As most of you know, the Hong Kong Stock Exchange (HKSE) close price is determined by the median of five nominal prices in the last minute of trading taken at 15-second intervals. To minimise slippage, a lot of the market participants using the Close benchmark try to time their trades at 15 seconds interval causing volume spikes around the snapshots times.
In order to find a solution that caters for the institutional client who trades multiple baskets across multiple brokers a number of problems need to be solved. First and foremost, the industry must to agree on how to measure and calculate each benchmark.
Encouragingly, the first steps towards effective and consistent post trade analysis may have already been taken with the OpenTCA project being driven from Europe by a number of the large sellside firms including Citi that aims to get the industry starting to agree on what a good trade actually means.
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The Trade News - Ben Valentine and Ian Smith - The TRADE Asia, No. 10