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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

On February 15, 2015, WM/Reuters adopted a five-minute window to calculate its 4 p.m. currency benchmark rates, also known as the Fix. This change, in conjunction with the industry’s reported shift toward automated handling of Fix orders, has created new patterns in currency trading around the Fix.

Anecdotal reports suggest that banks are shifting away from handling Fix orders as principal trades on the spot desk toward agency-style execution, specifically time weighted average price (TWAP) algorithms

The New York State Attorney General filed a civil suit Thursday, accusing Barclays of securities fraud for misrepresenting its LX Liquidity Cross dark pool. From the complaint:

contrary to Barclays’ representations that it “treat[s] all venues the same based on execution quality,” essentially all client orders were routed to Barclays’ dark pool first, regardless of the probability that a given trade would execute there, would execute at a favorable price, or would cause information leakage.

Any time a