IIROC Study of High Frequency Trading
Funding period: 2014 - 2015
Completed
Abstract
In 2014, the Investment Industry Regulatory Organization of Canada (IIROC), the Canadian self‐regulatory organization that oversees all investment dealers and trading activity on Canada's debt and equity marketplaces, commissioned multiple academic teams to study High Frequency Trading in the Canadian equities market. This project was a collaboration between the University of Toronto and University of Melbourne. It used account level data provided by IIROC to evaluate the impact of new dark liquidity rules on market quality and different investor types. The study showed that the new rules eliminated intermediation of dark orders and shifted retail orders to the lit market with the lowest tra..
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