The graph below shows how the median liquidity at touch profile for China Mobile Ltd (941:HK) at HKEX changes throughout the trading day on the lit book. Touch liquidity builds up following the opening auction, stabilizes ahead of the lunchbreak and then builds up again prior to the closing auction. It is essential that a […]
Liquidity Capture is an essential part of Best Execution Algos, in order to minimize slippage and reduce information leakage. Whilst the seasonality of volumes profile are well known, there are several other liquidity metrics that need to be modeled throughout the trading day. The graph below shows the median 'at touch' liquidity profile for AZN […]
Itarle continues to invest in Hong Kong and is delighted to announce its sponsorship of three monetary PhD awards at the Chinese University of Hong Kong (CUHK). The Faculty of Business Administration, Faculty of Engineering and Faculty of Science each have an award for the Student with outstanding performance in their thesis. An internship at […]
As CME SOFR futures become increasingly active, we look at how the daily volume profiles evolve for the 1M and 3M CME SOFR contracts. It would be natural to assume they will be statistically similar. However, APAC and EU market hours have a clear stronger interest in the 3M contract than the 1M contract. The […]
