2014 - Q2 EDITION Traders’ Guide to Global Equity Markets William Capuzzi, Sarah Poulette, and Pamela Cheng CONTACT 24-Hour Electronic Execution Desk Sales Trading INFORMATION 1 877 227 6848 (US) 1 212 468 7600 44 20 7070 0130 (Europe) [email protected] [email protected] Operations Electronic Sales Desk 1 407 608 1900 1. 212 468 7646 (US) [email protected] 44 20 7070 0150 (Europe) [email protected] Global Portfolio and ETF Execution Sales and Execution Desks 1 212 468 7670 (US) 44 20 7070 0160 (London) [email protected] www.convergex.com Global Trading Markets COUNTRY CODE EXCHANGE COUNTRY CODE EXCHANGE Australia AU Australian Stock Exchange Lithuania LH Vilnius Stock Exchange Austria AV Vienna Stock Exchange Luxembourg LX Luxembourg Stock Exchange Bahrain BI Bahrian Stock Exchange Macedonia MS Macedonian Stock Exchange Bangladesh BD Dhaka Stock Exchange Malaysia MK Kuala Lumpur Stock Exchange Belgium BB Brussels Stock Exchange Mauritius MP Mauritius Stock Exchange Botswana BG Botswana Stock Exchange Mexico MM Mexican Stock Exchange Brazil BS Sao Paulo Stock Exchange Morocco MC Casablanca Stock Exchange Bulgaria BU Bulgarian Stock Exchange (MTF) EB BATS Trading Europe Canada CF Canada National Stock Exchange (MTF) IX BATS CHI-X Europe Canada CT/CN Toronto Stock Exchange (MTF) TQ Turquoise Canada CV TSE Venture Namibia NW Namibian Stock Exchange Chile CI Chile Composite Netherlands NA Amsterdam Stock Exchange Chile CC Santiago Stock Exchange New Zealand NZ New Zealand Stock Exchange China CG Shanghai Stock Exchange Nigeria NL Nigerian Stock Exchange China CS Shenzhen Stock Exchange Norway NO Oslo Stock Exchange Colombia CX Colombian Stock Exchange Oman OM Muscat Stock Exchange Croatia CZ Zagreb Stock Exchange Pakistan PK Karachi Stock Exchange Cyprus CY Cyprus Stock Exchange Peru PE Lima Stock Exchange Czech Republic CP Prague Stock Exchange Philippines PM Phillipine Stock Exchange Denmark DC Copenhagen Stock Exchange Poland PW Warsaw Stock Exchange Egypt EC Egyptian Exchange Portugal PL Lisbon Stock Exchange Estonia ET Tallinn Stock Exchange Qatar QD Qatar Exchange Finland FH Helsinki Stock Exchange Romania RO Bucharest Stock Exchange France FP Paris Stock Exchange Russia RM Moscow Stock Exchange France NM Paris Stock Exchange New Mkt Russia RU Russian Trading System Germany GY Frankfurt Stock Exchange Serbia SG Belgrade Stock Exchange Germany NY Xetra Neuer Market Singapore SP Singapore Stock Exchange Ghana GN Ghana Stock Exchange Slovenia SV Ljubljana Stock Exchange Greece GA Athens Stock Exchange South Africa SJ Johannesburg Stock Exchange Hong Kong HK Hong Kong Stock Exchange South Korea KS Korea Composite Hungary HB Budapest Stock Exchange South Korea KP Korea Stock Exchange Iceland IL Icelandic Stock Exchange South Korea KQ KOSDAQ India IB Bombay Stock Exchange Spain SM Madrid Stock Exchange India IS National Stock Exchange India Sri Lanka SL Colombo Stock Exchange Indonesia IJ Indonesia Stock Exchange Sweden SS Stockholm Stock Exchange Ireland ID Irish Stock Exchange Switzerland SW SIX Swiss Exchange Israel IT Tel Aviv Stock Exchange Switzerland VX SIX Swiss Exchange Italy IM Milan Stock Exchange Taiwan TT Taiwan Stock Exchange Italy NI Milan NI Stock Exchange Tanzania TZ Dar es Salaam Stock Exchange Japan JQ JASDAQ Stock Exchange Thailand TB Thailand Stock Exchange Japan JX Hercules Stock Exchange Tunisia TU Tunis Stock Exchange Japan JN Nagoya Stock Exchange Turkey TI Istanbul Stock Exchange Japan JO Osaka Stock Exchange Ukraine UZ Ukraine Composite Japan JT Tokyo Stock Exchange United Arab DH Abu Dhabi Securities Market Jordan JR Amman Stock Exchange Emirates DU Dubai Stock Exchange Kazakhstan KZ Kazakhstan Stock Exchange United Kingdom LN London Stock Exchange Kenya KN Nairobi Stock Exchange United Kingdom LI London International Order Book Kuwait KK Kuwait Stock Exchange United States US NYSE/NASDAQ Latvia LR Riga Stock Exchange Vietnam VM Ho Chi Minh Stock Exchange Lebanon LB Beirut Stock Exchange ConvergEx algorithmic trading markets are in orange. Additional ConvergEx DMA trading markets are blue. Welcome Welcome back to the 2014 Q2 Traders’ Guide to Global Equity Markets. With the Traders’ Guide, we continuously strive to provide trading-relevant information to help make traders’ lives easier, and this edition is no exception. Today’s successful global trader needs to stay on top of what’s happening in the emerging global markets, so we work hard to keep the information in our Exchange Guides section up-to-date. To that end, we’ve done some research and added Turkey’s Borsa Istanbul to our listings. William Capuzzi As you know, there can be some minefields in the trading world, President & CEO so in our Trading Minefields section, we endeavor to provide the G-Trade Services, LLC information you need to avoid them. One challenge that has sur- ConvergEx Group faced recently for some traders is understanding how tick sizes can affect their orders. In response, we’ve added a “Tick Size” chapter on page 17 that attempts to explain how to interpret price and tick size rules. At ConvergEx we always aim to help traders find the information and solutions they need to optimize their trading. A recent example of this was the work our sales trading team did for a client that had historically used the same trading strategy for all of their orders. After an extensive analysis of this client’s trade data we found that the client had chosen the same algorithm for all of their trades. The algorithm they had chosen was perfect for their buys and sells, but we felt a switch to a different algorithm for their short sells could potentially save them a significant amount of money during the course of the year. The client made this adjustment and we were quickly able to see the savings. We’re always happy to help. With that in mind, feel free to contact us if you have any questions or comments—about this guide or any other matter. We at ConvergEx wish you a happy Q2, and happy trading. 1 Table of Contents Welcome ....................................................................................1 Table of Contents .......................................................................2 Trading Minefields DMA Order Types ...................................................................................3 Opening Auction .....................................................................................7 Closing Auction .....................................................................................10 Board Lots .............................................................................................12 Circuit Breakers .....................................................................................15 Tick Size .................................................................................................17 Dark Pools .............................................................................................20 Dark Liquidity in Europe ........................................................................23 Dark Liquidity in the Asia-Pacific Region ..............................................26 Auto Volume ..........................................................................................27 TCA Benchmarks ...................................................................................31 Retrospective and Real-Time Uses of TCA ...........................................34 Transparency ..........................................................................................40 Algos for Quantitative Trading Shops ...................................................44 Optimal Trading Tactics .........................................................................46 Trading in Consolidated Markets ..........................................................48 ADR Conversion Trading .......................................................................50 Trading Illiquid ETFs in Size ...................................................................52 Clearing and Settlement .......................................................................54 Social Media and Trading ......................................................................58 Mini Minefields: Lunch Breaks, SQ Days, DST ......................................61 Market Profile Metrics ..............................................................64 Exchange Guides (alphabetical) ................................................76 ConvergEx Algorithms ...........................................................146 AbraxasSM .............................................................................................147 Closing Price ........................................................................................148 Darkest ................................................................................................149 Grey .....................................................................................................150 Initiation Price ......................................................................................151 Inline ....................................................................................................152 IQx® .....................................................................................................153 Momentum ..........................................................................................154 Peg .......................................................................................................155 POV ......................................................................................................157