a talk by Raj Kapoor (Founder & Managing Partner of www.cofounder.co and Venture Partner, Mayfield Fund) that he presented at MIT and Harvard. It's best accompanied by voice over but you can get the gist of it from the slideshow.
The talk is about:
1) The Snapfish story - lessons learned
2) What VCs look for from internet/mobile entrepreneurs
3) Should you base your company in Silicon Valley
4) How the new cofounder.co model will work
The document discusses improving construction industry productivity. It recommends focusing on productivity through measuring results, documenting processes, and continually improving techniques. Specific tips include having daily huddles, tracking project estimates, and selecting profitable project types and customers. The document also promotes specializing in bonded construction work as a competitive niche with reduced competition and sophisticated customers.
Planning Your Exit: How and Why Some Studios Get Bought | James KostaJessica Tams
Delivered at Casual Connect Asia 2016
Decisions you make about your game, your company structure and your customers can radically affect the interest you receive from partners, acquirers and financiers. It can also affect your negotiating power. In this session we'll focus on techniques which have been used to bring high valuations to independent games. We'll also discuss how to maximize the strength of your game and studio on a small budget.
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The document outlines an agenda for a one-day course on the FIX Protocol, covering an introduction to FIX including its history, components, and sample message flow, how FIX is used for electronic equity trading through order types and trading scenarios, and technical implementation considerations for FIX integration. FIX Protocol is an open, electronic messaging standard used widely in the financial industry for exchanging trading-related information.
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https://36crypto.com/the-future-of-dogecoin-how-high-can-this-cryptocurrency-reach/
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After this second you should be able to: Explain the main determinants of demand for any mineral product, and their relative importance; recognise and explain how demand for any product is likely to change with economic activity; recognise and explain the roles of technology and relative prices in influencing demand; be able to explain the differences between the rates of growth of demand for different products.
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Economic Risk Factor Update: June 2024 [SlideShare]Commonwealth
May’s reports showed signs of continued economic growth, said Sam Millette, director, fixed income, in his latest Economic Risk Factor Update.
For more market updates, subscribe to The Independent Market Observer at https://blog.commonwealth.com/independent-market-observer.
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NIM is calculated as the difference between interest income earned and interest expenses paid, divided by interest-earning assets.
Importance: NIM serves as a critical measure of a financial institution's profitability and operational efficiency. It reflects how effectively the institution is utilizing its interest-earning assets to generate income while managing interest costs.
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OJP data from firms like Vicinity Jobs have emerged as a complement to traditional sources of labour demand data, such as the Job Vacancy and Wages Survey (JVWS). Ibrahim Abuallail, PhD Candidate, University of Ottawa, presented research relating to bias in OJPs and a proposed approach to effectively adjust OJP data to complement existing official data (such as from the JVWS) and improve the measurement of labour demand.
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Delve into the world of STREETONOMICS, where a team of 7 enthusiasts embarks on a journey to understand unorganized markets. By engaging with a coffee street vendor and crafting questionnaires, this project uncovers valuable insights into consumer behavior and market dynamics in informal settings."
2. Dark Pools Are a ZERO SUM Game
• Traditional dark pools invited likeminded participants
• The objective was to minimize impact
• Newer entrants tend to invite a wider variety of participants with
different objectives:
• Institutions – minimize impact
• DMA flow – reduce cost
• Market makers, prop desks, and high frequency funds – earn short
term alpha
• Dark pools are a ‘zero sum game’ by construction
• The objectives of newer entrants make them less attractive to
institutions
1
3. How to Extract Quality Liquidity
1 2 3 4
Optimally allocate to
Understand Separate Measure performance
minimize
contratypes in contratypes in and contratypes
Implementation
dark pools dark pools in dark pools
Shortfall
2
4. Understanding ContraTypes
Minimizes
Institutional
Impact
Block Order
May Support Stocks Institutional
Market Bound
No Spread Savings High Frequency
Adverse Selection Market Makers
Gaming Gamers
*Based on internal ITG research: “Are You Playing in a Toxic Dark Pool? A Guide to Preventing Information Leakage,”
Hitesh Mittal, Journal of Trading, Summer 2008.
3
5. Separating ContraTypes
ITG’s Liquidity Filter technology uses this logic to interact
intelligently against each type of liquidity
Uses minimum size on orders
Uses order type Peg Passive without min size
Large Client
Order
Shuts down IOIs by sending small aggressive
orders
Avoids gamers by not allowing orders to
get pinged
4
7. How to Measure Performance of a Dark Pool
• Implementation Shortfall of executed shares
• Fill rate
• Adverse selection
• Opportunity Cost: the cost of trading unexecuted shares
• Implementation Shortfall + Opportunity Cost
6
8. Looking at Fill Rates Alone is Not Enough
15 bps Example: 6 Buy Orders
10 bps § Fill rate: 50% Great!!
§ IS cost on fills: Negative Great!!
5 bps
Price § Opportunity Cost: High Not Great
Time
§ Total IS cost:
5 bps
(IS Cost + Opportunity Cost) High Not Great
10 bps
15 bps
7
9. Looking at Fill Rates Alone is Not Enough
• Fill rate: 25% OK
• IS cost on fills: 0 OK
Price
Time • Opportunity Cost: 0 Great!!
• Total IS Cost:
(IS Cost + Opportunity Cost) 0 Great!!
Higher adverse selection = Higher opportunity cost
8
13. ITG’s Liquidity Filter
SM
At the Core of POSIT Marketplace
Separate toxic and Measure the
nontoxic contras performance of each
in dark pools dark pool and contra
Measure total IS of Allocate first to
orders and adjust highest quality dark
allocation pools and contras
12