Amy Butte, former chief financial officer of the New York Stock Exchange, writes an interesting piece on stock market technical complexity:
And why should the markets not be surprised by the latest evidence of trading running amok, such as the announcement earlier this month by BATS Global Markets Inc. that it made repeated, though minor, money-losing errors executing customer-trade orders? This isn’t all that shocking after Knight Capital Group Inc. (KCG)’s erroneous trades almost bankrupted the company, and Nasdaq OMX Group Inc.’s mishandling of Facebook Inc.’s initial public offering undermined the trust that investors have in the IPO process.
The equation is really quite simple. Increased complexity, client concentration and demands for efficiency have led to something less than near-perfect reliability. Unless the industry is prepared to alter those inputs, we shouldn’t be surprised to see glitches, violations and breakdowns soar in the years ahead.
…
I remember the first software company I worked with. It had limited version control and just kept adding modules and features without a stable code base. The system, as it got bigger, eventually crashed.Complexity also applies to oversight. Each new equity-order type requires new training of regulators and new systems to monitor trading. The proliferation of order types, each designed to fulfill unique investment strategies, introduces additional rules and procedures.
I wonder if she was talking about dBase? From what I understand, the programme was the poster-child for ‘spaghetti code’ by the time it fell from dominance.
It was a mixed day for the Canadian preferred share market, with PerpetualPremiums off 2bp, FixedResets up 17bp and DeemedRetractibles down 4bp. Volatility was average. Volume was very extremely huge.
| HIMIPref™ Preferred Indices These values reflect the December 2008 revision of the HIMIPref™ Indices Values are provisional and are finalized monthly |
|||||||
| Index | Mean Current Yield (at bid) |
Median YTW |
Median Average Trading Value |
Median Mod Dur (YTW) |
Issues | Day’s Perf. | Index Value |
| Ratchet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.2230 % | 2,519.6 |
| FixedFloater | 4.27 % | 3.58 % | 27,640 | 18.20 | 1 | 0.7699 % | 3,809.1 |
| Floater | 2.76 % | 2.97 % | 67,238 | 19.79 | 4 | -0.2230 % | 2,720.5 |
| OpRet | 4.63 % | -1.42 % | 54,169 | 0.36 | 4 | -0.1907 % | 2,593.5 |
| SplitShare | 4.58 % | 4.53 % | 43,704 | 4.31 | 2 | -0.0796 % | 2,907.7 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.1907 % | 2,371.6 |
| Perpetual-Premium | 5.25 % | 0.07 % | 77,476 | 0.11 | 30 | -0.0153 % | 2,347.3 |
| Perpetual-Discount | 4.84 % | 4.87 % | 135,760 | 15.68 | 4 | 0.0101 % | 2,650.3 |
| FixedReset | 4.91 % | 2.78 % | 232,626 | 3.58 | 78 | 0.1701 % | 2,483.7 |
| Deemed-Retractible | 4.88 % | 3.09 % | 122,656 | 0.34 | 45 | -0.0375 % | 2,427.4 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| TRI.PR.B | Floater | -2.01 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-01-22 Maturity Price : 22.71 Evaluated at bid price : 22.95 Bid-YTW : 2.27 % |
| MFC.PR.G | FixedReset | 1.10 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2016-12-19 Maturity Price : 25.00 Evaluated at bid price : 26.71 Bid-YTW : 2.67 % |
| CU.PR.C | FixedReset | 1.32 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2017-06-01 Maturity Price : 25.00 Evaluated at bid price : 26.85 Bid-YTW : 2.36 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| TD.PR.G | FixedReset | 129,760 | Nesbitt crossed 33,000 at 26.25. RBC crossed 85,000 at the same price. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-04-30 Maturity Price : 25.00 Evaluated at bid price : 26.27 Bid-YTW : 2.05 % |
| BNS.PR.Y | FixedReset | 101,302 | Nesbitt crossed 50,000 at 24.70 and 29,600 at 24.72. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.65 Bid-YTW : 3.01 % |
| BAM.PR.R | FixedReset | 59,514 | Nesbitt crossed 25,000 at 26.45; National crossed 25,000 at the same price. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-01-22 Maturity Price : 23.72 Evaluated at bid price : 26.43 Bid-YTW : 3.65 % |
| BAM.PR.X | FixedReset | 57,245 | Scotia bought 14,000 from GMP at 25.19; Nesbitt sold 11,000 to TD and 10,900 to Scotia at the same price. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-01-22 Maturity Price : 23.26 Evaluated at bid price : 25.17 Bid-YTW : 3.39 % |
| BMO.PR.Q | FixedReset | 54,768 | Scotia crossed 40,000 at 25.10. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 25.23 Bid-YTW : 3.12 % |
| NA.PR.L | Deemed-Retractible | 52,953 | Desjardins crossed 25,000 at 25.50 and 22,800 at 25.53. YTW SCENARIO Maturity Type : Call Maturity Date : 2013-02-21 Maturity Price : 25.50 Evaluated at bid price : 25.53 Bid-YTW : -0.48 % |
| There were 76 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| BAM.PR.J | OpRet | Quote: 26.71 – 27.08 Spot Rate : 0.3700 Average : 0.2512 YTW SCENARIO |
| GWO.PR.G | Deemed-Retractible | Quote: 25.21 – 25.48 Spot Rate : 0.2700 Average : 0.1686 YTW SCENARIO |
| MFC.PR.I | FixedReset | Quote: 26.41 – 26.71 Spot Rate : 0.3000 Average : 0.1987 YTW SCENARIO |
| PWF.PR.O | Perpetual-Premium | Quote: 26.49 – 26.85 Spot Rate : 0.3600 Average : 0.2654 YTW SCENARIO |
| IGM.PR.B | Perpetual-Premium | Quote: 27.01 – 27.27 Spot Rate : 0.2600 Average : 0.1890 YTW SCENARIO |
| MFC.PR.H | FixedReset | Quote: 26.52 – 26.80 Spot Rate : 0.2800 Average : 0.2142 YTW SCENARIO |
[…] mentioned complexity of computer systems on January 22 – here’s another example: Computer Sciences Corp. (CSC)’s performance on a failed $1 […]