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Spoofing, Surveillance and Supervision

Jay Biondo, Product Manager - Surveillance at Trading Technologies, co-authored an article along with James Lundy and Nicholas Wendland, both of Drinker Biddle & Reath LLP, reviewing the CFTC's regulations and expanding efforts, 21st century surveillance and supervision, as well as strategic recommendations.

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March 1, 2011

RBC Capital Markets New Offering Designed to Stymie HFT

By John D'Antona Jr.

Also in this article

  • RBC Capital Markets New Offering Designed to Stymie HFT
  • Page 2

RBC Capital Markets is rolling out its first new product since hiring a team of high-frequency experts and staff last year. The payoff is a new smart order-routing technology designed to prevent institutional orders from getting beaten to liquidity by rapid-fire traders.

Kelly Reynolds

The smart order-routing technology, named THOR, is being billed to clients as an anti-gaming technology. The router looks to nullify the time advantage HFTs have over others. It does this by adjusting the routing speed of orders, so that each order in a stock reaches its destination at the same time as the others. The advantage to this strategy, at least on paper, is that multiple executions occur before HFTs are able to cancel their posted orders and run ahead.

THOR is said to be in use in the U.S. and is being beta tested in Canada, according to sources. The product's status could not be confirmed because RBC Capital Markets declined to comment for this story. However, RBC discussed the new product in two general-circulation publications: The Globe and Mail of Toronto and

Order routers work in two ways. First, they can work sequentially--by sending orders first to the trading venue with the best rebate, and so on. They can also "spray orders," as THOR does, by sending orders to multiple exchanges at the same time, regardless of rebate. 

Manoj Narang

Several buyside traders gave the concept a thumbs-up, including Kelly Reynolds, director of trading at Toronto-based Hillsdale Investment Management, which manages $C500 million in equities. Reynolds' desk has been beta testing THOR for two months. So far, she's a believer in the product. "It's real-time latency adjustment for orders," Reynolds said. "For what it does, I am very satisfied."

She said THOR provides an alternative to other brokers that route their orders based on economics--they send orders first to the exchanges or venues with the best rebates and then to others. This type of order routing often gets the attention of HFTs looking for trading patterns. RBC's spray routing product looks to avoid a trading footprint. After all the orders are executed, THOR cancels all of the outstanding bids or offers immediately. 

Using hyper-fast computers and trading strategies, HFTs have long been accused of sniffing out large institutional orders and executing small trades ahead of them.