FCA analyse FIX protocol messaging data to study HFT trading in UK

Industry News 28 Jan 2020

Financial Conduct Authority in the UK (FCA) and University of Chicago have spent years analysing Autumn 2015 FIX protoocl messaging data of FTSE 350 stocks listed on London Stock Exchange (LSE), and come up with hard numbers showing the size of pie at stake for High Frequency Trading (HFT).

There are some interesting findings from the study, e.g.:

• HFT trading activity accounted for 22% of trading volume of FTSE 350 stocks
• Only 6 HFT shops were winners or 2nd runner-up in 80% of HFT races
• Winner beats the first loser usually by 5 to 10 microseconds (in 2015)
• Averarge race is usually worth a bit more than half a tick (about £2)
• Ratio of daily race profits to daily trading volume is 0.42 basis points (0.0042%)
• Total sum at stake in UK equity market is £60 million a year, and globaly $5 billion per year (in 2015)

Full article is located at FCA website here. There is also detailed paper and an appendix of the study located here.

 

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