Execution Analytics

Blurred Lines

Posted on

Are tomatoes fruit or vegetable? Is a Jaffa Cake a cake or a biscuit? In 1991, the latter question was finally settled through a court-case; after considering eight different attributes of the snack, it was agreed that Jaffa Cakes are legally cakes, not biscuits. Unfortunately, not all debates end with such a definitive resolution.

In this paper we explore how the role of Electronic Liquidity Providers (ELPs) has changed over time and how the lines between ‘lit’ and ‘dark’, ‘toxic’ and ‘non-toxic’ liquidity are not as clear as they seem.

We show that by carefully managing our interaction with liquidity sources at all levels we can provide high-quality, low-impact liquidity from sources previously perceived as toxic.

View from 5th Avenue

The View at Two – 3rd June 2020

Posted on

ROM THE DESK

We Meet Again… – Hello 3100 S&P! Nice to see you again. I want to say it’s been a while, but it really hasn’t been that long has it??!! Well you know what they say time flies in a global pandemic and ongoing period of social and civil unrest! Tell 3200 I said hello and hope to see it soon too. The prospect of seeing actual friends continues to drive the market higher, as the reopening/positive linearity narrative continues. Add in underweight positioning, FOMO/TINA/CASH (not an acronym) and the desperate search for yield, nothing is getting in the way of this market. Dunkin Donuts (DNKN +2.8%) revealing better MoM comps (ongoing theme for restaurants) and Microchip (MCHP +11.7%) pushing the semis after it not only reveals guidance, but raises it! What a novel concept. The value/cyclical theme has the bull by the horns today though but no clear trend change just yet.

Two Fifteen

Two Fifteen – 3rd June 2020

Posted on

The bullish trend continues and encouragingly, we are seeing more indices approaching their 200dma levels every day (with the DAX and EuroStoxx smalls joining the list of those breaking above today). In the US, we had the S&P making another 3-month high last night, we saw further improvement across Asia this morning and EU equites extended the rebound after having their best day in two weeks yesterday. Volumes have been decent since the open, which suggests once again where the conviction stands. Cyclicals keep outperforming with Autos (supported by Chinese data this morning) and Banks (regardless of Bailey’s warning over a no-deal Brexit) leading the way and Healthcare amongst the losers.

View from 5th Avenue

The View at Two – 2nd June 2020

Posted on

Like the US Postal Service Motto… Neither snow, nor rain, nor COVID, nor China tension, nor riots in the streets will stop this equity rebound from continuing on (or something like that). Rotation is back in play once again, with Autos, Energy, and Transports leading, while FANG weakness has kept the NDQ a from making another leap toward a new ATH (for now). The narrative of the market ignoring the bad to focus on the good is becoming repetitive, but it seems two old-favorite acronyms are now back in style and being mentioned more and more as driving forces behind the market’s rise

Two Fifteen

Two Fifteen – 2nd June 2020

Posted on

Another day in the green regardless of the US/China tensions and protests in the US. The S&P had its 5th up Monday in a row overnight (making a 3 month closing high), Asia had a decent session this morning (with the Topix and SHCOMP trading above their 200d averages for the first time since Feb/ March accordingly) and EU equities are not trading any differently. The FTSE MIB once again confirmed the up-trend in the region as we saw it going through the key resistance level that our charts team has been flagging for a while(18600). Big gap to fill now but next resistance targets 20000 (7.5% higher). Volumes picked up after having a quiet day yesterday and all indices are trading well above their 20d AVATs. The focus will now be the ECB meeting and any news on the next OPEC meeting (Brent crude 39.1, a move above 40 could target 50).

View from 5th Avenue

The View at Two – 1st June 2020

Posted on

Logistics Need Not Apply…Stocks have made their choice and they choose hope (today). US manufacturing rising for the first time in 4 months certainly helps. As does the unprecedented levels of Fed stimulus, record low bond yields and the largest S&P tech names benefitting from the effects of COVID (FANG +1.4% today, Pharma -1.4% on disappointing Gilead remdesivir results). However, stocks are going to face a multitude of uncertainty into the back half of 2020. Sadly, the worst outbreak of social unrest in decades will be one major factor. Quarantine may have loosened a bit, but new curfews are being imposed and the Nation’s Guard is required to stand watch with Trump urging “domination” of protestors. Further, The US election could be frightfully racially charged. Also, the aforementioned protests could very well spark the second wave of coronavirus. Let’s put it this way— The US was already being tested by its first impeachment since 1998, the worst pandemic since 1918 and the toughest economic conditions since the Great Depression (CNN). Now, social unrest is added to that list. And we haven’t even touched China.

Two Fifteen

Two Fifteen – 1st June 2020

Posted on

The new month has started more with a whimper than a bang given several European markets are closed due to the Whit Monday holiday. Of those markets that are open, volumes are down hard versus the 20d AVAT, though are managing gains. Looking at the SXXP sectors, all are currently in the green with Travel & Leisure and Banks leading the way. With Friday’s month end and subsequent profit-taking now in the rear-view mirror, the Airlines and Tui resumed their rally. Cyclicals are generally outperforming Defensives today, while in the US, the protests over the weekend has had little impact on US Futures, which are currently trading flat, despite the possibility of store closures in some major cities.