The Investment Industry Regulatory Organization of Canada has published the first of two academic papers from the fourth academic team chosen to assess the impact of high-frequency trading and related activity on Canadian equity markets, as part of the final phase of IIROC’s comprehensive HFT Study.

The paper, “The Impact of the Dark Trading Rules”, co-authored by Andreas Park, Katya Malinova and Carole Comerton-Forde, examines the effects of the introduction in October 2012 of new requirements regarding the execution of dark orders on Canadian securities markets.

The remaining paper from the fourth academic team is expected to be published by the summer of 2015. In December, IIROC published academic papers prepared by three of the four academic teams.

IIROC will review and discuss all of the papers internally, and with other regulators and key stakeholders, before determining what, if any, regulatory response may be required in light of the findings.

An IIROC spokesperson told Markets Media, “We are waiting for the fifth and final academic report and we would be happy to arrange an update after all reports have been completed.”

IIROC is engaged in a multi-year study of high-frequency trading and its impact on markets, using the data that it collects as the self-regulatory organization of Canada’s securities industry.

The impact analysis is the third phase of IIROC’s HFT Study. It follows the publication of the first two phases of the study in December 2012, known as the HOT Study, which identified a study group of traders and offered a detailed, statistical analysis of their activity.

IIROC’s HFT Study will complement other initiatives already adopted by IIROC to govern high frequency and algorithmic trading. In particular, in 2013 IIROC issued guidance on manipulative and deceptive trading.

Since the publication of the HOT Study, IIROC has created a data repository, the Equity Data Warehouse, which enables it to perform detailed monitoring of trends and patterns in the Canadian marketplaces. It has continued to refine the identification of specific groups of participants, looking at individual user attributes (such as order life, inventory management, order types and marker usage, and others) and continues to explore a variety of approaches to defining and measuring market quality and integrity.