T re a surie s: Wha t le sso ns mig ht c a rry o ve r fro m fro m - - PDF document
10/23/2015 T re a surie s: Wha t le sso ns mig ht c a rry o ve r fro m fro m o the r ma rke ts? JOE L HASBROUCK ST E RN/ NYU S&P index basket sec ur ities 2 E -mini future s SPY (E xc ha ng e c o ntra c t T ra de d F und)
1 10/23/2015
JOE L HASBROUCK ST E RN/ NYU
S&P index basket sec ur ities
E
c o ntra c t SPY (E xc ha ng e T ra de d F und) “HF T ” L a st sa le re po rting Ope n o rde r b o o k Re ta il pa rtic ipa tio n T ra ding ha lts Ope ning a nd re o pe ning a uc tio ns Numb e r o f tra ding c e nte rs Da rk ma rke ts
2
2 10/23/2015
S&P index basket sec ur ities
E
c o ntra c t SPY (E xc ha ng e T ra de d F und) “HF T ” Ye s Ye s L a st sa le re po rting Ye s Ye s Ope n o rde r b o o k Ye s Ye s Re ta il pa rtic ipa tio n Ye s Ye s T ra ding ha lts Ye s Ye s Ope ning a nd re o pe ning a uc tio ns Ye s? Ye s Numb e r o f tra ding c e nte rs One Ma ny Da rk ma rke ts I c e b e rg o rde rs Ma ny ve nue s, me c ha nisms
3
S&P index basket sec ur ities
E
c o ntra c t SPY (E xc ha ng e T ra de d F und) On-the run T re a surie s “HF T ” Ye s Ye s Ye s L a st sa le re po rting Ye s Ye s Why no t? Ope n o rde r b o o k Ye s Ye s Why no t? Re ta il pa rtic ipa tio n Ye s Ye s Why no t? T ra ding ha lts Ye s Ye s Why no t? Ope ning a nd re o pe ning a uc tio ns Ye s? Ye s Why no t? Numb e r o f tra ding c e nte rs One Ma ny Ho w ma ny? Da rk ma rke ts I c e b e rg o rde rs Ma ny ve nue s, me c ha nisms Ye s
3 10/23/2015
De a le rs wo uld b e re luc ta nt to a c c o mmo da te
c usto me rs kno wing tha t the tra de s wo uld b e ma de pub lic b e fo re the y ha d a c ha nc e to wo rk o ff the ir po sitio n.
Pa rtia l e xc e ptio ns
T
RACE do e sn’ t pub lish size s la rg e r tha n $5 Millio n.
T
he L
xc ha ng e ha s a pub lic a tio n de la y to la rg e tra de s.
“I
t wo uldn’ t re a lly he lp inve sto rs g e t b e tte r pric e s.”
5
finra -ma rke ts.mo rning sta r.c o m/ Bo ndCe nte r, No v. 6, 2013
6
4 10/23/2015
US e q uity ma rke ts did no t a lwa ys ha ve this. SE
C’ s Orde r Ha ndling Rule s, 1996
Re g NMS Ac c e ss Rule , 2008 Bro ke rs must disse mina te c usto me rs b ids a nd o ffe rs. Ma rke ts must a llo w no n-me mb e r c usto me rs to e xe c ute
a g a inst the ir a dve rtise d q uo te s.
F
uture s ma rke ts did no t a lwa ys ha ve this.
T
he CME ’ s Glo b e x syste m wa s o rig ina lly a n “o ff-ho urs” ma rke t.
7
T
he tre a sury e nc o ura g e s pa rtic ipa tio n in the prima ry ma rke t (T re a suryDire c t a uc tio ns)
But tra ding c o sts a re hig h in the se c o nda ry ma rke t.
A re c e nt q uo te o n the OT
R 10-yr T
b ro ke r’ s we b site wa s 99.671 b id, o ffe re d a t 99.719
Bid-a sk spre a d o f 4.8 b ps
A typic a l spre a d o n the SPY is $0.01/ $200=0.5 b ps.
8
5 10/23/2015
On F
rida y, Oc to b e r 16, 2015, tra ding in a b o ut thirty NASDAQ NMS sto c ks wa s pa use d due to “limit-up, limit- do wn” ha lts.
T
he y ha ve b e c o me ro utine .
9
E
q uity ma rke ts use a sing le -pric e do ub le -a uc tio n c o nduc te d b y the prima ry listing e xc ha ng e .
I
sn’ t this just like the prima ry ma rke t a uc tio n?
NO. I
t must b e tig htly inte g ra te d with the se c o nda ry ma rke t.
10
6 10/23/2015
On- vs. off-the-r un 11
L
uro ne xt so lutio ns
De sig na te d ma rke t ma ke rs pa id b y the issue r Pe rio dic c a ll a uc tio ns.
12
7 10/23/2015
Sho uld the ma rke t b e c o nso lida te d o r fra g me nte d? Ho w do we g e t the b e ne fits o f ma rke t-c e nte r
c o mpe titio n a nd o rde r c o mpe titio n?
Sho uld we a llo w da rk ma rke ts? Da rk ma rke ts mig ht b e pre fe rre d b y c e rta in tra ding
c lie nte le s.
But the y mig ht we a ke n the lit ma rke ts.
13
At the mo me nt flo o r ma rke ts a ppe a r surprising ly ro b ust. T
he NYSE ha s the lio n’ s sha re o f tra ding in the ir liste d sto c ks.
NASDAQ is a de a le r ma rke t. T
he CME , CBT a nd NYME X do mina te future s tra ding .
But ma ny no n-US e xc ha ng e s use e le c tro nic tra ding . Ho w mig ht the US flo o r ma rke ts “g o e le c tro nic ”? T
he CBT ’ s Auro ra syste m mig ht just b e lig hting the wa y.
Ne xt slide : a n Auro ra sc re e n sho t
14
8 10/23/2015
15