Global markets are getting more efficient:
Computer-based trading in India’s $1.5 trillion stock market may double to half of all orders within three years as demand for speedier execution surges, according to the Bombay Stock Exchange.
Automated programs carry out about 25 percent of Indian orders currently, Sayee Srinivasan, head of product strategy at Asia’s oldest bourse, said in an interview yesterday. About 60 percent of U.S. stock trades daily come from firms that rely on fast-paced executions, according to Tabb Group LLC.
…
Goldman Sachs Group Inc. (GS), Credit Suisse Group AG (CSGN) and Nomura Holdings Inc. (8604) say a mix of tight buy and sell spreads, a large volume of smaller orders and no midday break make India ideally suited for growth in algorithmic trading.The BSE and National Stock Exchange of India Ltd., the nation’s biggest, started high-speed trading in 2009, about a year before the Tokyo Stock Exchange Group Inc. introduced its Arrowhead platform that cut processing to 5 milliseconds from 2 to 3 seconds. Australia’s ASX Ltd. in December moved to a platform that reduced the average time to 250 microseconds from 3 milliseconds.
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India “is a big priority for us,” Murat Atamer, head of electronic trading product at Credit Suisse in Hong Kong, said in a phone interview. High-frequency trading accounts for as much as 60 percent of trades done by some of firm’s clients in the South Asian nation, greater than the proportion in Australia, Hong Kong and Singapore, he said.
The TMX Annual Report talks a lot about its “low latency”, but doesn’t provide any numbers … which reminds me of the time, years ago, when I was buying a new computer. Due to the state of the art at the time, the speed of the L2 onboard cache was an important determinant of total speed – so I asked the friendly salesman what it was. After nagging him for a couple of days, I finally got an exasperated answer: “Look, it’s fast OK? It’s fast.”. I changed suppliers shortly afterwards.
All I can find for the TSX is a 6-millisecond response time for the Quantum system in 2008, but I don’t even know whether that measurement is comparable to the latencies discussed above. Still, if they were tops you know we’d never hear the end of it. A recent TMX release trumpets “40,000 order messages per second”, which imples 25-microseconds per message if they’re sequential, but again I don’t know if that’s a comparable number – I suspect not, since the feeds are partitioned.
Gwyn Morgan shows a prediliction for easy answers in his column Wanted: clear thinking on educating the work force:
In a recent column, I criticized Canadian universities for turning away up to half of applicants for in-demand programs such as engineering, information technology and health care, while continuing to allocate much of their money to programs with poor job prospects.
…
The person went on to say that arts and classics students “understand that their mind is theirs to educate for their fulfilment, not to train for some random future employer.” Another respondent noted that liberal arts courses “educate the mind to think.” Both apparently believe that possession of an arts degree is a vital prerequisite to one’s ability to actually think.
Naturally, there is no discussion on the actual hiring process. In my experience, corporate hiring is abysmal, with grossly incompetent Human Resource people trying to find precise matches of presumed skills to presumed needs. The best example is Commerce degrees – does anybody know anybody with a B.Comm. who can actually do anything? Who did anything in University other than regurgitate superficial explanations of high-level economics? Yet these people are in demand – hiring them is a low-risk proposition for an HR specialist.
Aside from those with actual skill-sets (such as engineering, hard sciences, nursing, etc.), the only people worth hiring for entry-level jobs are those who adored their University studies and as a result worked their buns off. Doesn’t matter if the particular subject was Ancient Greek Pottery or Economics. Once you know how to work, how to think, how to meet a deadline … the rest is just details.
Mind you, for analytical work I have a strong preference for science grads – hard science, mind you – on the grounds that by both prediliction and training, they are likely to believe that for any question, there’s exactly one correct answer.
Royal Bank’s American unit was downgraded:
Standard & Poor’s has downgraded its ratings on RBC Bank (USA) to BBB from A- as a result of changes to Royal Bank of Canada’s long-term strategic plan for its U.S. commercial banking subsidiary amid reports the operation is up for sale.
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The rating agency said this is primarily a result of the highliy competitive U.S. banking landscape and RBC Bank’s small regional presence.S&P also revised its view of RBC Bank to “non-strategically important” from “strategically important,” which shaved three notches off its rating. However, it applied one notch of support to reflect the bank’s shared branding, infrastructure, management, liquidity and capital support from its parent.
The Portuguese Emperor is contemplating action against the boy who shouted ‘No clothes!’:
Portuguese authorities have opened a criminal inquiry into three international credit rating agencies following a complaint, the Attorney General’s office said Monday.
The inquiry is based on a complaint filed last month by four Portuguese academics, an official with the Attorney General’s office said on condition of anonymity, in keeping with departmental regulations.
The four economists claimed the agencies — Moody’s, Standard & Poor’s and Fitch — caused severe financial losses for Portugal and demanded to know whether they profited from the ratings.
They also complained that the agencies dominated the ratings market and want to know whether competition rules were broken.
The inquiry will determine whether there is evidence for charges to be brought.
It was another strong day across the board for the Canadian preferred share market, with PerpetualDiscounts up 31bp, FixedResets gaining 11bp and DeemedRetractibles winning 23bp. Not much volatility. Good volume, with some very impressive spikes.
| HIMIPref™ Preferred Indices These values reflect the December 2008 revision of the HIMIPref™ Indices Values are provisional and are finalized monthly |
|||||||
| Index | Mean Current Yield (at bid) |
Median YTW |
Median Average Trading Value |
Median Mod Dur (YTW) |
Issues | Day’s Perf. | Index Value |
| Ratchet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0235 % | 2,438.8 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0235 % | 3,667.9 |
| Floater | 2.47 % | 2.25 % | 37,636 | 21.62 | 4 | 0.0235 % | 2,633.2 |
| OpRet | 4.85 % | 2.58 % | 62,104 | 1.17 | 9 | 0.1499 % | 2,420.7 |
| SplitShare | 5.20 % | -1.52 % | 66,290 | 0.60 | 6 | 0.0849 % | 2,500.2 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.1499 % | 2,213.5 |
| Perpetual-Premium | 5.74 % | 5.52 % | 133,247 | 2.33 | 9 | 0.0573 % | 2,061.9 |
| Perpetual-Discount | 5.53 % | 5.54 % | 117,105 | 14.48 | 15 | 0.3054 % | 2,148.8 |
| FixedReset | 5.15 % | 3.29 % | 208,473 | 2.87 | 57 | 0.1092 % | 2,306.8 |
| Deemed-Retractible | 5.19 % | 4.96 % | 302,096 | 8.07 | 53 | 0.2298 % | 2,115.7 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| BAM.PR.X | FixedReset | 1.10 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2041-05-10 Maturity Price : 23.03 Evaluated at bid price : 24.80 Bid-YTW : 4.31 % |
| PWF.PR.L | Perpetual-Discount | 1.28 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2041-05-10 Maturity Price : 23.50 Evaluated at bid price : 23.73 Bid-YTW : 5.41 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| TRP.PR.A | FixedReset | 923,250 | RBC crossed 811,100 at 25.95; Nesbitt crossed 92,000 at 26.03; RBC crossed 13,900 at 25.95. YTW SCENARIO Maturity Type : Call Maturity Date : 2015-01-30 Maturity Price : 25.00 Evaluated at bid price : 25.93 Bid-YTW : 3.67 % |
| FTS.PR.C | OpRet | 334,434 | Raymond James bought 22,400 from anonymous at 26.00 and 20,600 from Scotia at the same price. Scotia crossed 242,500 and 45,600 at the same price again. Scotia is a relatively infrequent name on this table; I bet they’re pissed RBC stole their thunder on today’s very nice tickets with the bigger deal shown above. YTW SCENARIO Maturity Type : Call Maturity Date : 2011-07-01 Maturity Price : 25.50 Evaluated at bid price : 26.00 Bid-YTW : -1.29 % |
| BNS.PR.R | FixedReset | 160,075 | YTW SCENARIO Maturity Type : Call Maturity Date : 2014-02-25 Maturity Price : 25.00 Evaluated at bid price : 26.16 Bid-YTW : 3.27 % |
| PWF.PR.M | FixedReset | 135,470 | Desjardins crossed blocks of 100,000 and 30,000, both at 26.90. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-03-02 Maturity Price : 25.00 Evaluated at bid price : 26.91 Bid-YTW : 3.21 % |
| CM.PR.G | Deemed-Retractible | 119,390 | Nesbit crossed 100,000 at 25.50; RBC crossed 15,000 at the same price. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-05-31 Maturity Price : 25.00 Evaluated at bid price : 25.45 Bid-YTW : 4.84 % |
| MFC.PR.F | FixedReset | 98,340 | RBC crossed 82,300 at 25.00. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 25.01 Bid-YTW : 4.12 % |
| There were 39 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| IAG.PR.C | FixedReset | Quote: 26.95 – 28.25 Spot Rate : 1.3000 Average : 0.7263 YTW SCENARIO |
| FTS.PR.G | FixedReset | Quote: 26.33 – 26.99 Spot Rate : 0.6600 Average : 0.5025 YTW SCENARIO |
| RY.PR.L | FixedReset | Quote: 26.50 – 27.02 Spot Rate : 0.5200 Average : 0.3684 YTW SCENARIO |
| BAM.PR.J | OpRet | Quote: 26.88 – 27.20 Spot Rate : 0.3200 Average : 0.1994 YTW SCENARIO |
| BAM.PR.O | OpRet | Quote: 25.60 – 26.00 Spot Rate : 0.4000 Average : 0.2969 YTW SCENARIO |
| BNA.PR.E | SplitShare | Quote: 24.60 – 24.95 Spot Rate : 0.3500 Average : 0.2601 YTW SCENARIO |