Will Winzor-Saile

Will joined Redburn in 2015. Prior to this he worked as an Electronic Execution Specialist at Fidessa. Will holds a first-class masters in Maths and Physics from the University of Warwick.
Execution Analytics

Under the Hammer

Posted on

Here at Redburn labs, we were fascinated to read the LSE’s paper “Lifting the Lid on the Close” which provided some interesting insights into auction behaviour. Since then, we have seen the importance of auctions continue to grow. Despite a lot of existing literature around Auctions, when a single liquidity event accounts for nearly a third of the day’s trading there is always more to be understood.

Execution Analytics (Français)

Sous le marteau

Posted on

Chez Redburn Labs, nous avons été fascinés par la lecture de l’article de la LSE intitulé “Lifting the Lid on the Close” qui nous a éclairé sur le comportement des enchères. Dès lors, nous avons vu l’importance des enchères continuer à croître. Malgré une abondante littérature existante sur les enchères, lorsqu’un seul événement de liquidité représente près d’un tiers des transactions de la journée, il y a toujours plus à comprendre.

Execution Analytics

Blurred Lines

Posted on

Are tomatoes fruit or vegetable? Is a Jaffa Cake a cake or a biscuit? In 1991, the latter question was finally settled through a court-case; after considering eight different attributes of the snack, it was agreed that Jaffa Cakes are legally cakes, not biscuits. Unfortunately, not all debates end with such a definitive resolution.

In this paper we explore how the role of Electronic Liquidity Providers (ELPs) has changed over time and how the lines between ‘lit’ and ‘dark’, ‘toxic’ and ‘non-toxic’ liquidity are not as clear as they seem.

We show that by carefully managing our interaction with liquidity sources at all levels we can provide high-quality, low-impact liquidity from sources previously perceived as toxic.