Blog

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

The US equities market is fragmented, with dozens of dark pools and exchanges offering hidden order types. Each operator finds something to love in its own pool, but skeptical observers have questioned how much unique liquidity, or unique value of any kind, the proverbial 31st dark pool really provides.

To begin to address this question, we analyzed correlations in midpoint liquidity across two dozen trading venues. If everyone effectively has access to all the dark pools—either