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The Investment Industry Regulatory Organization of Canada (IIROC) today announced it will host a public forum on high frequency trading (HFT) on October 19, 2015, in collaboration with the Capital Markets Institute at the Rotman School of Management, University of Toronto.
The forum will feature authors of the academic papers produced for IIROC, including the fifth and final paperalso published today, as part of its comprehensive study on the impact of HFT and related activity on Canadian equity markets. IIROC's analytics team will also present its paper on the impact of the dark rule amendments introduced in 2012.
"This forum will provide an opportunity for the authors, market participants, regulators and other stakeholders to engage in a robust, thought-provoking dialogue about their findings and emerging themes," said IIROC President and CEO Andrew Kriegler. "It is important to discuss how our markets are evolving, as well as the challenges and opportunities for Canada to build on our reputation for sound, well-regulated capital markets."
Interested stakeholders can learn about the forum and register at:http://www.rotman.utoronto.ca/ProfessionalDevelopment/Events/UpcomingEvents/20151019IIROC-CMI.aspx. This event will be open to media, who are asked to contact IIROC directly if iterested in attending the event.
The fifth academic paper, "Liquidity Provision and Market Making by HFTs", co-authored by Katya Malinovaand Andreas Park, examines the market-making behaviour of high frequency traders. It describes how high frequency market makers submit quotes relative to posted prices and analyzes how they react to trades. This paper has been published as received and without editorial comment.
In December 2014, IIROC published academic papers prepared by three of the four academic teams. IIROC published the first academic paper from the fourth team in March 2015.
IIROC will review and discuss all of the papers internally, and with other regulators and key stakeholders, before determining what, if any, regulatory response may be required in light of the findings.
The impact analysis is the third phase of IIROC's HFT Study. It follows the publication of the first two phases of the study in December 2012, which objectively identified a study group of traders and offered a detailed, statistical analysis of their activity.
IIROC's HFT Study will complement other initiatives already adopted by IIROC to govern high frequency and algorithmic trading. In particular, in 2013 IIROC issued guidance on manipulative and deceptive trading. Surveillance alerts have been implemented and IIROC is actively monitoring to detect these rule violations.
For more background information on IIROC's three-part HFT Study, click here.
IIROC is the national self-regulatory organization which oversees all investment dealers and trading activity on debt and equity marketplaces in Canada. Created in 2008 through the consolidation of the Investment Dealers Association of Canada and Market Regulation Services Inc., IIROC sets high quality regulatory and investment industry standards, protects investors and strengthens market integrity while maintaining efficient and competitive capital markets.
IIROC carries out its regulatory responsibilities by creating and enforcing rules regarding the proficiency, business and financial conduct of dealer firms and their registered employees and through the creation and enforcement of market integrity rules regarding trading activity on Canadian marketplaces.
