News Updates 4 U: activity

Showing posts with label activity. Show all posts

Wednesday, April 24, 2013

Germany Private Sector Output Declines First Time Since November; Eurozone Activity Declines 19th Time in 20 Months

As expected in this corner, the Markit Flash Germany PMI® shows German private sector output declines for first time since November 2012.

Key Points:

Flash Germany Composite Output Index(1) at 48.8 (50.6 in March), 6-month low.

Flash Germany Services Activity Index(2) at 49.2 (50.9 in March), 6-month low.

Flash Germany Manufacturing PMI(3) at 47.9 (49.0 in March), 4-month low.

Flash Germany Manufacturing Output Index(4) at 47.9 (50.0 in March), 4-month low.

PMI vs. GDP

Lower levels of private sector business activity reflected a decrease in new order volumes for the second successive month during April. The overall pace of contraction was the steepest since October 2012, largely driven by a marked decrease in new work received by service providers. Manufacturing new orders dropped at the fastest pace so far this year but, in contrast to the service sector, the rate of new business decline remained slower than on average in 2012. In the manufacturing sector, new export orders declined at the most marked pace so far in 2013, but the rate of contraction was slightly slower than seen for overall new work.

April data suggested a general lack of pressure on operating capacity in the German private sector, as backlogs of work decreased for the twenty-second month running. The current period of declining work-in-hand but not yet completed) is the longest since this series began over 10 years ago.

Eurozone Activity Declines 19th Time in 20 Months

The Markit Flash Eurozone PMI® shows Eurozone suffers ongoing downturn in April.
Key Points:
Flash Eurozone PMI Composite Output Index at 46.5 (46.5 in March).

Flash Eurozone Services PMI Activity Index at 46.6 (46.4 in March). Two-month high.

Flash Eurozone Manufacturing PMI at 46.5 (46.8 in March). Four-month low.

Flash Eurozone Manufacturing PMI Output Index at 46.3 (46.7 in March). Four-month low.

GDP vs. PMI

Summary:

The Markit Eurozone PMI® Composite Output Index was unchanged on March’s reading of 46.5
in April, according to the flash estimate. The sub-50 reading indicated a drop in activity for the nineteenth time in the past 20 months, the exception being a marginal increase in January
2012.

Activity fell sharply again in both manufacturing and services. While the former saw the steepest rate of decline for four months, the latter saw the downturn ease slightly compared with March.

New business fell for the twenty-first successive month, with the rate of deterioration accelerating for the third month in a row to signal the steepest decline since December. Marked falls were seen in both manufacturing and services.

The ongoing deterioration in the order book pipeline prompted firms to cut payroll numbers for the sixteenth month running. The rate of job losses accelerated slightly on March, reflecting stronger rates of job shedding in both manufacturing and services.

Wishin’ and Hopin’

Those wishing and hoping that Germany was going to remain divergent from the rest of the eurozone can now safely toss that notion on the scrapheap of foolish ideas.

As I have been saying, at some point Germany will start a steep acceleration of the overall eurozone recession. That time may be at hand now.

Mike “Mish” Shedlock
http://globaleconomicanalysis.blogspot.com
Mike “Mish” Shedlock is a registered investment advisor representative for SitkaPacific Capital Management. Sitka Pacific is an asset management firm whose goal is strong performance and low volatility, regardless of market direction. Visit http://www.sitkapacific.com/account_management.html to learn more about wealth management and capital preservation strategies of Sitka Pacific.

Mish’s Global Economic Trend Analysis

Germany Private Sector Output Declines First Time Since November; Eurozone Activity Declines 19th Time in 20 Months

Sunday, April 14, 2013

HOT Users In Canadian Equity Markets

The Analytics Group of IIROC performed a Trading Review and Analysis of High Frequency Trading on Canadian equity markets. IIROC uses a methodology to identify user IDs exhibiting high order-to-trade ratios, or HOT User IDs, and covers the period from August 1, 2011 to October 31, 2011. With User ID data provided by the Regulatory feed IIROC determined HOT User ID’s by isolating the actions of placing an order, amending that order, then having the order trade. Canceling an order and sending a new order is isolated against sending an order and amending that order.

Plotting the number of trades against the number of new and amended orders yields:

After using their methodology, HOT User IDs are identified in red with OTHER User IDs in blue:

So just who are these Hot Users? They are:

11% of the User IDs active in the study period;

22% of share volume traded;

32% of dollar value traded;

42% of trades executed; and

94% of new and amended orders.

The HOT Users encompass the group we would expect, those with fast processors, the fastest pipes, and the primary data feeds. This group has been identified using the Regulatory feed account types as either:

DMA (Direct Market Access)

NDMA-IN (Non-DMA Inventory) – Inventory meaning activity related to proprietary trading activity

NDMA-CL (Non-DMA Client)

NDMA-Other (ie) specialist, non-client, options market-maker.

Ploting the order to trade ratio of Hot User IDs by account type yields:

As I highlighted in a post on Floating Path in June of 2012, ETFs are dominated by HFT over all other categories. IIROCs study reached a similar conclusion regarding the level of HFT activity in ETFs. This is another aspect of what is perverted within the current market structure: the derivatives now price the underlyings as it is easier to calculate in rapid fashion, a group of set prices, such as a SPYs constituency, instead of the fundamental analysis required to price the individual companies. This rapid calculation leads to repeated revisions and makes the ETF market more appealing for those looking to execute trades on the predictive power of price movement over the predictive power of a public company’s earnings. The Canadian market is populated in much the same fashion, with the NDMA-Other – specialist, non-client, options market-maker account type having the largest ratio:

Whether measured by volume traded, valued (sic) traded or number of trades executed NDMA-CL and DMA were more active in common shares and NDMA-IN and NDMA-Other were more active in ETF/Ns.

With the individual activity identified, we can now measure the interaction broken down by order types and whom they traded with:

27% of the volume by Retail participants involved interaction with HOT Users, as you’d expected, being the DMAs. As for the dark markets in Canada, HOT Users were responsible for a larger percentage of activity than on the lit markets, 39% vs. 21%:

The paper continues into an analysis of rebates earned, security types, liquidity categories, price bands popularity levels, inter-listed security activity, New and Amended Orders and Order-to-trade ratios, and trading venues. The paper is must read for all those interested in identifying and valuing the activity levels of specific types of participants in equity markets. It is one of the more transparent papers and it draws on input from many of the papers included in R.T. Leuchtkafer bibliography.

(h/t @HaimBodek)

The HOT Study Phases I and II of IIROC’s Study of High Frequency Trading Activity on Canadian Equity Market… by calibrateconfidence