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IR Swap Algos and SIP Feeds


Peter Madigan,, Swap regulations hold key to future of OTC algorithmic trading, here.

“Look at electronic trading platforms for bonds and fixed income, such as BrokerTec or eSpeed. Those platforms for trading on-the-run cash US Treasuries have been populated by algorithms automatically reacting as prices get hit or lifted for the last 15 years. All it took for algorithmic trading to emerge in that market was a liquid central limit order book for government bonds,” says one New York-based interest rate swap trader.

The same has proved true for interest rate swaps, where the market’s first two central limit order books launched in 2010 and 2011, and the first algos followed hot on their heels. As things stand, these programmes are being used in a market-making capacity – simply refreshing quotes across the curve – a far cry from the sophisticated algos seen in cash equities, futures and foreign exchange, where participants essentially outsource their trading to a rules-based programme. The big question is how far down this path the OTC market will go.

John McCrank, Reuters, Exclusive: Nasdaq pushes to speed up talks over market fixes, here.

(Reuters) – Nasdaq OMX Group is prepared to walk away from running the data processor that was at the center of a three-hour trading halt in August, in a sign of its frustration with the pace of talks over implementing fixes for the system, according to documents seen by Reuters.

The fairness and transparency of the U.S. equity markets depends in part on three “securities information processors” (SIPs) that provide investors with the same stock quotes and last sale prices, across venues.


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