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December 2, 2013

Canada Focuses on HFT

By By Peter Chapman

The Investment Industry Regulatory Organization of Canada is gathering and analyzing data to determine the impact of high-frequency trading on the Canadian stock market. The goal is to compile a body of data solely attributable to HFT and then release it to academics for further study, accpording to Deanna Dobrowsky, a vice president in IIROC's market regulation policy department.

"We will take a look at HFT trading to see how it impacts market quality," Dobrowsky said at a recent conference in New York sponsored by Baruch College. "Right now, we are trying to refine the data to produce an HFT group." Guiding the regulator's research are industry order-to-trade ratios. HFT is associated with high order-to-trade ratios, as firms tend to generate a huge amount of quotes, or orders, but a relatively small number of trades. Canada's regulators are concerned that excessively high ratios could harm market quality.

 

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