The Investment Industry Regulatory Organization of Canada (IIROC) is calling for market structure experts to participate in its ongoing research into the impact of high frequency trading (HFT) on Canadian equity markets.

Last year, IIROC published a report spelling out the results of the first two phases of its HFT research, which found that so-called high order-to-trade (HOT) traders accounted for the vast majority of messaging activity (representing 94% of all order messages sent; despite the fact that they represent just 11% of user IDs). They also accounted for 22% of trading volume, 32% of dollar value, 42% of trades.

The next phase of the study aims to more closely examine the effects of their trading on market quality and integrity from multiple perspectives, such as liquidity, price formation, volatility and overall market confidence. IIROC says this will help Canadian and global regulators and market participants better understand the nature and impact of HFT.

For this next phase of the study, IIROC is seeking outside assistance from experts in market structure to supplement its own research assessing the impact of HFT on the integrity and quality of the Canadian equity markets.

In its request for assistance, IIROC says that those interested in participating should submit proposals that outline proposed metrics and methodologies to: measure market quality/integrity; analyze trading behaviour of both HFTs and other investors; examine the impact of market structure changes on HFT; and, analyze the impact of HFT behaviours on market quality and on other market participants.

To facilitate their research, successful candidates will get access to a unique dataset from IIROC that contains all messages received by IIROC from all Canadian equity trading venues in 2012. The data will contain all order messages, quote updates and trades from all trading venues; it will also include private data that is not available via public feeds.

Successful candidates will be required to: complete their work within six months, use the data in the strictest of confidence and only for this research, and allow IIROC the right to review and approve the content and timing of any research publications. In addition to being permitted to publish research resulting from this work, they will be offered grants to help defray costs.

Submissions are due by May 31, and IIROC says that successful candidates will be contacted by July 31.