NYSE program trading report

interesting to see that this method typically accounts for a small fraction of their total volume in terms of execution strategies.

proof that the dreaded 'bots' that most et folk spend so much time moaning about and blaming, are really nothing to be worried about (as i have stated a few times here). guess the lack of performance must lie else where then.....


setharb - i believe the difference between the 2 is that one shows transactions for their own books, the other for customers. not 100% on that though. if it interests you, read up on prime brokerage models, buy & sell sides etc.
 
Not really understanding what you are trying to say Fred...
1 Billion shrs/day is a lot of program volume. Bots are taking over a larger percentage of the volume traded in these markets every month.
Seth....agency trading is acting as a true broker for a customer with no interest in market making or risk in P/L. Agency traders get paid by volume. Principals take risk.
 
Quote from tighttrigger:

Not really understanding what you are trying to say Fred...
1 Billion shrs/day is a lot of program volume. Bots are taking over a larger percentage of the volume traded in these markets every month.
Seth....agency trading is acting as a true broker for a customer with no interest in market making or risk in P/L. Agency traders get paid by volume. Principals take risk.
More...

Index Other
Arbitrage Strategies
Morgan Stanley 13.9 819.7
UBS Securities ... 746.2
Lehman Brothers 3.5 519.0
Goldman Sachs 3.3 485.3
Deutsche Bank 109.9 342.9
Merill Lynch ... 359.8
Credit Suisse FB 12.6 326.8
Banc of America 0.4 295.1
RBC Capital Markets 130.4 78.2
Calyon Securities 5.4 173.2
Bear Stearns 14.6 119.1
Nomura Securities 57.1 48.5
Citigroup ... 104.0
Harborview ... 78.7
BNP Paribas ... 72.3
Total for 15
Member Firms 351.1 4,568.4
Total For All
Firms Reporting 448.0 4,785.9


simple - 'other strategies' sees a lot more volume being done over index aeb - aka program trading


2nd thoughts - i can see the confusion. the article says over 50% of volume is via program trading.

my (incorrect??) definition of program trading is arbing the futures and the cash - thats what was ment if someone mentioned program trading 4-3 years ago. clearly the index arb stuff is no way near 50% of total volume.

i guess program trading (ie >50% of the volume) now includes other stuff like automated market making etc.

perhaps some kind volunteer would like to blow the cobwebs from between my ears and tell me if im right or need to pick up with the times. geez. this is making me feel old now!!!


thanks for making me think!!
 
Quote from FredBloggs:


<snip>
my (incorrect??) definition of program trading is arbing the futures and the cash - thats what was ment if someone mentioned program trading 4-3 years ago. clearly the index arb stuff is no way near 50% of total volume.

i guess program trading (ie >50% of the volume) now includes other stuff like automated market making etc.
More...

Okay, I will jump in I guess.

The strict definition of NYSE program trading (something called a program trading report) is any trade that consists of over 15 different stocks, or over $1M in value. That's it. However, around sometime in 2003, NYSE sent out a circular indicating that any "pair-based" trades need to be reported as Program Trades, this sent shivers down the NYSE members. Problem is that nobody wants to be fined for non-compliance, so firms started to over report (the ibank I was at debated to report *every* trade with more than 2 stocks, regardless of amount, as Program Trades), effectively causing program trading percentage to increase dramatically. So much so, that in fact NYSE indicated in 08/2004 that it would start audit the program trading reports as a part of the annual audit, and would fine members if they determined that the members are over reporting. I used to have all the circulars, look them up on NYSE if you care.

So this would explain partially why program trading % are increasing rapidly. It is true that Program Trading is increasing, just not that rapidly, it is an approximate indication that both principal and customers are trading the complex (baskets, pairs, arbs, etc), rather than individual stocks. Stat arb probably consist a lot of the "other arb" strategies, from what I know of the prop desks at ibanks and quant based hedge funds.

However, as NYSE goes full-speed to a full-hybrid model (Jan '06 being the starting date), most of the Specialist business will be run from the upstairs algorithms starting on 2006, and the "$2 brokers" are wondering where their jobs will go after the crowd thins out. The NYSE members see what happened to CME and CBOT pits after Globex and eCBOT (failed ACE, blah, blah), so they know what is coming in 1-2 years.
 
Good point Fred. Portfolio trading (aka program trading a basket of 15 different stocks valued at over 1M) is still not representing the 1 billion shrs a day. In fact over those 5 days reported it was only roughly 500M or 100M a day. Still though, business is growing rapidly for banks in this game. 50 million share orders are not uncommon and the better banks become at taking "risk bids" and making this business become more and more profitable....this volume will increase dramatically. My 2 cents.
 
Interesting...

nitro
Quote from rufus_4000:

Okay, I will jump in I guess.

The strict definition of NYSE program trading (something called a program trading report) is any trade that consists of over 15 different stocks, or over $1M in value. That's it. However, around sometime in 2003, NYSE sent out a circular indicating that any "pair-based" trades need to be reported as Program Trades, this sent shivers down the NYSE members. Problem is that nobody wants to be fined for non-compliance, so firms started to over report (the ibank I was at debated to report *every* trade with more than 2 stocks, regardless of amount, as Program Trades), effectively causing program trading percentage to increase dramatically. So much so, that in fact NYSE indicated in 08/2004 that it would start audit the program trading reports as a part of the annual audit, and would fine members if they determined that the members are over reporting. I used to have all the circulars, look them up on NYSE if you care.

So this would explain partially why program trading % are increasing rapidly. It is true that Program Trading is increasing, just not that rapidly, it is an approximate indication that both principal and customers are trading the complex (baskets, pairs, arbs, etc), rather than individual stocks. Stat arb probably consist a lot of the "other arb" strategies, from what I know of the prop desks at ibanks and quant based hedge funds.

However, as NYSE goes full-speed to a full-hybrid model (Jan '06 being the starting date), most of the Specialist business will be run from the upstairs algorithms starting on 2006, and the "$2 brokers" are wondering where their jobs will go after the crowd thins out. The NYSE members see what happened to CME and CBOT pits after Globex and eCBOT (failed ACE, blah, blah), so they know what is coming in 1-2 years.
More...
 
Program trading has become a buzz word. I agree that it does not mean just arb between cash and futures anymore. It is more like "program assisted trading" now.
 
Quote from SethArb:

slightly over a billion shares a day in late OCT.

whats the diff. again between principal and agency
trading and where does "Liquidnet" fit in to all this ?

www.thebusinessonline.com/DJStory.aspx?DJStoryID=20051103DN014736
More...

NEW YORK -(Dow Jones)-, program trading during Oct. 24-28 amounted to 57.3% of NYSE average daily volume of 1.83 billion shares, or 1.05 billion shares a day.
In all markets, program trading averaged 1.68 billion shares a day during Oct. 24-28.
About 62.2% of program trading during Oct. 24-28 took place on the NYSE, 0.5% in foreign markets and 37.3% in other domestic markets.

This report is only meaningful if it is reported accurately. The above quote “The New York Stock Exchange said that according to data submitted by its member firms” shows that the NYSE recognizes that the Data is inherently suspect as being reported accurately. Although I feel that program trading is increasing, until the guidelines for reporting are refined and the firms report accurately (I question that this will ever happen) we can draw very few meaningful conclusions form the report.
 
You must log in or register to reply here.
Back
Top