Perspectives on Algorithm and Electronic Trading in Canada: Are We There Yet? – Nov 2008
All questionnaires were completed from May 30th to November 28th, 2008.
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This was Forefactor`s first quantitative update to its 2007 benchmark study. This tracking update study provides an in-depth analysis of the Canadian electronic trading market with both buy-side and sell-side participants.
This research captured data using an on-line questionnaire. Identified buy-side and sell-side traders were sent a link to the questionnaire and numerous call-backs were instituted to ensure high participation rates.
Buy-side
Invitations to complete the survey were distributed to traders at 120 firms. Sixty-seven traders representing sixty-seven firms completed the survey, translating into a response rate of 56%.
Buy-side topics covered included:
- The adoption (current and planned) of electronic platforms and trading tools (i.e. OMS, EMS, DMA, FIX, algorithms, etc);
- Actual and perceived market leaders in the electronic trading space;
- The use of dark and other alternative trading venues;
- Type and number of different algorithm strategies used;
- Interest in accessing a broker’s dark liquidity pool; and
- Buy-side firm profiles (i.e. commission spend; assets under management; portfolio asset profile, etc.).
Sell-side
Invitations to complete the questionnaire were distributed to traders at forty-six broker-dealers. Fourteen firms participated in the research representing 62% of TSX value traded and 59% of TSX volume traded. Seven out of the top ten broker-dealers (by value and volume) were participants in this study.
Sell-side topics covered included:
- An estimate of the proportion of algorithmically executed trades in Canada by share volume and number of trades;
- Algorithmic trading by channel (i.e. proprietary desk, DMA, etc.);
- Algorithmic trading within channel;
- Proportion of algorithmic share volume executed anonymously; and
- Algorithm strategies used.
