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.
Two Fifteen

One Fifteen – 9 March 2020

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What a way to start the week!

European equities hit fresh 2020 lows after a weekend full of news in the COVID-19 and Oil space. Italy started the week with a quarter of its population in quarantine and Saudi Arabia launched a war for oil market share. All indices plunged at the open, V2X spiked (currently trading up +43%) and we are back to talking about support levels. FTSE 100 plunged at the open but support remains 6000? (was 5891 earlier but 6015 now). The Euro Stoxx 50 is trading below 3000, which targets 2908 (Dec 2018 low), but overall most of levels are now ~ 10% down from Friday’s close – please shout if you need any specific ones.

Execution Analytics

Superficial Intelligence

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There is no doubt that technology is taking over our lives. We allow machine learning algorithms to select the news that we read, to recommend the TV that we watch, to drive cars, and (unwittingly) to decide the outcome of elections. As coined by Klaus Schwab in 2015, we are in the midst of the ‘Fourth Industrial Revolution’ and the pervasion of technology is only going to increase.

Execution Analytics

Prickly Pairs

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Originally pioneered in the ‘80s, pairs trading has become a staple amongst a wide range of investors – from day traders to tier-one asset managers. Despite its ubiquity, the approach to executing pairs has changed very little over time. While algo providers have put huge effort into developing liquidity-seeking algorithms and improving benchmark performance; until recently, very little has changed for pairs.

Execution Analytics

Order Entry Requirement

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Last year, Redburn introduced the world to the concept of the ‘Order Entry Requirement’, or OER. The idea is that for orders below a particular size it is not worth interacting with certain venues. Although this seems intuitive – there’s no point sending a small order to a block venue – quantifying the value is far more difficult.

Execution Analytics

Cross Examination

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Natural Blocks are generally seen as the ideal form of liquidity. Being able to find the other side of a trade helps you to execute without having to go near the open market. Despite MiFID II making it harder to execute crosses in certain situations, it remains a vitally important source of liquidity. In this note, we see just how much of an improvement it can offer.

Market Structure

Seizing the Opportunity

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There is no escaping MiFID II. As the regulation becomes clearer and industry consensus forms, every financial firm is working hard to be ready for 3 January 2018. Alongside implementation, myriad discussion papers address the challenges faced in the new world – where can we trade dark? How will we transaction report? How do we reach millisecond clock precision? Yet few focus on the upside for the industry. This level of regulatory upheaval will have far-reaching implications – some positive, some negative – but, whatever the outcome, we know there will be change, and change connotes opportunity. In this paper, we explore how firms can seize the opportunity and turn regulation from a burden to a competitive advantage.