Will Winzor-Saile

Will joined Redburn in 2015. Prior to this he worked as an Electronic Execution Specialist at Fidessa. Will holds a first-class masters in Maths and Physics from the University of Warwick.
The View from 5th Avenue

The View from 5th Avenue – 7 October 2022

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There was no doubt that today was always going to be about NFPs. With inflation metrics not improving at the rate people want, this critical gauge of the economy has become heavily watched once again. The number came in higher than expected, and with the unemployment rate dropping to 3.5%, the Fed will need to stay the course. These implications sent futures sharply lower, and the markets reacted even more negatively when the implications became flat out statements – Kashkari & Williams both reiterated the hawkish narrative.

Execution Analytics

Under the Hammer

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Here at Redburn labs, we were fascinated to read the LSE’s paper “Lifting the Lid on the Close” which provided some interesting insights into auction behaviour. Since then, we have seen the importance of auctions continue to grow. Despite a lot of existing literature around Auctions, when a single liquidity event accounts for nearly a third of the day’s trading there is always more to be understood.

Execution Analytics (Français)

Sous le marteau

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Chez Redburn Labs, nous avons été fascinés par la lecture de l’article de la LSE intitulé “Lifting the Lid on the Close” qui nous a éclairé sur le comportement des enchères. Dès lors, nous avons vu l’importance des enchères continuer à croître. Malgré une abondante littérature existante sur les enchères, lorsqu’un seul événement de liquidité représente près d’un tiers des transactions de la journée, il y a toujours plus à comprendre.

Execution Analytics

Blurred Lines

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Are tomatoes fruit or vegetable? Is a Jaffa Cake a cake or a biscuit? In 1991, the latter question was finally settled through a court-case; after considering eight different attributes of the snack, it was agreed that Jaffa Cakes are legally cakes, not biscuits. Unfortunately, not all debates end with such a definitive resolution.

In this paper we explore how the role of Electronic Liquidity Providers (ELPs) has changed over time and how the lines between ‘lit’ and ‘dark’, ‘toxic’ and ‘non-toxic’ liquidity are not as clear as they seem.

We show that by carefully managing our interaction with liquidity sources at all levels we can provide high-quality, low-impact liquidity from sources previously perceived as toxic.