ASX Equity Trading Strategy
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1 ASX Equity Trading Strategy Richard Murphy, ASX SAA May 2011
2 Agenda 1. Global Trends Playing out in Australia 2. Regulatory Reform 3. ASX Equity Trading Strategy 4. Access & Connectivity Strategy and beyond
3 Evolution of Electronic Trading Source: Deutsche Bank
4 Australian Equities Cash Markets Average Daily Value and Volume $8,000,000,000 $7,000,000,000 $6,000,000,000 $ value / number of shares $5,000,000,000 $4,000,000,000 $3,000,000,000 $2,000,000,000 $1,000,000,000 $- Jan-04 Jul-04 Jan-05 Jul-05 Jan-06 Jul-06 Jan-07 Jul-07 Jan-08 Jul-08 Jan-09 Jul-09 Jan-10 Jul-10 Jan-11 Average Daily $Value Average Daily Volume
5 Spread Trend large caps % Bid Ask Spread 0.60% 0.50% 0.40% % spread 0.30% 0.20% 0.10% 0.00% Jun-09 Sep-09 Dec-09 Mar-10 Jun-10 Sep-10 Dec-10 Mar-11 S&P/ASX200 S&P/ASX100 S&P/ASX50 S&P/ASX20
6 DMA/Algo - average trade size 16 Number of trades and average trade size $36, $32, $28,000 $24,000 $20,000 $16,000 2 $12,000 0 Jan-06 Jul-06 Jan-07 Jul-07 Jan-08 Jul-08 Jan-09 Jul-09 Jan-10 Jul-10 Jan-11 $8,000 Trade Count, m Average Trade Size
7 One Size Fits All Market Structure No Longer Works Traditional Block Traders - Market impact minimisation - Volume discovery - Anonymity - Volume v. time priority - Exclusions for size - Reserve/hidden orders - On & off market execution - Large orders/trades Retail & Other Traditional Investors - Lit markets - Fair access - Fair pricing - Fair execution priority - Full functionality - Choice of products - Choice of execution Hi Frequency Traders - Lit markets - Low latency - 100% price-time priority - Best execution rules - Exchange Pricing - No hidden orders - All on-market - Small orders/trades Dark Books Traditional CLOBs Pure CLOBs Where To For Exchanges?
8 Regulatory Reforms - MIRs Best execution Broker obligations Retail v. institutional Pre-Trade Transparency Dark books, hidden order rules Crossing rules Post-Trade Transparency Exchange Cooperation Volatility Controls Multi-Market settings Market Hours Tick sizes
9 ASX Equity Trading Strategy ASX Trade TradeMatch PureMatch New Trade Functionality Infiniband (faster messaging) ITCH (faster data) Oct 11 OUCH (faster order entry) Q1 12 ASX Net ASX Co-Lo Australian Liquidity Centre
10 Centre Point Price Improvement In 2011, 5.1% of TLS (by value) has been traded via CentrePoint and CP Crossings Study available in the ASX Trade section of asx.com.au
11 $65 billion of liquidity routed to VolumeMatch
12 ASX Trade November 2010 ASX Trade (Genium I-NET based) 5m trades (ITS: 2m) 500m orders (ITS: 100m) 300µs Latency (ITS: 2-5ms) ASX Trade enables multiple trade execution facilities TradeMatch PureMatch VolumeMatch & New Order Types
13 ASX Trade TradeMatch - Nov 2010 Main execution venue 2,000+ Equities, 25,000+ ETOs, 3,500+ Warrants 50+ ETFs Full range of functionality All new order types No change to key market settings ASX Trade performance is a journey - not a destination Infiniband, ITCH, OUCH Faster messaging, data and order entry
14 ASX Trade PureMatch - Nov 2011 Same platform - ASX Trade ASX 300 securities, plus liquid ETFs Different pricing model - target HFT Lit order execution service No auctions No crossings No hidden orders No contingent orders Two lit services in top 300 stocks Both in the ASX Australian Liquidity Centre Lowest latency possible between two trade facilities
15 ASX Net ASX Net Dark fibre network Functionality Distributed access to ASX Fully managed by ASX ASX Trade & ASX Trade 24 Market data, settlement, test beds, other 3 rd party services (July 2011) Performance Much greater capacity (2 meg to 100meg initially) (ASX Trade + ASX Net) in Sydney now faster access than (ITS + Co-Lo) in x faster than NiPPA
16 ASX Best ASX Best Trader Workstation - fundamental upgrade Partner with an internationally recognised vendor Experienced in smart routing solutions Functionality Multi-market routing Smart Order Routing Integration capability OMS, risk, etc DMA Client access Broker compliance with Best Ex Competitively priced Commence roll out - end 2011
17 ASX CoLo - Australian Liquidity Centre Australian Liquidity Centre Phase I - Nov ASX Trade only Phase II - Nov ASX Trade & ASX Trade 24 Site at Gore Hill construction phase complete Liquidity Access TradeMatch, PureMatch, VolumeMatch, ASX 24 Separate services Hosting Liquidity Access Community Access Technology Services Aimed at the whole financial market community Features Sufficient rack space, 6kw power Access, Security, Service
18 2012 & Beyond Trade execution functionality an ongoing evolution 2012 & 2013 Market Structure ex-s&p/asx 300 Trading market structure Listing environment Support services Foreshadowing ASX Trade Releases Mandatory Releases - Apr, Oct Voluntary Releases
19
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