We’ve just posted an update in our series tracking trading patterns around the 4pm London WM/Reuters Fix, available at pragmatrading.com/research.

The simple momentum pattern as we summarized it last summer has essentially disappeared on normal days, but the overall pattern of trading around the Fix has remained consistent. Deriving benefit from the pattern has become more challenging and less rewarding, and the details of the pattern will no doubt continue to evolve as market participants change their trading behavior.

At a higher level, our overall diagnosis remains consistent. In treating the WM/Reuters Fix as an actionable trading benchmark, the buy-side is forcing too much liquidity demand into too short a window of time.