Last month, the Investment Industry Regulatory
Organization of Canada published
the first two phases of a study into high-frequency
trading (HFT) in Canadian equity markets. The report,
which provides a statistical analysis of the trading activity
of a study group of traders with relatively high
order-to-trade (HOT) ratios between August 1 and October 31,
2011, is intended to assist regulators in determining the most
appropriate response to the growth of HFT over the last few
years.
Ultimately, the report found that 11% of all traders during
the study period were HOT traders and that this group
accounted for 22% of the total share volume, 32% of
dollar value and 42% of all trades. Among other things, the
study also found that the HOT group, which traded
predominantly in TSX-listed securities trading between $1 and
$5, was responsible for a greater percentage of dark activity
than lit, a large number of orders cancelled in comparison to
trades executed and used the
