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We’ve just posted an update in our series tracking trading patterns around the 4pm London WM/Reuters Fix, available at pragmatrading.com/research.

The simple momentum pattern as we summarized it last summer has essentially disappeared on normal days, but the overall pattern of trading around the Fix has remained consistent. Deriving benefit from the pattern has become more challenging and less rewarding, and the details of the pattern will no doubt continue to evolve as market participants change

High Touch Desks Get Best-Ex Due Diligence
The buy side is closing a major gap in its best-execution due diligence: The order routing practices of high-touch trading desks are falling under intense scrutiny previously reserved for self-directed trading tools. This increased attention presents a major challenge for brokers who use a variety of low-cost algorithms from multiple providers, since they have limited knowledge of how those algorithms route orders, let alone control over their behavior. Fortunately,

A year ago we described new predictable trading patterns that developed after the WM/Reuters 4pm London Fix window was expanded to 5 minutes. On average, the direction of rate changes at the start of the window predicts the direction over the remainder of the window. This momentum during the window is followed by a reversion afterward. Our latest research update on this trading pattern is available here.

While the WM/Reuters 4pm Fix was initially intended to