Algorithmic Trading Directory - 2009 Edition

A-TeAmGroup
Algorithmic TradingDirectory
April 2009
directory
second edition
sponsored by
The Power of Complex Event Processing in Capital Markets
What trading platform...

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Algorithmic TradingDirectory
Foreword
When we launched the A-Team Algorithmic Trading Directory at last years TradeTech Show in Paris, we set out to demystify a specialist corner of the electronic trading marketplace. A year on, algorithms are no longer the exclusive remit of hedge funds and stat-arb operations. VWAP and TWAP are part of the standard water-cooler vernacular. This year we have grown the number of profiles in the directory, because of, we believe, the overwhelming interest in our inaugural edition, which was picked up by hundreds of market practitioners, distributed in soft copy by several thousand more and, best of all, downloaded by a host of others from sponsor Fidessas Fragmentation Index (FFI) web-site. It was also a regular feature at the Event-Driven Trading eight-city road show run by co-sponsor Dow Jones as it travelled through European and US financial centres. The downturn in the financial markets, and the eventual implementation of MiFID for asset classes other than equities, will increase the emphasis on algorithmic models as firms seek out performance while keeping a close eye on costs. We hope you find this edition interesting and useful. We welcome your comments and would love to hear from you if you think your organization should be among those profiled. Once again, we express gratitude to our sponsors Fidessa, whose support has been invaluable. Andrew Delaney Editor-in-Chief, A-Team Group
An A-TeAmGroup Publication
Published by A-Team Group
A-TeAmGroup
Editor Andrew P. Delaney andrew@a-teamgroup.com Research Assistant George Bailey-Kirby Online Editor Paul Skeldon Design Victoria Wren victoria@whangdoodleland.com Publisher Angela Wilbraham angela@a-teamgroup.com A-Team Group Chief Executive Officer Angela Wilbraham President & Editor-in-Chief Andrew P. Delaney President Americas/Editor at Large Pete Harris Sales Director Martyn Hodges martyn.hodges@a-teamgroup.com Sales Manager Ron Wilbraham ron@a-teamgroup.com Front Office Sales Ben Duckworth ben.duckworth@a-teamgroup.com VP Marketing Jim Willis jim@a-teamgroup.com Marketing Co-ordinator Jeri-Anne McKeon jeri-anne@a-teamgroup.com VP Research James Hartley james.hartley@a-teamgroup.com Editorial and Business Offices 5 Sussex Court 50 Roan Street London SE10 9JT +44-(0)20-8090-2055 info@a-teamgroup.com www.a-teamgroup.com No part of this publication may be reproduced without written permission from A-Team Group Company Number: 04294842 Copyright A-Team Group. 2009. Reproductions or imitations are expressly forbidden without the permission of the publishers.
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contents
Sponsors Foreword ............................................... 6 Profiles....................................................................11 Barclays ...............................................................12 BNP Paribas ........................................................16 BNY Convergex .................................................20 CA Chevreux ......................................................24 Citi........................................................................28 Deutsche Bank ..................................................32 ESP ........................................................................36 Goldman Sachs .................................................40 HSBC ....................................................................46 Instinet ................................................................50 ITG ........................................................................54 JP Morgan ...........................................................58 Knight ..................................................................62 Merrill Lynch ......................................................66 Morgan Stanley .................................................70 Nomura ...............................................................74 Numis Securities...............................................78 NYFIX ..................................................................82 Sanford C Bernstein .........................................86 Socit Generale...............................................90 UBS.......................................................................94 Directory of Services ..........................................99
For online access to the A-Team Algorithmic Trading Directory, go to www.algotradingdirectory.com Services include cross-referenced tables that allow comparisons between sell-side trading model offerings, as well as information on additional suppliers. To receive news updates on developments in algorithmic trading, sign up for A-Teams Electronic Trading service at www.electronic-trading.com A-Team Group www.a-teamgroup.com
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Introduction
Algos move with the times
By Phil Slavin, Head of Sell-side Product Strategy, Fidessa

Nobody would dispute that the world of algorithmic trading has come a long way since the last edition of this directory was published in April 2008. Fragmentation and volatility have been twin drivers for change, alongside overall cost pressures as margins have been squeezed across the board
The types of algos being used, the pace of development and the tools that surround them have all undergone marked changes in the last twelve months, as the trading community comes to terms not only with a new European trading landscape but also with the radically altered global market environment. Without question, fragmentation of liquidity and the volatility brought about by unprecedented economic conditions have had a profound effect on the mainstream benchmark trading models of VWAP and POV. Brokers have responded quickly to the demands of the buy-side who, in turn, have recognised that it is critical to understand the extent to which a brokers models have adapted to the new multi-market structure and the level of sophistication of the smart order router underpinning their market access capabilities. Interestingly, some of the premier sellside firms have been stepping back slightly from their quantitative models and are developing more trader-based models. This is largely in response to the difficulties, in performance terms, of using historically based models when markets fluctuate as dramatically as they have in recent months. As the Fidessa Fragmentation Index (www.fragmentation.fidessa.com) illustrates, Europe now has a thriving multi-market environment. In these circumstances, single-market VWAP is likely to become
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obsolete, since there is no longer a single venue to benchmark price when a stock is heavily fragmented and, without a regulated consolidated tape for the European markets, there is no agreed market VWAP for a stock. Indeed, questions have been raised in the last twelve months regarding the precise nature of a multi-market VWAP and how many versions of it may be required. As a consequence, there has been a marked increase in the use of implementation shortfall which benefits from a more short-term risk profile despite leaving a larger footprint in the market. However, when balanced against the possible cost impact of market movements, these footprints are quickly washed away. While these multi-market developments are significant, we are almost at the point where the law of diminishing returns will apply to the development of mainstream, order-level benchmark algorithms. Most brokers who build their own proprietary models have already spent considerable time and effort on their development and are now at a point where the cost of significant improvements is becoming prohibitive without adding significantly to complexity and the number of parameters. Even where improvements are being made, and new parameters added, these are no longer likely to provide strong differentiation.
Many brokers are now examining different ways to market these models through new channels. We continue to see strong uptake by mid-tier brokers who are white-labelling the offerings from the larger algo specialists, thus avoiding the considerable investment required to start their own algorithm development business. Although providing perhaps the most costeffective means of offering a full service to clients, it is not without its challenges and requires careful consideration. Those brokers who are reliant on the intellectual property of other firms will see a reduction in the value they can add for their own clients and, thus, run the risk of disintermediation. A possible alternative may be for the broker to adopt the workflow of a non-broker algo specialist offering no market access. In this scenario the trading decisions of the model are sent to the market under the originating brokers name and in some cases via their own exchange connectivity. This maintains the brokers market presence, providing a win-win solution. To date, benchmark models and execution models have operated relatively independently. While the former use historic analytics to profile order placement, the latter look at shortterm liquidity trends and real-time price movements. Now commonly grouped under the banner of smart order routing (SOR) algorithms, these execution-style models have flourished in turbulent market conditions where historic performance has proved ineffective. In fact, the demand for benchmark models to be closely coupled with execution-style SOR algorithms is one of the key trends to have materialised in the last twelve months. As a result, more sophisticated models have emerged, offering multi-market execution that optimises trading across all available destinations based on a
consolidated market view. This includes models that aggressively sweep across user-specified execution venues to seek out and execute against hidden and iceberg orders, as well as a new breed of order-book management algorithms designed purely to interact with multiple European MTFs and exchanges. As part of their intelligent approach to liquidity access, these algorithms have multi-asset functionality, the ability to identify instrument fungibility, and an understanding of the hierarchical relationship between multiple execution venues. Although the pressure from the buy-side to take more control over how models operate through customised dialogues embedded into their EMSs has increased for most algorithmic models, it is interesting to note that this has not extended to the parameters for SOR engines. To date, the number of sweeps made is left to the broker to determine, and the venues to be accessed is defaulted to that documented in the brokers best execution policy. Only time will tell whether this will be yet another area of decision making wrestled away from the broker. Perhaps the reason the take-up is still gathering momentum is because brokers are, on the whole, managing to evolve their algorithms more quickly than their clients have developed faith in both the functionality and value of these models. This overall trend in the development of algorithmic trading was subjected to extreme stress testing from the historically high levels of market volatility seen in October 2008, which highlighted a number of further issues. The first of these was that, although there was a discernable increase in the use of algorithms in general, and the majority of these outperformed other forms
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of trading during October and November, that level of performance was not universal, with some doing far better than others. In addition, these dramatic fluctuations exposed the level of understanding at many buy-side firms which had, until that point, been using even the standard algorithms with little appreciation of either their potential or their full functionality. As a result, there was a re-assertion of caution among the buy-side community about their use. Despite these jitters on the buy-side, algorithmic trading survived and, through a new stage of evolution, has begun to flourish again. We are seeing a discernable growth in the availability and use of a more complete set of pre- and post-trade analytics, which now go much further than the numbers being produced in the past. Todays predictive models and analytics can show traders how long an order might be in the market, for example, as well as its possible impact. Using short-term volatility indicators and volatility curves to establish acceptable parameters, they can even inform users on the selection of algorithms. To support this explosion of analytical information, we are also seeing the emergence of strong visualisation techniques that improve the user interface between trader and technology, which allows them to digest vast quantities of key signals faster and makes it easier to identify trends and take action. Visualisation is ineffective without the ability to navigate through the information quickly to the area that requires the most immediate action. Once identified, the ability to interact with the identified order(s) or data set(s) means that specific trading decisions
can be made with pinpoint accuracy. Using visualisation and navigation to apply temporal commands is an effective way to make short-term adjustments to model parameters, and it is supporting technologies like these that are likely to provide significant differentiation among sell-side institutions and reassure their buyside clients as to the efficacy and usability of the more sophisticated algorithmic models. Looking ahead, one of the most significant developments likely in the coming year is the European market adoption of algorithmic switching engines. Currently being pioneered in the US these meta-models can minimise information leakage by switching orders between algorithmic strategies. We will also see the coming of age of dark algos for managing the growing liquidity that is fragmented across the non-displayed venues. We also expect to see the determined growth and up-sell of multi-asset, portfolio and pairsbased algos. This push to greater sophistication will continue throughout 2009. Indeed, there is every reason to believe that the pace of innovation will continue. This time last year we wrote that greater numbers of more complicated algo sets that can handle multiasset orders and baskets across a range of liquidity providers and markets would be competitively advantageous. This has certainly proved to be the case. But looking forward, that differentiation will be found in more than simply the performance of the individual algo. In the future it will be the whole package, user-friendly interface and all, that will distinguish algos and their providers.
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profiles
An A-TeAmGroup Publication page
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Profiles
Barclays
Barclays Capitals BARX, a full suite of execution platforms, initially made its mark among quantitative clients as a reliable, lowlatency and high-volume electronic execution solution. Today, Barclays Capital uses its expertise to build out intelligent cross-asset class algorithmic trading tools as part of an end-to-end electronic trading platform that
includes pre- and post-trade analytics. Barclays Capital provides access to more than 65 equity trading venues globally through various EMS and OMS platforms. These include RealTick, a customisable, global, broker-neutral, multibroker, multi-asset class execution management system that provides traders
Description of Algorithms Escalate Works the order with your choice of benchmark algorithm and dynamically adjusts aggressiveness based on price. LMX Hydra Executes the order in dark venues by intelligently adjusting exposure whenever liquidity is discovered; opportunistically executes on traditional markets to maximize execution rates. Rapid Aggressively executes order any time stock is available within a certain range of the arrival price; posts in dark venues when price moves away from its threshold level. Volatility Trader Executes option orders with a user-specified volatility limit. The user may choose to automatically delta-hedge the option position by trading the underlying stock. Work and Pounce Enhances benchmark algorithms with opportunistic liquidity capture at a user-specified size and spread range for equities and options. Greyhound Pegs the passive side of the order book but executes aggressively if it predicts an adverse movement in the stock price. LMX Custom Custom strategies are tailored algorithms designed to achieve client-specific trading objectives or to handle specific situations. They allow users to customize existing strategies by adding their own contingency rules or to create completely new hybrid strategies from a collection of algorithmic building blocks. SpreadTrader Trades two or more securities in line with a user-specified price target ratio with the ability to control aggression and risk tolerance.
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with electronic trading capabilities, real-time market data, analytical studies and news, which the company acquired through its takeover of the U.S. operations of Lehman Brothers. Barclays Capital has responded to the challenges of MiFID, by providing clients with Smart Router, a customisable smart logic order router that seeks best execution. Clients can decide what is most important for them: price, liquidity, fees or latency. Common Algorithms
Iceberg Peg Target Close Target Strike TWAP VWAP With Volume
While electronic trading is low touch, Barclays Capital places great importance on service for its clients. The BARX electronic sales trading team has extensive business and market knowledge, and offers indepth support to ensure clients get the most out of its range of products and models.
Company Barclays Capital Department/Division Equities Launch Date Not Disclosed Number of Clients Not disclosed Product/Service BARX Website www.barx.com Claimed Feature(s) Multi-product cross-asset trading. A wide global reach with nearly 40 venues in 28 countries covered. BARX Equities has high performance algorithms with a strong track record measured against a broad range of benchmarks. Easy access to route orders from all leading order and execution management systems. Claimed Advantage(s) Extensive algorithmic parameters available on clients desktop Distinctive electronic sales trading and consultative services Extremely stable and robust electronic platform with very low latency Customisable algorithms to meet client-specific needs Special Facilities Smart Order Routing Access to LX dark liquidity pool (US only) Desk Routing Asset Classes Equities Futures Foreign Exchange Options Fixed Income
3 3 3 3 3 3 3
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Profiles
Markets
Australia Austria BATS (Europe & US) Belgium BIDS Brazil Canada Chi-X Chi-X Canada Czech Republic Denmark Finland France Germany Hong Kong Hungary Italy ITGC Japan 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 Mexico NASDAQ OMX Netherlands New Zealand Norway Poland Portugal Pure Trading Singapore South Africa South Korea Spain Sweden Switzerland Taiwan Turquoise United Kingdom United States 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3
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Interfaces
Advent AFA Autex Bloomberg Charles River Eze Castle Ezoms Fidessa FlexTrade GL Trade InfoReach Lava Longview MacGregor Mixit Neovest NYFIX Portware Quick RealTick Reuters Tora TradePipe Trading Screen Triton Xilix 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3
Contact Asia BARX Equities Asia [Electronic Sales Desk] +852 290 32615 Europe BARX Equities Europe [Electronic Sales Desk] +44 20 3134 8256 North America BARX Equities US [Electronic Sales Desk] +1 212 526 1130
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Profiles
BNP Paribas
Global Execution Services (GES) is an integrated offering from BNP Paribas Equities & Derivatives. GES offers global solutions for DMA, Global Portfolio & Algorithmic Trading, Analytics, Quant Modelling and provides clients with access to liquidity from a broad range of execution venues, including its own dark pool.
With key trading centres in London, Paris, New York, Tokyo and Hong Kong, BNP Paribas currently distributes its algorithmic models through several vendors platforms like Bloomberg, Fidessa, GL, Trading screen, Reuters, etc. The bank considers its execution policy supported by robust infrastructure, as the key factors in its ability to
Description of Algorithms Alpha The Alpha algorithm provides equity traders with a proprietary multi factor model, allowing them to benefit from BNP Paribas expertise in quantitative research. This algorithm uses the VWAP algorithm framework, working off an underlying expected volume profile. Most of the value added comes from its use of theoretical fair values updated in real-time throughout the day. BNP Paribas multi factor model estimates dynamically a stocks short term theoretical return, and, thus, its theoretical price. Priority The Priority Algorithm is designed for stocks with large minimum tick sizes. The order books of these stocks tend to be liquid at each tick so maintaining priority is essential. Trading stocks with large minimum tick sizes and, thus, large sizes displayed at each tick, updating limit order placement may not be as important as maintaining priority. This algorithm aims to balance these two factors. Buyback Designed for trading electronically whilst satisfying local regulations, the automated execution process provides consistent performance throughout the buyback. It handles the transactions in accordance with regulations 2003/6/EC in Europe and SEC Rule 10b-18 in the US. Volume Participation The Volume algorithm is designed for traders who want to control their execution pace by targeting a percentage of the market volume. Its goal is to reach a specific market share by placing orders accordingly. Volume Scaler Designed to behave like a dynamic volume participation strategy that monitors and adjusts the volume participation rate as stock price moves above and/or below pre-set threshold expressed in % of deviation versus decision price . page
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provide liquidity to clients, whether from external sources, its own desk, or the BNP Paribas Internal Exchange (BIX) dark pool, which has operated since 2005. Its global activity generates large volumes of flow which accounts for significant market share on Euronext, the London Stock Exchange, Deutsche Boerse, New York Stock Exchange and other U.S. and Asian markets. BNP Paribas algorithms evolved from its aggressive portfolio trading activities and subsequent basket trading operations. The bank developed a highperformance, low-latency direct market access (DMA) platform to accommodate these initiatives, and soon after, clients began Common Algorithms
Implementation Shortfall Paris TWAP VWAP
requesting trading models to take advantage of the infrastructure. BNP Paribas offers a number of algorithms, including well known benchmarks such as VWAP, Implementation Shortfall, Dynamic Volume Strategy and others. Algorithms are developed using a testing platform that allows replay in the markets and backtest models to assess performance under certain conditions. The bank also measures the performance of its algorithms on a posttrade basis and provides tailored reports back to clients.
Company BNP Paribas Department/Division Global Execution Services (GES) Launch Date 2003 Number of Clients Not disclosed Product/Service Global Execution AlgoRithm (GEAR) Website https://eqd.bnpparibas.com Claimed Feature(s) Improved anonymity to lower human trading intervention Low trading and clearing costs Execution transparency, with real time monitoring of each execution within the trading period Flexibility, with the investor deciding when and how to trade under specific parameters Strong Best execution policies with fully available audit trail Dedicated advisory and support desk Low market impact and consistency in trading process Optimized trading costs through the use of Smart Order Routers and BIX (internal crossing network) Claimed Advantage(s) Efficient pre and post trade analysis tools, with comprehensive analytics and quant modelling. Significant market share on most worldwide exchanges Robust infrastructure and strong best execution policy. Leading provider of global portfolio trading services Special Facilities DMA Smart Order Routing Internal Dark Pool Asset Classes Equities
3 3 3 3
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2009 Sybase, Inc. Unpublished rights reserved under U.S. copyright laws. Sybase, RAP The Trading Edition and the Sybase logo are trademarks of Sybase, Inc. or its subsidiaries. All other trademarks are properties of their respective owners. Indicates registration in the United States of America. Specifications are subject to change without notice.
Markets
Australia Austria Belgium Brazil Canada China Denmark Finland France Germany Greece Hong Kong Hungary India Indonesia Ireland Italy ITGC Japan 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 Malaysia Mexico Netherlands New Zealand Norway Pakistan Philippines Portugal Pure Trading Singapore South Korea Spain Sri Lanka Sweden Switzerland Taiwan Thailand United Kingdom United States 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3
Contact Asia GEAR Sales Desk, Hong Kong +852 2825 1094 GEAR Sales Desk, Tokyo +81 3 52 90 8557 Europe Alexandra Foster [Head of GES Sales, UK] +44 (0) 20 7595 8348 GEAR Sales Desk, London +44 (0) 20 7595 8348 GEAR Sales Desk, Paris +33 1 40 14 52 69 Stephane Balouka [Global Execution Services, Portfolio & Algorithmic Trading] +33 1 40 14 52 69 stephane.balouka@bnpparibas.com North America GEAR Sales Desk, New York +1 212 841 2606
Interfaces
Bloomberg BNY ConvergEx Eze OMS Charles River Citi Lava Trading ESP Eze Castle Fidessa GL Trade Goldman Sachs Redi Plus ITG LSE NYFIX REDI Reuters TAL RealTick TradeWare Trading Screen An A-TeAmGroup Publication 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3
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Profiles
BNY ConvergEx
BNY ConvergEx focuses on liquidity and execution management within electronic trading in general
and algorithmic trading specifically as an agency brokerage and technology firm. With interfaces to more
Description of Algorithms ADR Plus Optimally source liquidity for ADR trades in both the overseas and US markets by dynamically monitoring liquidity and price. Provide clients with access to deeper liquidity pools and the ability to execute overseas without having to manage the ADR conversion process. Angler Works small, user-defined portions of large options orders in the market to avoid negatively impacting the bid-ask spread while concealing the balance of the order. Can be worked on one or across all exchanges. ConvergEx Cross Sends resting orders to ConvergEx Cross. Lets user specify minimum cross quantity. Provides an option for clean up trade after successful cross as well as open market trading. Initiation Price Aims to minimize movement away from the initiation/arrival price. User indicates market impact tolerance by specifying target participation rate. However, since completion is guaranteed, the algorithm may exceed the implied aggression level. IQx Intelligent order type that aims to complete the order within 15 mins, but aims to improve upon the performance achieved by a simple market order. Pilot Dynamically adjusts options orders based on user defined delta and gamma parameters. Can utilize any existing options order types to work as fully displayed, partially displayed (Angler), or concealed (Shark), on one or all exchanges. Piranha Locates and targets options liquidity across exchanges and aggressively persists orders to take available liquidity while avoiding the linkage mechanism. Reserve Intelligently routes a portion of the parent order to the marketplace and continuously refreshes as child orders are filled. Scaling Scales rate of trading up/down based on user defined price movement thresholds and participation rates. Shark Stealth algorithm to conceal options orders from the marketplace while working across one or all exchanges. Aggressively takes orders at target price while remaining concealed. Volare Dynamically adjusts options orders based on user defined implied volatility parameters. Can utilize any existing options order types to work as fully displayed, partially displayed (Angler), or concealed (Shark), on one or all exchanges. Dark Probe Anonymously pings multiple Alternative Trading Systems for liquidity with user controlled persistence. page
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than 90 global markets (50 available for algorithmic trading), it provides a variety of services across asset classes, including equities, options, derivatives, fixed income and OTC instruments. These range from algorithms for execution to BNY ConvergExs own dark pool (VortEx), optimisation tools for decision making
(IQx), strategies for options, and customized services. Although the group has specific components focused on U.S. vs. Europe vs. other markets, it also provides a worldwide capability. BNY ConvergEx has developed its core algorithms from the ground up focusing on
Company BNY ConvergEx Group Department/Division Global Trading Launch Date 2006 Number of Clients Not disclosed Product/Service Execution Solutions Website www.bnyconvergex.com Claimed Feature(s) Dynamic order rebalancing in advanced DMA tools Provide clients with customized algos on request Improve performance Innovative execution strategies Claimed Advantage(s) I Would feature Special features in algos Dynamic order rebalancing in advanced DMA tools Provide clients with customized algos on request Multi-asset class trading in over 100 markets; agency model Special Facilities VortEx (dark pool) IQx (intelligent execution logic) Sonic (Equities EMS) DerivatEx (US options EMS) PerformEx (transaction/performance analysis) TactEx (advanced DMA order types) ConvergEx Cross (crossing network) ConvergEx Suite of Advanced Algorithms Asset Classes Fixed Income Equities 8 Options ADRs/GDRs
Common Algorithms
Closing Price Peg Per cent of Volume TWAP VWAP 3 3 3 3 3
Markets
Australia Austria Belgium Brazil Canada Cyprus Czech Republic Denmark Finland France Germany Greece Hong Kong Hungary India Ireland Israel Italy 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 Japan Latvia Malaysia Mexico Netherlands New Zealand Norway Portugal Singapore South Africa South Korea Spain Sweden Switzerland Thailand Turkey United Kingdom United States 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3
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Profiles
global applicability, rather than developing an algorithm for a particular region and adapting it to other markets. The firm cites such nuances as opening and closing functions, but also how coffee breaks affect local trading patterns. BNY ConvergEx provides a range of typical algorithms VWAP, TWAP, POV for example but also its own algorithms all with customized features including aggressiveness, time sensitivity, venues of interest or avoidance, and its own I would price definition, which can override algorithm operation if the clients target price is met. Many
Concepts I Would Price
other parameters of its core algorithms are configurable by the user and custom algorithms can be created. ConvergEx has functionality to help provide best execution, if the client so chooses, or it can use its direct market access (DMA) capabilities for directly filling orders. BNY ConvergEx sees the most utilization (perhaps 80 percent) from the common benchmark algorithms (initiation price, VWAP, TWAP, market on close) with a lot of DMA routing. About 20% require tailored algorithms or more sophisticated algorithms in general.
Limit Ladder Scaling
All of the above algorithmic strategies offer a unique I Would Price option. If the market moves favorably and some stock becomes available at the user specified I Would Price, the algorithm will take as much liquidity as possible at that price, completing the order if size permits. When the price moves away from the I Would Price, the algorithm will revert back to the original strategy for the remaining order quantity until the order is complete. Define multiple price points, within the same algorithm, for an instrument with different aggressiveness and volume at each point. Similar to limit ladder but plays both sides. If a price moves X% or $X then behaves similarly to POV, thus providing upside and downside protection. Can set different parameters based on move for or against. An A-TeAmGroup Publication
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Contact Asia Asia Electronic Trading Desk - 24 Hour +1 441 298 9920
Interfaces
ATM Automated Trading Desk Bank of America EASE BNY ConvergEx DerivatEx BNY ConvergEx Eze OMS BNY ConvergEx Sonic CA Cheuvreux CAPIS CIBC World Markets GETS Citigroup Credit Suisse AES Cuttone Deutsche Bank EdgeTrade ESP Fidelity Fidessa Global Access Holdings Goldman Sachs RediPlus ITG Jefferies JPMorgan NeoVest Knight Securities Lehman Brothers Merrill Lynch X-ACT Miletus Trading Morgan Stanley BXS NYFIX Piper Jaffray APT Sanford Bernstein SG Americas Securities Susquehanna TD Securities (USA) Thomas Weisel Partners TradeTek UBS Wachovia Capital Markets An A-TeAmGroup Publication 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3
Asia Electronic Trading Desk Operations +1 407 208 4900 Asia Electronic Trading Desk Sales Desk +1 212 237 0487 Non-US Portfolio Trading Desk Hong Hong +852 2600 7012 Non-US Sales Trading Desk - Hong Kong +852 2600 7012 Europe Europe Electronic Trading Desk 24 Hour +44 20 7964 7375 Europe Electronic Trading Desk Operations +1 407 208 2900 Europe Electronic Trading Desk Sales Desk +44 207964 4433 Non-US Portfolio Trading Desk London +44 207 964 6577 Non-US Sales Trading Desk London +44 207 964 6577 North America Non-US Portfolio Trading Desk New York +1 212 237 0450 Non-US Sales Trading Desk - New York +1 212 237 0450 US Electronic Trading Desk - 24 Hour +1 877 227 6848 US Electronic Trading Desk Operations +1 407 208 4900 US Electronic Trading Desk - Sales Desk +1 212 468 7646 US Electronic Trading Desk Trading Hours +1 866 224 4407 US Portfolio Trading Desk +1 212 468 7670 US Sales Trading Desk +1 212 468 7600 Americas Non-US Portfolio Trading Desk Bermuda +441 298 9949 Non-US Sales Trading Desk Bermuda +441 298 9949
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Profiles
CA Chevreux
Crdit Agricole Cheuvreux is a leading European fullservice broker, a subsidiary of Crdit Agricole. CA Cheuvreux is focused on delivering research, sales and execution services to both buy- and sell-side institutions. The firm has 820 employees in 15 countries worldwide, and is able to embed an intimate knowledge of local market structures into its Algorithmic trading strategies. As an agency brokerage, CA Cheuvreux does not have a proprietary trading desk. It offers DMA, algorithmic
Description of Algorithms Crossfire Crossfire seeks out liquidity across accessible dark pools and automatically re-balances based on fill rates and responsiveness of venues. When posting at dark venues, the algorithm will quickly gravitate in a heat-seeking fashion to the venues that are providing fills. Shadow Hits a level as soon as any volume trades there (up to a specified maximum/minimum limit price). Sliding Volume Participation % Volume with sliding participation. Participation depends on the last execution price level (calibrated on the Limit Price - Reference Price Would Level interval. Strict Volume Percent Participates in line with market volume at predefined level. Maximum admitted deviation is one Average Traded Size. Summit Runner Combines an Iceberg and a Hunt (showing display size at the specified limit and hit the opposite bid/ask if Would Level is reached) Swoop The Swoop strategy works an order by monitoring the tape and rapidly jumping on favorable price opportunities Hunt Systematically hits the specified opposite bid/ask. Iceberg Reproduces an Iceberg order with showing display size to the market while working a larger order. In Line Automatically replicates the traders behaviour around the market impact with extra aggression whilst in the money . Market on Close Hybrid order to participate into the closing auction. Target Close Allows you to customise your trajectory into the closing fixing. It manages the market impact on the closing fixing by optimising the start time of the Order . Time Trigger Places an order on the market at a given time or at market closee. Concepts Multi-Venue All of Cheuvreuxs algos are Multi-Venue and are unified between the US and Europe An A-TeAmGroup Publication
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trading, program trading, CFDs and sales trading to both buy- and sell-side clients. The firm has seen substantial growth in algorithmic trading activity over the past 18 months, driven by the breadth and depth of the 16 strategies that can be executed on over 8,000 tradable stocks on 60 global execution venues and alternative liquidity pools. CA Cheuvreux makes its algorithms available through 24 leading order and execution management systems. All algorithms, including quantitative models like VWAP and Implementation Shortfall, are developed by an inCommon Algorithms
Implementation Shortfall Pairs Percent of Volume Stop TWAP VWAP
house group of quantitative analysts. The company also operates a pairs trading engine that can be tailored to fit with clients strategies and ever increasingly complex requirements. CA Cheuvreuxs algorithms can all be customised and combined to specific investor behaviour, risk profile and trading styles.
Company CA Cheuvreux Department/Division Alternative Execution Launch Date 2000 Number of Clients 120 Product/Service Cheuvreux Algorithmic Trading Services Website www.cheuvreux.com Claimed Feature(s) Efficient and Flexible Cheuvreuxs algorithms are designed to react like traders Ongoing adaptation - Altering algorithmic models to meet changes in market structures and the specific needs of our clients Orders are executed through multiple gateways guaranteeing that client orders and strategies remain totally anonymous Wide range of connectivity options through various front end systems Pairs Trading engine so clients can customize algos per region 20 Global Strategies (Europe & US time zone) Multi-venues Claimed Advantage(s) TCA analysis report Spread over Europe in horizontal, rather than centralised approach to Alternative Execution Diversified flow from agency brokers and private banks 7000+ stocks covered Execution Costs sensitive Special Facilities Straight Through Processing (STP) DMA Smart Order Routing BLINK Crossing & Dark Pool Online Realtime performance monitoring tool Asset Classes Equities
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Profiles
Markets
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Interfaces
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Contact Global Algo Hotline +33 1 41 89 77 77 Europe Jerry Lees [Head of Execution Services, UK] +44 (0) 20 7621 5281 Jon Carp [Head of Sales - Europe] +44 (0) 20 7621 5244 Ludovic Blanquet [Product Strategy Alternative Execution, UK] +44 (0) 20 7621 5276 North America Jon Palazzo [Head of Sales - US] +1 212 492 8845
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Profiles
Citi
Citi Electronic Execution is committed to providing with market-leading trading solutions that fully integrate with clients chosen execution platforms. Citis direct access and state-ofthe-art suite of algorithms
combine with an emphasis on service and analytics that empower clients to take full advantage of the equity markets. Citi offers clients the same flexible algorithmic suite
Description of Algorithms Citi Match CitiMatch is our proprietary dark pool. Only Institutional clients can rest orders in CitiMatch. CitiMatch has anonymous access to a broad universe of non-displayed retail, institutional, principal and broker dealer liquidity. Citi Match is a secure trading venue offering sophisticated anti-gaming technology, protecting all participants. Dagger Citis Dagger algorithm is designed to trade opportunistically. It is engineered to capture the optimal amount of available liquidity across all light and dark venues while minimising market impact and signalling risk. The aggression level parameter can be used to adjust the execution rate and market impact. Ranging from aggression level 1 through to 5, 1 being most passive and 5 being most aggressive. Participate with Scaling Citis Participate with Scaling algorithm is engineered to capture a percentage of volume executed in the market. The target participation rate can be set to adjust dynamically based on the price of the underlying security. The opportunistic parameter can be used to take advantage of hidden liquidity using Citi Match and external dark pools. Close Smart Market on Close is an extremely flexible algorithm designed to cover all potential strategies that target the closing price. If liquidity necessitates, the algorithm can start trading early to minimize impact. Smart Iceberg Replicated exchange iceberg functionality using Citis Smart Order Router, participating aggressively and passively on multiple venues. Smart Pegging Passively tracks price movement of the security TWAP Spread trade evenly over a fixed time period. VWAP Follow average volume profile, minimize impact. Implementation Shortfall IS uses Citis proprietary impact model to manage the trade off between impact and opportunity costs quantitatively. The opportunistic parameter can be used to participating in a number of dark pools to trade more quickly with low impact cost. Concepts Multi Asset capabilities
In the future Citi is primarily focused on developing multi asset capabilities and trade solutions An A-TeAmGroup Publication
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that was developed for its own equity trading team. Citis algorithms, through which billions of dollars are executed daily, have a track record of high performance and infrastructure stability. With an understanding of local market nuances, Citis teams of regional experts ensure its algorithms are developed and continually optimized. Citis aim is to work with clients to ensure they get the most out of its trading Common Algorithms
Implementation Shortfall Market On Close Market on Open - Asia Only Participate with Scaling TWAP VWAP
strategies. Its transparent approach gives customers the understanding, skills and confidence to fully utilize Citis suite of market access products with maximum benefit.
Company Citi Department/Division Electronic Execution Launch Date Not disclosed Number of Clients Not disclosed Product/Service Citi Match, Direct Market Access & Algorithmic Trading Website www.citi.com Claimed Feature(s) Each of Citis algorithms has unique access to Citis global liquidity via Citi Match, Citis anonymous crossing network Global Direct Access offers self-directed access to 29 markets and is continually expanding its global reach Proprietary algorithmic trading strategies are connected to 26 countries across Europe, Asia and North America Our teams of regional experts continually work to develop new strategies and provide access to more trading venues Smart Order Routing Claimed Advantage(s) Price improvement, trading without impact and protection by the most advanced anti gaming technology from Citi Match You will be in full control of your order flow with a fully integrated technological solution that is fast and dependable Provides a direct link between you and the markets Our global suite of algorithms consists of nine core trading strategies and an extensive parameter set Special Facilities DMA Smart Order Routing Asset Classes Equities Futures Options Foreign Exchange
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Profiles
Deutsche Bank
Deutsche Banks algorithmic trading platform, Autobahn Equity, combines the banks algorithms with its direct market access (DMA) offering. Autobahn
Equity maintains offices in London, New York, Hong Kong, Tokyo and Sydney. Autobahn serves as Deutsche Banks e-commerce solution across multiple asset classes.
Description of Algorithms Optimal Portfolio Execution The OPX strategys objective is to execute a portfolio transaction in such Strategy (OPX) a way as to respect the users preference between the market impact and the intra-day risk incurred during trading. In addition, a range of user supplied constraints and other preferences are available to influence the behaviour of the strategy and reflect the users views on risk. Finally, the user may specify his view on overall portfolio expected return as well as the expected return of some of its constituents, and the strategy will take this information into account in scheduling orders. CitiMatch is our proprietary dark pool. Only Institutional clients can rest orders in CitiMatch. CitiMatch has anonymous access to a broad universe of non-displayed retail, institutional, principal and broker dealer liquidity. Citi Match is a secure trading venue offering sophisticated anti-gaming technology, protecting all participants. Stealth Stealth is a high take, low post strategy which trades opportunistically while minimising information leakage. It will typically take liquidity when it is cheap to do so - spreads are usually narrow - or when the far-touch quote is unusually large. If liquidity posting is enabled, it will post in dark venues where possible and light venues very conservatively. Information leakage is minimised by using minimum execution thresholds where necessary in dark venuess, and by posting in light venues only in a way that does not materially affect the shape of the order book. Arrival Price Arrival Price is a dynamic trading strategy designed to minimise the difference between the price at the time the order was entered and the execution price. It relies on price and liquidity signals to trade as efficiently as possible while controlling the incurred market impact. It provides an alternative approach to the classic Implementation Shortfall algorithm, in that it prioritises control of short term impact over control of risk. Percentage of Volume The Percentage of Volume Strategy offers clients the flexibility to control their participation level as a percentage of volume. Performance based variable participation and conditional behaviour will provide the trader with powerful tools to respond to market movements in favourable and predictable ways. >> page
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Deutsche Bank maintains a full suite of algorithmic strategies, including core strategies such as VWAP, TWAP, In-Line, Scaling, and Arrival Price amongst other strategies. All strategies include conditional parameters aimed at offering clients enhanced abilities to customize the algorithms according to their needs by offering the flexibility to choose I Would features relative to an absolute
price or benchmark. As such, Deutsche Banks overall approach is aimed less at product proliferation but more on the ability to customize core strategies to suit individual clients execution needs. Meanwhile, the banks algorithms are certified for distribution via some 40 third-party vendor platforms. Autobahn Equity describes its overall approach to
Company Deutsche Bank Department/Division Global Markets Equity Launch Date Not disclosed Number of Clients 500+ Product/Service Autobahn Equity, Electronic Trading Website www.autobahn.db.com Claimed Feature(s) Multi-asset, multi-product, Sophisticated execution tool-kit Anonymous trading Customized content and analytics Easily integrated into existing workflows Claimed Advantage(s) Higher levels of algo flexibility than many other firms Customized core strategies avoiding excessive product proliferation Certified with 40+ third-party vendor systems Typically low touch business with simple to understand operations. Advanced , easy to use platform Leading edge Smart Order Router (SOR) Special Facilities DMA EMS/OMS integration Pre and Post trade analytics Asset Classes Equities
>> Description of Algorithms (cont) Smart Iceberg The Smart Iceberg strategy will execute your order while only displaying a limited amount of the total order quantity. The strategy allows you to manage exchange specific iceberg order rules by creating synthetic order functionality. Smart Peg The Smart Peg strategy seeks to peg orders to a specified price level while displaying on the market only a limited amount of the total order at any time. The strategy evaluates the peg expression whenever the reference price changes and adjusts its position in the market.
Common Algorithms
Implementation Shortfall Target Close TWAP VWAP An A-TeAmGroup Publication 3 3 3 3
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Profiles
electronic trading as lowtouch rather than no-touch. According to Edgar Harty, Head of Autobahn Equity Trading Europe, his team can be as interactive or hands-off as the client demands, depending on their requirements. The group counts a broad range of institutional types as customers, including hedge funds, long-only asset managers, and index managers. The banks algorithms are design by its Quantitative Products group using fundamental Markets
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Asia Asia Sales Desk +852 2203 6028 Asia Pacific Australia Sales Desk +612 8258 2862 Europe Europe Sales Desk +44 (0) 20 7547 2022 Japan Japan Sales Desk +81 3 51 56 6642 North America US Sales Desk +1 800 553 1226
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Profiles
ESP
Electronic Securities Processing (ESP) provides a global order-routing network, a comprehensive post-trade management service, and a full suite of trading applications providing access to thirdparty broker services (algorithms, dark pools, direct market access, smart order routing), with ESP providing core functionality applicable to all. ESP specializes in combining multiple executed trades into a single block for allocation with its Settlement Aggregation Service. This can be valuable in supporting electronic trading because the many subordinate orders generated by algorithms and smart order-routing systems are coalesced back to a single ticket for settlement thus saving transactions costs and simplifying accounting
leading to minimal trade breaks. According to ESPs David Sher, the EUs Markets in Financial Instruments Directive (MiFID) has only validated the need for services like ESPs because of the complexity of settling across multiple markets that arent quite homogenized. Indeed, before MiFID there was little need for traders to break up anything but the largest orders. The centralized settlement is handled by the establishment of accounts through ESP one for each Isin/Sedol/Cusip (unique instrument) and counterparty (other factors may require establishing additional accounts). Fulfilled orders, regardless of execution venue (including exchanges, ECNs, dark pools, cash desks, other
Description of Algorithms ESP Cloak ESPs Dark Pool Smart router that uses statistical logic to distribute orders across multiple Dark Book venues, while dynamically redistributing orders to venues where more executions are actually taking place. ESP Smart ESPs Smart Order Router is designed to efficiently route orders to the marketcenter or ECN displaying the best price, while sweeping multiple markets that may offer the best price simultaneously. page
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markets) are routed to those accounts and ESP combines them in near real-time 24-hours a day. Settlement processing starts as soon as the client completes their trading block. ESP connects the front-end with the sell side to provide a valuable buy-side service including connectivity to over 250 execution venues globally via FIX. As the range Common Algorithms
Arrival Price Implementation Shortfall Percent of Volume TWAP VWAP
of instruments interesting to the buy-side expands and opportunities for arbitrage between disparate asset classes become a reality boosting the appeal of ESPs services while maintaining realistic operational costs.
Company ESP Technologies Corp Department/Division Electronic Securities Processing (ESP) LLC Launch Date 2006 Number of Clients 100+ Product/Service Settlement Aggregation Services Website www.fastesp.com Claimed Feature(s) Integrated with many EMS and OMS systems Works on-net via ESP Global Routing Network Works off-net as a post trade service that works with any existing broker routing network Claimed Advantage(s) Reduces number of trade settlements and allocations Streamlines connectivity, routing, and back-office processes Special Facilities EARN - Electronic Algorithm Routing Network ESP Global Routing Network Asset Classes US, European, Asian Equities US, European, Asian Options
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Profiles
Goldman Sachs
Goldman Sachs Electronic Trading offers a complete suite of global, multi-asset algorithms, covering Europe, North America, and Asia. Goldman Sachs algorithms are utilized by a diverse
client base, including institutional managers, pension funds and hedge funds, as well as broker dealers and other sell-side financial service providers. Additionally, Goldman Sachs
Description of Algorithms Delta Adjusted Options Limits will float with the underlying security according to the option delta. To keep the delta relevant, the order will be temporarily suspended if it travels outside upper and lower bounds of the underlier set by the user. This order will scan the market until the order is marketable, then sweep liquidity accordingly. Navigator Equities Customized strategy to segment and route order flow to a specific algorithm, based on a number of customizable real-time and historical order- and security-specific characteristics. Prowler Options Sweeps markets quickly using immediate-or-cancel child orders, taking all available liquidity on the public exchanges within the orders limit. Prowler will then sit on our servers, hidden from the rest of the market, waiting to strike when marketable again. Minimum sweep quantities can be employed to control the aggression of Prowler. Sigma Option Routing Options Simultaneously sweeps the inside of each exchange until the order is no longer marketable, then will post on the appropriate exchange based on market factors. Sonar Equities Accesses public and non-displayed venues in order to strategically source liquidity and minimize market impact by utilizing smart routing and posting. Sonar Dark Equities Access non-displayed liquidity ONLY (option for hidden liquidity on public venues). Synthetic Execution Synthetics Uses stock-specific cost estimates based on liquidity and pricing parameters to offer pretrade analysis of optimal trading horizon. Allows for a range of aggressiveness in execution strategy. Available algorithms include VWAP, TWAP, and IntelliSEA. Auto Cancel Futures Sets a specific time to automatically pull a working order from the market. Discretion Options Discretion is now available on all posted Sigma Order Types (Limit and Iceberg). Using SIGMAs advanced sweeping logic, the order router will seek out liquidity within the orders discretion. Dynamic Scaling Equities Participates in the market at a specified rate, but scales the rate with changes in absolute price. Contd >> page
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>> Description of Algorithms (contd) Iceberg Options Posts small orders (tranches) into the market while hiding the balance on our servers. As the posted orders are filled, they will be replaced with subsequent tranches until the order is filled or cancelled. If the market moves into your limit, the order will aggressively take the liquidity by sweeping with IOC orders. Minimum sweep can also be employed to control the aggression of the sweeping component. The ability to randomize the tranche is also available to minimize gaming in the markets. Iceberg Futures Executes an order discreetly by sending smaller increments to the market. Market-if-Touched Futures Allows user to enter an order to buy (sell) that becomes a market order if and when the instrument trades, or is offered (bid), at the specified price or lower (higher). OCO Stop Loss Futures Combines a Stop order with a Limit order. If one order is sent to the exchange, the other is automatically cancelled (ie: entering a Buy limit below the current offer, along with a Stop order above the current offer). OptimIS Equities Optimization-based implementation shortfall. Optimal trading decisions are continuously reevaluated to react to momentary changes in spread and book depth. Participate Equities Participates in the market at a specified rate while maximizing use of dark liquidity. Participate Futures Automates the process of achieving a specific percentage of the primary market volume over a desired time period. Includes options to ignore certain prints, based off of Absolute Print Size or Average Daily Volumes. Contd >> An A-TeAmGroup Publication
Company Goldman Sachs Department/Division Electronic Trading Launch Date 2002 Number of Clients 2000+ Product/Service Goldman Sachs Algorithmic Trading Website www.gs.com/electronictrading Claimed Feature(s) Algorithmic trading across Asia, Europe, and North America FIX 4.2 Claimed Advantage(s) Speed Benefit from opportunities for internal crossing while reducing market impact and capturing spread Largest franchise flow Special Facilities Sigma and Sigma X liquidity products Asset Classes Futures Equities Synthetics Options
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Profiles
>> Description of Algorithms (contd) Peg Futures Allows the customer to maintain a presence on the best bid (if buying) or offer (if selling) until order is completed, cancelled, or reaches the end of trading session. Users can choose the level of aggressiveness they wish to use to fill the order (Passive, Neutral, Aggressive). PortX Equities Executes a basket of securities based on an optimized execution schedule that balances transaction cost against portfolio level risk. Relative Scaling Equities Participates in the market at a specified rate, but scales the rate with changes in relative price. Stealth Equities Aggressively seeks both public and non-displayed liquidity. Pings between the spread at nondisplayed venues, takes displayed liquidity within the limit price and then posts multiple nondisplayed orders. Tick Futures Specifies price discretion based on user customized parameters. Allows user to pay up (down) when buying (selling) for specified # of ticks, if the parameters are met. Time Activation Futures Sends a limit or market order to the exchange at a specific time. Time Slice Futures Works an order over time according to user defined or auto-calculated tranche, time, and reprice parameters. The re-price function aggressively attempts to capture the bid/ask price spread when buying/selling. TWAP Equities Minimizes deviation from TWAP. TWAP Futures Spreads executions evenly over a user defined period of time with the objective of maximizing spread capture by targeting a linear volume execution profile. VWAP Equities Minimizes deviation from VWAP. VWAP Futures Spreads executions over a user defined time relative to the VWAP benchmark. Executions are targeted using patterns developed from 20 days of historical data, with outliers removed. Concepts Sigma and Sigma X
Sigma is Goldman Sachs Smart Order Router. Sigma X is Goldman Sachs non-displayed liquidity pool for U.S. equities, and is the largest dark crossing network in the U.S. All algorithms leverage the Sigma outing logic and Sigma X liquidity. An A-TeAmGroup Publication
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internal trading desks utilize its algorithmic suite for working customer business. Through Sigma, its smart order router and suite of liquidity enhanced products for trading equities, clients benefit from next-generation algorithms, sophisticated crossing and anti-gaming logic, and a comprehensive suite of analytics. Goldman Sachs was a pioneer in multi-asset algorithmic trading, which now encompasses a breadth of strategies: 10 equity algorithms, 12 futures algorithms, 3 synthetic algorithms, and 7 options strategies. Its equity algorithms are divided into four categories - benchmark matching, price and liquidity seeking, dynamic participation, and customized - and cover both single-stock and portfoliolevel execution. Its core algorithms (VWAP, TWAP, and Participate) have all been enhanced to access dark liquidity, giving users the ability to cross blocks in An A-TeAmGroup Publication
the dark as well as enabling them to minimize market impact and signaling risk via intelligent order placement, across multiple liquidity venues. A highlight of its equity offering is Sonar, a liquidityseeking algorithm that routes to both non-displayed and public destinations and utilizes smart order types to actively source liquidity at attractive price levels. Clients can also select a dark-only strategy, allowing them to access non-displayed pools only. Another highlight is PortX, its basket-level algorithm designed specifically for clients who trade baskets with an implementation shortfall benchmark. The algorithm calculates the optimal timeframe over which to trade a basket by taking into consideration the risks inherent in a basket, historical and real time trade/market data as well as user-defined $/ ratio balancing and risk parameters. Finally, clients
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Profiles
can take advantage of the Navigator customized trading solution. Based on a number of pre-defined client-selected parameters, Navigator acts as a filter that routes a customers order flow to a range of specific Goldman Sachs algorithms selecting which strategy will give the client Common Algorithms
Implementation Shortfall Peg Percent of Volume TWAP VWAP
the best outcome given the order that they have to execute, their overall trading benchmark and their short/ medium or long-term alpha drift.
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Markets
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Interfaces
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Contact Global All inquiries +1 212 357 4255 gset-news@gs.com
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Profiles
HSBC
Over the last 20 months HSBC has deployed a completely new singleinstance fully replicated trading platform into its local equity dealing teams. At the same time, HSBC has refined and refocused its Global Equities organisation, creating a flexible business model built to bring together first-class cash equity trading, sales and distribution, structured equity capabilities, and equity financing expertise under one global equity trading platform. This system also supports execution on 102 exchanges globally and is 100% FIX-compliant. Currently, this system supports equities, FX and derivatives all from the same gateway. HSBC has a policy of connecting to all commercially established order routing networks. With the 2006 rebuild of its FIX network, each of HSBCs FIX connections is multiasset class from inception, thus reducing the need to connect multiple times to the same counterparty. When it comes to best execution, HSBC has created
a Consistent Tolerance Model (CTM) to help understand what constitutes a potential breach of best execution policy, using a wide and comprehensive set of quantitative inputs. The banks single global platform ensures that traders globally must account for breaches of the policy on a daily basis trade by trade irrespective of where the counterparty is located. HSBC focuses less on product proliferation in developing proprietary strategies, preferring to focus on the consistent requests for algorithms throughout emerging markets. With instead an emphasis on customizing core strategies, the firm seeks to expand its algorithmic offering throughout emerging markets. Having already provided clients with access to over 32 markets through its DMA programme and this will be further expanding this across the Emerging Markets with new roll outs throughout 2009
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Description of Algorithms Not disclosed
Company HSBC Department/Division Electronic Trading and Quantitative Products Launch Date 2007 Number of Clients 400 Product/Service eEquities Website www.hsbc.com
Common Algorithms
Arrival Price Pairs Percent of Volume Synthetic Close Synthetic Open TWAP VWAP 3 3 3 3 3 3 3
Markets
Austria Belgium Denmark Finland France Germany Hong Kong Ireland Italy Japan (Tokyo/Osaka) 3 3 3 3 3 3 3 3 3 3 Netherlands Norway Portugal South Africa Spain Sweden Switzerland (Virt-X, SWX) UK US 3 3 3 3 3 3 3 3 3
Claimed Feature(s) Access to 102 equity exchanges globally Coverage for all Middle East markets Cash and Synthetic DMA on 36 markets Claimed Advantage(s) Not disclosed Special Facilities US smart order router Asset Classes Equities
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Profiles
Instinet
Instinet is a wholly owned subsidiary of Nomura and acts as an agency broker in markets globally. The company operates a number of front-end trading systems, crossing networks and maintains smart-routing technology and a suite of algorithms. Among its alternative trading system offerings are CBX in the U.S., JapanCrossing in Asia, and BlockMatch in Europe. Instinet runs a suite of algorithmic trading models that combine parent
Description of Algorithms Benchmark Strategies The Instinet Execution Experts benchmark-driven algorithms use sophisticated price and liquidity discovery techniques in a risk controlled framework to achieve best execution. The benchmark strategies operate in a schedule-free environment, instead using a risk/return framework that enable them to behave more like human traders, constantly monitoring for attractive prices and liquidity. The benchmark strategies include VWAP, Participation, TWAP, IS and TargetClose. Cobra Cobra is a stealth, liquidity-seeking algorithm designed to minimize signaling and market impact while maximizing shares traded. Cobra opportunistically interacts with displayed volume, leveraging the Experts high speed analytics platform to identify attractive times to demand liquidity. It will also make extensive use of passive hidden orders combined with proprietary pegging logic to minimize signaling risk, and purposely alters its trading tactics to avoid predictable patterns that other market participants could exploit. Cobras Execution Style parameter (Passive, Normal, Aggressive and Super-Aggressive) allows users to control overall behavior of the strategy, is it will adjust sizes and frequency of order submissions, and sensitivity to trading conditions. Nighthawk Leveraged by all algorithms within the Instinet Executions Experts suite, Nighthawk is an intelligent dark-liquidity aggregation strategy that incorporates sophisticated price-modeling and allocation logic. Nighthawk, which sweeps over 20 dark liquidity venues using a strategy that is optimized for each venue and that dynamically allocating shares to the most active destinations, uses an array of sophisticated techniques to reduce adverse selection, signaling and potential gaming. Nighthawk prices submissions at the mid Contd >> page
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Nomuras former U.S. algorithms with Instinets liquidity and market access. The first individual strategies to be developed within the Instinet Execution Experts framework are enhanced
versions of Nighthawk and Cobra, previously Instinetbranded algorithms, and Portfolio IS, which was previously deployed at Nomura.
Company Instinet Department/Division Instinet Execution Experts Launch Date 2008 Number of Clients 1200 Product/Service Direct Execution Services Website www.instinet.com Claimed Feature(s) Event-driven algorithmic trading environment Unified risk/return framework Sophisticated price and liquidity discovery Modular architecture Rapid customization and innovation Claimed Advantage(s) While most firms offer one dark liquidity aggregation algorithm, all of Instinets can intelligently access dark liquidity. One unified component-based framework allows Instinet to customize and develop algos sometimes in less than a day. All algos are event-driven, rather than scheduledriven. Special Facilities Not disclosed Asset Classes Equities Fixed Income
>> Description of Algorithms (contd) point or better, and monitors short-term volatility to minimize the risk of providing liquidity at unattractive price levels. Portfolio IS Portfolio IS is an arrival price strategy designed to minimize implementation shortfall for portfolio trades. The strategy maintains an optimal target velocity for each security, dynamically updated throughout the trade. Portfolio IS employs proprietary realtime risk and impact models, re-optimizing as portfolio composition changes. The embedded control framework ensures that the portfolio conforms to user-specified constraints. Additionally, by setting the Risk 0Tolerance parameter, users can control the balance between impact and opportunity risk, and can also set parameters including Cash Target, Spend/Raise Constraint, Must Complete and Min/Max Part Rate.
Common Algorithms
Custom Implementation Shortfall Pairs TWAP VWAP An A-TeAmGroup Publication 3 3 3 3 3
>> page 51
Profiles
Nighthawk, a dark liquidity aggregation algorithm that reaches over 20 dark liquidity venues in the U.S., is leveraged by all algorithms in the suite, thereby ensuring that all Instinet algorithms search both dark and light liquidity. Cobra, which intelligently reduces market signalling and opportunistically accesses liquidity, now has the ability to access multiple dark pools in addition to ECNs and exchanges. Portfolio IS is an adaptive programtrading strategy that utilizes proprietary market impact and industry correlation models to balance market impact and opportunity cost Markets
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while optimizing dark-pool interaction for highercost trades. Access to the algorithms is via clients own EMS platforms, although customers can choose to connect directly with the platform using a FIX interface.
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Interfaces
Contact
Advent Bloomberg BNY ConvergEx Eze OMS Charles River Fidessa LatentZero FlexTrade GL Trade Indata InfoReach ITG JPMorgan NeoVest Linedata Beauchamp Linedata Longview Portware Sungard Trading Screen
3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3
Asia Nick McDonald [Head of Equities, Asia] Nicolas.mcdonald@instinet.com Europe Peter Howard [Head of Equities Europe] peter.howard@instinet.com North America John Comerford [Global Head of Trading Research] John.comerford@instinet.com
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Profiles
ITG
Investment Technology Group (ITG) is a specialized agency brokerage and financial technology firm that partners with asset managers globally to
provide integrated portfolio management, pre-trade analysis, trade execution and post-trade evaluation. The firm combines agency brokerage with technology
Description of Algorithms Dynamic Implementation Manages risk at a list/basket level rather than at individual name Shortfall level; allows cash and sector neutrality on executed baskets; utilises ITGs Risk Models to minimise risk on the residual list. (Europe, U.S., Canada) Dark List Solves the challenge of trading in dark pools and maintaining cash sector neutrality; trades to dark pools only achieving midpoint or better pricing (U.S., Canada) ITG Dark Algorithm Attempts to achieve high fill rates without sacrificing quality; dynamic allocation based on quality and quantity of fills; minimises information leakage by seeking out quality liquidity and avoiding gaming. (U.S., Europe, Canada) Active Arrival price algorithm that attempts to beat the arrival price by adapting to market conditions and capturing attractive liquidity in dark and displayed markets (U.S., Europe, Canada, Asia Pacific) Raider A stealthy opportunistic algorithm which looks to rapidly capture trading opportunities in dark and the open market; does not display. U.S., Canada, Europe.) Flexible Participation Is highly customisable; trades proportionally to equity market volume, varying execution velocity based on performance relative to an index or benchmark price level. (U.S., Europe, Canada, Asia Pacific). Close Works orders into the close, attempting to beat the closing price. (U.S., Europe, Canada, Asia Pacific) Float Floats a small piece of the order at or near the bid/offer, blends into the book (U.S., Canada, Asia Pacific, Europe) Best Market Server Automatically finds the best price in North America for orders in Canadian-U.S. inter-listed securities. (U.S., Canada) FX Server Works seamlessly and eliminates the inefficiencies in FX-conversion: provides U.S. dollar trading of Canadian securities and Canadian dollar trading of U.S. securities. (US, Canada) Hedge Pro Specialised, flexible trading tool that provides execution of equity pairs strategies in US and Canadian markets. (U.S., Canada) page
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Company Investment Technology Group (ITG) Department/Division Algorithmic Trading Launch Date 1998 Number of Clients Not disclosed Product/Service ITG Algorithms Website www.itg.com Claimed Feature(s) Range of choices: dark, single stock and list-based strategies Access to multiple liquidity destinations with just one ticket at the end of the day Seamless access to multiple venues using scheduled or opportunistic strategies Risk Management Claimed Advantage(s) Agency only - ITG has no proprietary or market making trading desk Customised to suit your trading ITGs expert consultants partner with clients to build or modify any ITG algorithm Complete transparency - ITG discloses where trades are executed and provides a report on the execution quality in each venue Advanced anti-gaming logic ITGs anti-gaming logic protects clients from adverse pricing in aggregated dark pools Access to ITG Dark Algorithm across all strategies Clients benefit from an expert, dedicated team committed to delivering customer service excellence Special Facilities Access to POSIT Integration with pre- and post-trade analytical products EMS/OMS integration Smart Order Routing DMA Agency only desk Suite of market-leading algorithms Regional customisation to suit local marketplace Asset Classes Equities
solutions, offering buy-side clients a range of capabilities from decision support and order generation to execution, performance measurement, clearing, and settlement. ITG Algorithms automate trade executions based on insights from pre- and post-trade analysis. The companys algorithmic offering is geared towards single-stock and list-based trading to meet multiple objectives and trading styles. All automated strategies aim to reduce market impact and maximising execution quality, thereby improving overall trading performance. Using ITG Routers service, traders can quickly search for liquidity and capture the best trading opportunities with five different flexible options. Common Algorithms
TWAP Volume Participation VWAP
ITG launched in the U.S. more than two decades ago and has expanded into Canada, Europe and the Asia/Pacific region over the past 10 year, giving widereaching global access for its broker-neutral Execution Management Systems. It was an early provider of crossing networks, launching its POSIT platform for institutional investors in 1987. POSIT enables traders to efficiently execute large blocks of stock or small, illiquid names with no human intervention, eliminating information leakage and minimal market impact.
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A-TeAmGroup
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Bloomberg Charles River ESP Eze Castle Fidessa Flextrade InfoReach ITG Channel Latent Zero Linedata Macgregor XIP Portware Radical (ITG) REDIPlus Trading Screen Triton
3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3
Asia Pacific General Enquiries +852 2846 3567 Europe General Enquiries +44 (0)20 7670 4000 North America General Enquiries +1 212 588 4000
Markets
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Profiles
JP Morgan
J.P. Morgans algorithmic trading products are part of the Electronic Client Solutions (ECS) Group offering, which provide endto-end execution capabilities across global markets. From research and execution, to clearing through settlement, our solutions offer a reliable, advanced platform designed
to simplify and enhance our clients trading performance. Bespoke technology, tailored to individual needs, enables clients to trade across different markets and a wide range of asset classes including Equities, Futures & Options, Fixed Income and FX. J.P.
Description of Algorithms Aqua Aqua is a rapid execution algorithm for liquid securities. It aims to help seek and extract liquidity when there is a need to execute quickly and decisively based upon a strong view. Utilises all available sources of Dark Liquidity both internally and externally where appropriate. Arid Arid is an implementation-shortfall algorithm designed specifically for less liquid securities. It will post liquidity discretely, take liquidity of advantageous size or price and try to effect trades within the spread without moving the market. The behaviour of the algorithm is modified according to the characteristics of the security being traded and the urgency level set by the trader. Arid automatically participates in Dark liquidity venues. Close Aims to achieve the closing price for the current day. If expected liquidity is sufficient, your entire order will be placed into the closing auction. If not, the algorithm will work the order into the close starting as late as it can to complete the order with minimum impact. Iceberg Iceberg will display an appropriate amount of your order to the exchange at your chosen limit price. Either specify your own display size or let the strategy choose. Implementation Shortfall IS helps you to target your chosen price benchmark (arrival, open or previous close). Will dynamically adjust the rate of execution of your order based upon size, your own view of the market and where the market is relative to your benchmark. IS automatically participates in Dark liquidity venues. Peg Peg is a passive algorithm which will allow you to join and track the best bid or offer automatically. PEG will place passive orders of discrete size, replenishing when filled, until your order is complete. page
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Morgan also provides access to liquidity on both single and multi-dealer platforms including the Neovest broker-neutral EMS platform which integrates direct market access (DMA) and algorithmic management in a user-friendly, highly customizable application. Neovest was acquired, and became a wholly owned subsidiary of J.P. Morgan in 2005. Access to all major publicly available liquidity venues is offered via the ECS platform of execution algorithmic strategies, including J.P. Morgan Lighthouse-X which is our in-house crossing facility. Our offerings are not only bolstered by a robust infrastructure but also by our dedicated and experienced teams, providing access Common Algorithms
Close Iceberg Implementation Shortfall Peg Percent of Volume TWAP VWAP An A-TeAmGroup Publication
to J.P. Morgans truly global resources. ECS has specialist teams situated in New York, London, Hong Kong, Tokyo and Sydney, therefore offering a round the clock electronic execution service necessary in todays challenging market environment. We believe that technology and knowledge are the foundation for a successful partnership, and that is how the ECS group aims to deliver solutions to meet clients execution requirements. Incorporated within the product suit are the two leading algorithmic strategies AQUA and ARID, each offering a comprehensive approach to sourcing liquidity and delivering superior execution performance.
Company JP Morgan Department/Division Investment Banking Launch Date Not disclosed Number of Clients Not disclosed Product/Service Electronic Client Solutions Website www.jpmorgan.com Claimed Feature(s) Robust architecture Highly customisable connectivity solutions Global multi-asset class electronic trading platform Bespoke algorithmic strategy customisations Claimed Advantage(s) Industry recognised client service model Dedicated specialist electronic sales trading team Special Facilities JP Morgan Lighthouse Smart Order Routing Dark Pool Access Industry leading pre- and posttrade analytics Industry leading pre- and post-trade analytics Asset Classes Global Equities Global Futures & Options Global FX Global Credit
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Profiles
AQUA is a rapid execution strategy for liquid securities, opportunistically seeking liquidity and executing decisively upon a strong view. Important when targeting excess alpha in the investment decision. ARID is an implementationshortfall based strategy for less liquid stocks which executes discretely and intelligently when it is especially important to avoid signalling in the market. Markets
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The powerful combination of solid, intuitive execution strategies allied with proactive and responsive trade consultation from the service desks makes for an altogether bespoke trading experience.
Malaysia Mexico Netherlands New Zealand Norway Pakistan Peru Poland Portugal Russia Singapore South Africa Spain Sri Lanka Sweden Switzerland Taiwan Thailand Turkey UKv US Venezuela
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Interfaces
Contact
Advent Bloomberg BNY ConvergEx Eze OMS Charles River Fidessa FlexTrade Goldman Sachs RediPlus ITG JPMorgan NeoVest Linedata Longview Portware Reuters Sungard TraderForce
3 3 3 3 3 3 3 3 3 3 3 3 3 3
Asia Scott Saunders +852 2800 7848 scott.a.saunders@jpmorgan.com EMEA Richard Naylor +44 (0) 20 7779 3207 richard.d.naylor@jpmorgan.com Scott Bradley +44 (0) 20 7325 3189 scott.bradley@jpmorgan.com North America David Conner +1 212 622 4854 david.a.conner@jpmorgan.com Thomas Kane +1 212 622 2728 thomas.m.kane@jpmorgan.com
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Profiles
Knight
Knights EdgeTrade Algorithmic Trading Strategies offers a comprehensive suite of algorithms that help buyand sell-side clients source liquidity while seeking best execution in a fragmented marketplace. The firms suite of algorithmic trading strategies which include smart order execution (FAN, Covert, Sumo), and benchmark and participation algorithms (VWAP, TWAP, Arrival Price, Smart Vtrack) was developed using the collective experience of its
quantitative professionals, indepth feedback from clients, and Knights liquidity. All algorithms are geared towards helping clients achieve their specific trading objectives. Knight is currently expanding its electronic and algorithmic offering in Europe. With the emergence of numerous MTFs, tools that source liquidity in an increasingly fragmented market have become an essential technology for the trader. Based on the success of FAN in the U.S., EdgeTrade has reengineered
Description of Algorithms Covert Sweep and probe ATSs. Rest (post) intelligently in dark-pools. Ability to IOC. FAN Sweep and probe dark pools and public markets for liquidity. Simultaneously rest and intelligently circulate shares throughout dark pools (and back to ATSs and public markets). Ability to IOC. Smart VTrack Aggressive volume tracking algorithm driven by FAN. When in-line with participation parameters, strategy intelligently seeks to match public market volume by participating in displayed and non displayed markets. Powered by FAN technology. Sumo Time urgent. Uses real-time and historical liquidity measures to determine speed in completing an order. Powered by FAN technology. 10b-18 Monitors trade quotes in real-time to ensure compliance with time and price conditions for issuer stock repurchases with the use of algorithms (VWAP, TWAP, Arrival Price, Smart VTrack). Target Close Algorithmically target closing price using historical and real time execution data. Powered by FAN. page
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and customized its smart order execution technology for the European microstructure landscape. FAN is the algorithmic solution that accesses actionable liquidity in an adaptive and efficient way. It provides a range of features parameterized by price, urgency and anonymity, allowing the trader to have control over the order as it executes. Using this smart order execution technology can also result in significant price improvement. With numerous market destinations, it is imperative that buy- and sell-side traders have liquiditysourcing technology that adapts dynamically to Common Algorithms
Arrival Price Custom TWAP VWAP
executions wherever they are occurring in real time, providing efficient and costeffective trade execution while maintaining market anonymity.
Company Knight Department/Division Knight Direct LLC Launch Date 2004 (common benchmarks) 2005 (smart order execution) Number of Clients 2600+ Product/Service EdgeTrade Algorithmic Suite Website www.knight.com Claimed Feature(s) Agency-Only Adaptive Algorithms Anonymous Customizable Access to Knights Unique Liquidity Claimed Advantage(s) Sourcing and aggregation of disparate liquidity (dark/displayed, active/passive) Reduce information leakage Reduce transaction costs Adapts to real-time trading to efficiently seek out liquidity Special Facilities Knight Direct EMS FIX 4.0-4.2 Agency-Only Desk Broad OMS integration Asset Classes Equities
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Aegis Athena Bloomberg Charles River ESP Eze Castle Fidessa Flextrade GL Trade InfoReach Latent Zero (Minerva) MFN Mixit Moxy Neovest NYFIX NYFIX Network Triton 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3
Europe Bradley Duke +44 (0)20 7997 2200 bduke@knight.com US Joe Wald (+1) 212.479.2335 jwald@knight.com support@edgetrade.com
Markets
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Profiles
Merrill Lynch
Merrill Lynchs approach to its algorithmic trading activities places great emphasis on its clientservicing capabilities, as well as its market and research expertise and global reach, all of which it channels into the trading strategies it makes available to customers. The algorithmic trading group is comprised of a sales function, a sales trading desk and a team of quantitative analysts, a structure that is replicated throughout its global operations. This is further augmented by an execution consulting group that helps clients optimize the performance of their algorithmic trading activities based on their chosen investment approach. According to Brian Schwieger, Head of the
Description of Algorithms Block Seeker An algorithmic strategy specifically aimed at navigating dark liquidity. Blockseeker simultaneously accesses multiple crossing networks and other non-displayed pools of liquidity. Initial allocations are weighted by historic and real time individual stock fill rates. Orders are dynamically shifted between venues according to where liquidity is discovered. Optimal Price Liquidation Strategy that offers a smart alternative to a market order. The - Smart Market Order strategy uses a combination of passive and aggressive components to probe for liquidity and provides very quick and efficient execution. OPL-X is highly sensitive to changes in the order book, and is driven by a wealth of stock specific microstructure data. OPL-X takes the guess work out of DMA by calculating appropriate submission sizes for individual names, how and when to be aggressive, and intelligent iceberging strategies where appropriate. Optimal Price Liquidation An Implementation Shortfall strategy that uses a combination of - Implementation historic and dynamic data to schedule and manage the order. Shortfall Dynamically adjusts trade schedule, speed and order book management tactics according to actual market conditions. Makes use of smart order routing to work and discover liquidity on multiple execution venues, including MLXN (internal dark pool). Users can customise the level of activity at user-specified price levels through the use of parameters such as I Would If I Could and Speed Trading page
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EMEA Quantitative Execution Desk, from the very beginning of the design process, Merrill Lynchs approach to algorithmic trading is to combine detailed quantitative research with human trading skills. Merrills suite of algorithms is centred on a number of regular benchmarks, such as VWAP, TWAP (Clock) and percentage of volume,
Concepts Adaptive algorithms
and its proprietary takes on implementation shortfall models, including its Optimal Price Liquidation (OPL), OPL-X, and Quantitative Market on Close (QMOC) models. In all of these models, Merrill lists research, service and its global reach as key differentiators. The firm has made substantial investments in both its quant team and the data infrastructure
Company Merrill Lynch & Co Department/Division Global Markets & Investment Banking Launch Date Not disclosed Number of Clients Not disclosed Product/Service Global Algorithmic Trading/Direct Market Access Website www.ml.com Claimed Feature(s) Ultra low latency DMA platform Customizable, data-intensive Algorithmic platform Claimed Advantage(s) Client servicing Research and expertise Global reach Special Facilities Global Smart Order Routing Global Internal Dark Pools Global Dark Liquidity Seeking Strategies Asset Classes Global equities Futures
Consolidating Market Fragmentation
Merrill Lynch sees flexibility and customisation of both product and service as key drivers for users. This philosophy prevails throughout from Sales, Sales Trading, Execution Consulting and Quantitative Engineering. Following Reg NMS and MiFID, fragmentation is rapidly becoming a global fact, presenting new data and trading challenges to users. Merrill Lynchs approach is to take on many of these challenges for clients, focusing on ease of use and execution for their users.
Common Algorithms
Implementation Shortfall Market on Close Market on Open Percent of Volume TWAP VWAP An A-TeAmGroup Publication 3 3 3 3 3 3
>> page 67
Profiles
Interfaces
4th Story ADP Advent ANY Belzberg Bloomberg BNY ConvergEx Eze OMS BonTrade Solutions Charles River Citi Lava Trading CyberTraders ESP Fidessa Fidessa LatentZero FlexTrade GL Goldman Sachs RediPlus Highpoint InfoReach Instaquote ITG JPMorgan NeoVest Linedata Beauchamp Linedata Longview MM Squared NeoNet Orc Portware Preferred Trade Quick Reuters Sim Corp Spartan Technologies Sterling Sungard TAL Realtick thinkorswim Thomson Tora TrackData TraderForce TradeStream Global page 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 An A-TeAmGroup Publication
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Interfaces (contd)
TradeWare Trading Screen Ullink Visual Trader 3 3 3 3
Contact Asia Japan Execution Desk +81 3 62 25 7250 executiondesktokyo@ml.com Pacrim Electronic Sales +81 3 62 25 8398 Pacrim Execution Desk +852 2161 7550 Europe Execution Desk +44 (0) 20 7996 4521 executiondesklondon@win.ml.com Execution Sales +44 (0) 20 7996 2608 North America Execution Desk +1 212 449 6090 executiondesk@exchange.ml.com Execution Sales +1 212 449 6090
behind its algorithm suite. It cites its OPL-X model as an example of its commitment to sophisticated use of data. OPL-X is essentially an extended implementation shortfall strategy that probes order books for opportunities to execute on either an aggressive or passive basis, depending on market conditions. The strategy draws signals from a broad range of data, including intraday trade frequency, average bids and offers and average refresh rates, requiring a sophisticated data management infrastructure. Markets
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Merrills second key differentiator service is based on its approach to client relationship management, which involves assigning both a sales and sales trader contact to any new client, providing education on how to use its algorithms, and offering consultation on how best to optimize performance based on results achieved so far.
Netherlands Norway Portugal Singapore South Africa Spain Sweden Switzerland Taiwan UK US
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Profiles
Morgan Stanley
Morgan Stanley Electronic Trading (MSET) provides a complete spectrum of services from pre-trade analytics, execution, post-trade execution performance analysis and commission management. They offer a comprehensive algorithmic trading suite and various direct market access (DMA) strategies, including a smart order
router technology and dark liquidity pool aggregator. Offering connection via third-party order management systems or using Morgan Stanleys Passport execution management system, their global product offering provides access to trade portfolios, single stocks, ETFs, options, futures, swaps, and foreign exchange.
Description of Algorithms NightOwl NightOwl Liquidity seeking algorithm that seamlessly navigates select dark pools and public markets while balancing certainty of execution against signalling risk and market impact. Custom Beyond traditional strategies, we provide customized solutions to the trader level. Our execution consultants work with traders to develop, implement and analyze the customized solutions.
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Company Morgan Stanley Department/Division Electronic Trading
MSET algorithms measure execution performance versus their selected benchmark and provide quality financial engineering combined with an in-depth understanding of market structure. The algorithms have been designed to offer controls and options that will assist in the execution of several common order objectives. Although the underlying mathematics and numerical techniques of the algorithms are complex and subtle, the goal of each algorithm is to provide tools that offer intuitive control and visibility. Common Algorithms
Arrival Price Close Price React Target Percent of Volume TWAP Volume Dispense VWAP
Focusing on more inventive strategies demanded by their clients (e.g. NightOwl) has helped accelerate the growth in algorithm usage. All of this further interacts with the Morgan Stanley liquidity pool, allowing growing portions of orders to be matched and (therefore) completed without market impact.
Launch Date 1999 Number of Clients 2500+ Product/Service Morgan Stanley Electronic Trading (MSET) Website www.morganstanley.com/mset Claimed Feature(s) Minimize slippage to your trading benchmark Adjust automatically for seasonal volume differences (eg expiration days, quarter end) Respond in real time to changes in volumes, bid-ask spreads, volatility and a variety of other market factors Benefit from enhanced crossing opportunities in MS Pool. Access all available exchanges, ECNs and MTFs simultaneously through Morgan Stanleys Smart Order Routing Technology. First-class support and service. Full control of process through ability to monitor performance and impose volume and price constraints or shift urgency levels Executions delivered real time to client OMS or Passport. Claimed Advantage(s) Transparency We provide full clarity on how your order was routed and where it was traded Anonymity We never leak information about your order at any place in our routing infrastructure. Standards We work with regulators and industry leaders to create standards for counting and advertising traded volumes Trading Consultancy - Our execution consultants are dedicated to guiding you through the entire life of a trade. Trusted Partners Its your order. Its your information. Your trade is none of our business. Special Facilities DMA Smart Order Routing Internal Dark Pool EMS Asset Classes Equities Futures Options Swaps FX ETFs
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Asia (Japan) Electronic Trading Desk +81 3 5424 5709 mset-fe@morganstanley.com Asia (Non-Japan) Electronic Trading Desk +854 2848 8222 mset-fe@ morganstanley.com Europe Electronic Trading Desk +44 20 7425 3222 mset-eu@morganstanley.com US Electronic Trading Desk 212-761-8653 or 877-761-6738 mset-na@morganstanley.com
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Profiles
Nomura
Nomura is basing its algorithmic trading offerings on its ModelEx algorithmic suite across Equities and Futures. The strategies are available to clients directly, and have
an established track record of competitive execution performance, having been acquired with Nomuras takeover of Lehman Brothers EMEA Equities and Investment Banking
Description of Algorithms Autoreload Aims to grab liquidity available at a given price placing quotes on the order book if the price is not in limit. Places orders onto the order book at the given price and size. If they hit another quote and fill completely, sends a new order, otherwise waits for other participants to fill order before sending next one. Ratio Pairs Works a basket of pairs of stocks (or futures) based on price targets. Trades the basket using Nomuras proprietary signals to capture the positions with minimal market impact but with adapting urgency to achieve the inventory at target ratio. Risk Arb Pairs Looks to work a pair focusing on achieving or bettering the target ratio as quickly as possible. Scans the market data to complete an order as quickly as possible within the ratio specified. A highly customisable strategy that is suitable for Relative Value and Merger / Acquisition deals. Guaranteed Strike Represents an electronic guaranteed capital provision from Nomura. Trades are executed immediately against the strike benchmark, for a universe in excess of 1,000 stocks. GStrike is designed to immediately execute a trade at the touch. This service allows a client to trade at touch for given quantities, however, greater sizes are offered at a price outside touch. Sitter Places orders on the passive side of the order book, reloading each time the order completely fills. The strategy moves with the quote to stay at the most competitive level. Sit and Pounce Looks to trade passively unless well priced liquidity appears, when the strategy will grab as much as possible. Places orders passively at an appropriate size, then sweeps the book if the specified size is available at limit price or better. Work and Pounce Aims to capture all the liquidity at a given price or better. It waits until the order book shows a given amount of shares at a specified price or better and then takes all the shares at that price or better. Contd >> page
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operations, and its retention of over 95% of senior management and staff as
well as related technology and intellectual property in the process.
Company Nomura Department/Division Electronic Trading Services Launch Date Re-launched in January 2009, following the acquisition of Lehman Brothers and the retention of all Lehman heritage technology Number of Clients Not disclosed Product/Service ModelEx Website www.nomura.com Claimed Feature(s) Nomuras ModelEx algorithmic suite has a strong performance track record Global reach with market access to over 30 trading venues in 25 countries Connectivity to over 30 vendors and the capacity to support in-house client solutions All ModelEx strategies utilise Nomuras advanced smart order routing engine to efficiently capture lit and dark liquidity Robust, scalable, low-latency infrastructure Claimed Advantage(s) SOR engine with dynamic posting logic which considers short term alpha indicators in the decision making process Frequent recalibration and research of model indicators coupled with an intraday volume prediction model enhances performance Exclusive access to NX dark pool enables crossing at either the parent or child order level, leading to optimal performance Special Facilities NX Dark Pool Smart Order Routing Asset Classes Equities Futures
>> Description of Algorithms (contd) Dark Only Accessed via the Dark Cross algorithm which is designed to execute within Nomuras dark pool (NX) and other dark only venues by floating either the whole order quantity immediately or via gradual amounts over the trade time horizon. Step Looks to work the order, adjusting aggressiveness dynamically based on price. Targets a certain percentage of overall market volume. Adjusts the participation rate based on a user specified trigger price or price relative to index, future or other stock. Custom Nomura can construct custom execution strategies for its clients. Clients can adapt available ModelEx strategies to suit their needs or request a hybrid of several strategies. All custom strategies are flexible and proprietary giving the client complete control over the execution process. Futures ModelEx allows users to trade in Futures using Core strategies such as VWAP, TWAP and With Volume.
Common Algorithms
Active Implementation Shortfall Implementation Shortfall Target Close Target Open TWAP VWAP With Volume An A-TeAmGroup Publication 3 3 3 3 3 3 3
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Profiles
ModelEx uses the heritage Lehman Electronic Trading infrastructure while benefiting from key product enhancements which have been implemented at each stage of the execution process. The ModelEx algorithmic suite contains strategies that respond rapidly to individual client trading characteristics, such as limit price or participation rate changes. ModelEx seeks to optimise execution quality by directly improving price performance and preventing information leakage. Crossing and rapid access to alternate dark venues continues to be an integral part of the platform. Market impact is minimised through the use of dynamic volume and volatility profiling, proprietary alpha signals in the child order placement engine and intelligent smart order routing logic. Through a number of proprietary systems and dedicated service teams, Nomura is able to monitor and support client orders from order entry, through execution to order completion and transaction settlement.
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The infrastructure can be configured to support clients needs and is robust and scalable. In light of Europes increasingly fragmented market place, smart order routing continues to be important when trying to achieve the best possible execution. Nomura believes access to liquidity in both dark and lit venues continues to be paramount on the agenda of their clients. Thus Nomuras advanced and dynamic smart order routing logic underpins all aspects of its ModelEx algorithmic suite.
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Interfaces
Autex Bloomberg BT Radianz Charles River Eze Castle Fidessa Flextrade GL Trade Instinet Latent Zero Linedata Macgregor Peresys Portware RealTick Reuters Trading Screen Triton 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3
Contact Global Adam Toms [MD, Head of Market Access Group] + 44 (0)20 7103 5485 electronic.eu@nomura.com Paul Marchington [MD, Head of Liquid Markets Origination] + 44 (0)20 7103 5485 electronic.eu@nomura.com
Markets
Arca MTF Austria BATS Europe Belgium Chi X Czech Republic Denmark Euro Millenium Finland France Germany Greece Hungary Italy NASDAQ OMX Netherlands 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 Norway Poland Portugal Smartpool South Africa Spain Sweden Switzerland (SIX, SWX) SWX Swiss Block Taiwan Turquoise UK 3 3 3 3 3 3 3 3 3 3 3 3
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Profiles
Numis Securities
Numis Securities is an independent investment banking and broking group focusing on high-quality London-quoted mid- and small-cap companies. With widely rated research and execution services, Numis Securities has been rated in the top two in the Extel survey for small capitalisation U.K. stocks in the last three years. Actively trading in nearly 400 stocks with expanding coverage into new sectors, Numis operates a research department that covers a
wide variety of different industries. Numiss Alternative Execution Desk offers algorithmic, DMA and portfolio trading services, dynamic algorithmic and SOR technology, and inhouse quantitative based pre-/intra-/post-trade support tools. The firm cites last-mover advantage in its development of algorithms that trade off stock specific curves, leveraging Smart Order Routing and DMA technology to deliver
Description of Algorithms Not disclosed
Concept of Algorithms Smart Order Routing (Sherpa)
Intuitively learning cutting edge SOR identifies where the intra-day fragmentation and liquidity diverges from the historic norm. This is no Dumb Order Router based on a MTF rotation doctrine. By dynamically identifying the location of liquidity, the SOR can not only locate the best price but also the deepest liquidity. Most firms cut costs by only looking at level 1 order book structure. By looking into the depth of the order book, Numis believes it can assure best execution in its purest form. Order book fragmentation changes on an intraday basis. Sherpa can identify this intraday fragmentation and intelligently direct Child orders to this venue.
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Company Numis Securities
clients highly customizable adaptive strategies. The Sherpa SOR aims to deliver intelligent routing to locate the best price and optimum liquidity. Numis AED aims to minimise execution shortfall and maximise liquidity aggregation. Numis Securities offers a full front-to-back algorithmic and portfolio trading service. With access to multiple liquidity sources, and midcap trading expertise Numis Securities aims to provide a top tier execution service, and offers a proprietary impact cost model to allow its algorithms to re-optimise on a real time basis. Common Algorithms
Arrival Price Manage the Close Market On Close Pairs Pegging Percent of Volume Scaling Target Volume TWAP VWAP
Additionally, the company operates a web-based pre-, intra- and post-trade analytics offering with fully interactive advice available from the designated trading desk.
Department/Division Equities Launch Date January 2009 Number of Clients Not disclosed Product/Service Numis Alternative Execution Website www.numiscorp.com Claimed Feature(s) Algorithms trade off stockspecific curves, rather than generic sector volume/vol/bid-ask curves Leveraging last-mover advantage Numis is able to focus on Micro-market structure, Smart Limit Placement as well as Smart Order Routing Extensive in-house quantitative research has allowed Numis to identify correlations, dispersions and nearest neighbours. Algorithms are able to dynamically adjust intraday to shocks making them robust enough to stand up to high volatility days Employs a Garbage in, Garbage out doctrine. All algos are backed by a meticulously maintained factor database. Claimed Advantage(s) Our Algorithms score each stocks daily profile based upon divergence from the norm in terms of price, volatility, volume, etc. Fully Customisable Strategies. Tight business to IT alignment facilitates the creation of customised and bespoke strategies ad hoc. Intuitively, the algorithms will adjust their trading strategy by the dynamic intraday change of these variables. Exhaustive quantitative back testing covering stock specific factors including Market Cap, Sector, Volume, Price and Volatility Special Facilities DMA Smart Order Routing DSA Asset Classes Equities
3 3 3 3 3 3 3 3 3 3
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A-TeAmGroup
www.market-data-insight.com
MarketDataInsight
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Contact
Interfaces
AutEX Bloomberg BT Radianz Charles River Eze Castle Flextrade InfoReach ITG Latent Zero Macgregor NYFIX Portware Reuters Sungard SWIFT TNS TradeWare Trading Screen 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3
Europe Richard Bateson [Head of Alternative Execution] +44 (0)20 7260 1379 r.bateson@numiscorp.com Switchboard (+44) 20 7260 1000 mail@numiscorp.com US Switchboard (+1) 212 277 7300 mail@numiscorp.com
Markets
Austria Belgium Canada Denmark Finland France Germany Greece Ireland Italy Netherlands Norway Poland Portugal South Africa 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 Spain Sweden Switzerland Turkey US UK 3 3 3 3 3 3
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Profiles
NYFIX
NYFIX has been a pioneer in electronic trading solutions. Its NYFIX Marketplace is a global community of trading counterparties that offers low-touch, lowimpact market access and end-to-end transaction processing. With access to NYFIX Millennium, the firms proprietary ATS,
clients can take advantage of hidden liquidity, with NYFIX providing execution services on an agency-broker basis. NYFIX also provides value-added informational and analytic services and powerful tools for measuring execution quality. NYFIXs Intelligent Execution (NIX) Algorithms
Description of Algorithms Stealth The Stealth algorithm automates the dark pool liquidity search in Millennium and other ATSs on the market, including pools not open to other, non-neutral providers. It is a non-aggressive strategy for working orders in harder-to-trade names over a period of time. Stealth Optimizer The Stealth Optimizer algorithm strives to anonymously fill orders in dark pools by using the Stealth algorithms functionality. In addition to searching dark pools, Stealth Optimizer also sends a percentage of your order to the displayed markets and trades in-line with market volume.
Concept of Algorithms Stealth Optimizer The Stealth Optimizer algorithm helps clients reap the benefits of dark pool trading, but gives them fill insurance to ensure trade completion. In the coming months, NYFIX will be introducing algorithms that allow control over how their orders interact with the market based on different price variables.
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offer institutional clients a combination of performance, neutrality and anonymity. NYFIXs strategies are available through a number of different OMS platforms and third party trading systems, as well as through direct FIX connection. NYFIXs proprietary algorithms focus on positioning clients to take advantage of liquidity in a number of different dark pools while still trading according to market volumes. Having focused on new algorithmic execution capabilities as well as connecting to frontend providers, NYFIXs infrastructure and trading pool has enjoyed significant Common Algorithms
Corporate Buyback Inline TWAP VWAP
adoption by both the buyand sell-side marketplace. With NIX Algorithms in use today at more than 60 broker/dealers and institutional investment firms, and development already under way in allowing clients to control how their order reacts to variables in market prices, NYFIX Transaction Services will continue to develop and deliver off-the-shelf and customised algorithmic trading strategies to this established client base.
Company NYFIX, Inc Department/Division Transaction services Launch Date 2002 Number of Clients 300 Product/Service NYFIX Intelligent Execution (NIX) Algorithms Website www.nyfix.com Claimed Feature(s) Minimal market impact Industry-leading price improvement opportunities Aggressive and non-aggressive strategies to fit your style Claimed Advantage(s) Seamlessly accesses and leverages liquidity from NYFIX Millennium, the industrys first continuous dark pool Multiple dark trading algorithms that balance a traders ability to trade anonymously with the need to get trades executed Special Facilities DMA Smart Order Routing NYFIX Millennium dark pool Asset Classes Equities
3 3 3 3
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www.AsiaMarketsIT.com
A-TeAmGroup
AsiaMarketsIT.com
Your destination for free news and analysis dedicated to electronic trading and data across the Asia/Pacific. Need to understand the latest news in electronic trading and market data as it happens in the Asia/Pacific? Turn to AsiaMarketsIT.com for insight and analysis on what the news means for you, and search our database of fully categorized archive content to get the answers you need. AsiaMarketsIT.com helps you understand: Electronic trading systems Algorithmic trading Order management and execution management systems Dark liquidity pools and crossing networks Low-latency market data feeds and connectivity Exchange systems Regulation and market structure SIGN UP FOR YOUR FREE NEWS ALERTS AT: www.AsiaMarketsIT.com
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To receive free access and sign up for your email alerts, go to our website: www.AsiaMarketsIT.com Or contact: ben.duckworth@a-teamgroup.com. Tel: +44 (0)20 8265 0624
Online News Updated Through the Week Search Our AsiaMarketsIT.com Database of Categorized Content Useful Links News Alerts to Your Email
Interfaces
ABS Brokerage Advent Arrowhead Bloomberg Brass Charles River EdgeTrade Eze Castle Fidessa FTEN HTX Indata InfoReach InstaQuote Instinet Latent Zero Lavav Longview Macgregor Mantara MIXIT Neovest Portware RealTick REDI Tethys ThinkorSwim TradeWare Tradeweb Trading Screen Triton UNX 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3
Contact Asia Pacific Hong Kong +852-3180-9230 Tokyo +81-3-6202-3291 Europe London +44-20-7634-5350 US New York +1-646-525-3000
Markets
US 3
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Profiles
Sanford C. Bernstein
Sanford C Bernstein is a Wall Street agency broker best known for its research. In the United States, Sanford C. Bernstein provides selfclearing brokerage services and a full service suite of
trading services, including proprietary algorithmic trading, electronic trading, DMA and block trading. The firm also acts as a market-maker and maintains a significant presence on
Description of Algorithms CashFall Portfolio level implementation shortfall, aggression defined by the user. In Line Intelligent scaling in a non linear manner attempting to beat the strike price, varying levels of aggression. Ninja Opportunistic liquidity aggregation maximising access to both dark and visible liquidity while controlling the level of information disseminated to the market, no orders are posted to the order book. Aggression is user defined. Shadow Passive Liquidity Aggregation utilising multiple dark venues and Bernsteins own agency-only liquidity pool, will not access displayed liquidity. Would or Work Two stage customized executions, aggressive within a narrow range of the strike price, if the stock moves away then work with volume. Participate Executes order at user specific level of market volume with the option to vary aggression based on price movement. Price Capture Implementation shortfall with varying levels of aggression.
Concept of Algorithms Unique Aggression Parameter
Many of the Bernstein trading strategies are available with Bernsteins unique aggression parameter. User defined the aggression parameter allows the algorithm to determine optimum level of interaction with the market incorporating the traders view, individual stock level characteristics and current market dynamics. Proprietary modelling of short term alpha and the dynamic use of all available forms of dark and hidden liquidity ensures execution strategies are reactive to current market conditions, maximising performance while limiting risk and signalling to the market. An A-TeAmGroup Publication
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the NYSE Floor. Offering a comprehensive set of tools and a systematic approach to execution, users can achieve reduced market impact, increased speed of execution and better access to liquidity. With a suite of 8 key algorithms available over a wide number of different EMS workstations, including the recent addition of Fidessa Latent Zero, users can reach multiple nondisplayed liquidity venues with additional trading volumes and potential Common Algorithms
for price improvements whilst minimising market impact. Each algorithm is highly customizable and adjusts is behaviour on the characteristics of each order, resulting in few required parameters and ease of use. Quantitative models estimate market impact; forecast price and volume trends allowing the strategy to adjust to changing trends in the market. Users can specify the execution and participation rates whilst minimizing costs and risk to help them achieve best execution.
Company Sanford C. Bernstein Department/Division Portfolio and Algorithmic Trading Launch Date US 2001, Europe 2008 Number of Clients 500+ Product/Service Portfolio and Algorithmic Trading Website www.bernsteinresearch.com Claimed Feature(s) Execution monitoring and advice provided by experienced traders with many years experience. Unique liquidity management and routing Sophisticated short term alpha modelling A dedicated quantitative team to focus on performance and customisation on strategies Claimed Advantage(s) Uncompromised equity execution, operating only on an agency basis with no preference to internal liquidity Advanced execution monitoring to ensure quality and transparency of execution Robust, reliable infrastructure with multiple routes to market Our responsiveness to any client requests is what we are most proud of. Special Facilities DMA Smart DMA Asset Classes Equities
Close Ninja (Opportunistic) Participate Price Capture (Implementation Shortfall) TMX (Time Slice) VWAP
3 3 3 3 3 3
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Profiles
The core of the business has always primarily been research, with analysts based worldwide in one of the largest and farthest-reaching investment research forces in the industry. This advantage gives clients a wealth of information to draw upon when making decisions, leading to consistent returns
in the long run. With a wide coverage in numerous asset classes and markets, the firm seeks to expand new services and technologies, to continually seek to anticipate their clients needs and provide customized solutions to the issues they face.
Interfaces
Bloomberg Charles River Eze Castle Fidessa Flextrade Latent Zero Longview Macgregor Neonet Portware RealTick REDI Trading Screen Triton 3 3 3 3 3 3 3 3 3 3 3 3 3 3
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Contact Europe Europe Desk +44 (0) 20 7170 0555 euroET@bernstein.com
Markets
Australia Austria Belgium Canada Denmark Finland France Germany Greece Hong Kong Indonesia Ireland Italy Japan 3 3 3 3 3 3 3 3 3 3 3 3 3 3 Malaysia Netherlands New Zealand Philippines Portugal Singapore South Africa Spain Sweden Switzerland Turkey UK US 3 3 3 3 3 3 3 3 3 3 3 3 3
US US Desk +1 212 823 2896 pt@bernstein.com
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Profiles
Socit Generale
Socit Generales algorithmic trading activities are managed within its Global Equity Derivatives Services (GEDS) group, itself part of the SG Corporate & Investment Banking business line. Societe Generale reckons itself to be the largest equity derivatives house globally, with two-thirds of the overall structured products business in Europe. Within SG CIB, GEDS sits alongside the banks corporate finance operation and its fixed income group, which handles bonds, foreign exchange and commodities. GEDS provides customized risk management services, producing trading ideas in much the same way a hedge fund does. The group typically creates a fund to provide statistical arbitrage or index arbitrage opportunities, and offers
access to that fund for clients. The brokerage offers two separate capabilities: research and execution, latter under the Quantum brand. Quantum, in turn, offer clients three distinct capabilities: sales trading, where Societe Generale acts as facilitator, offering high-touch trading, crossing, and liquidity for buyers and sellers for block trades; programme trading; and electronic trading, through direct access to liquidity pools. Approximately 85% of GEDS programme trading is executed through algorithms, with traders monitoring baskets to ensure that only appropriate trades are processed through its models, which offer consistent access to all available markets.
Description of Algorithms Eclipse This strategy is designed to only hits bids in the market rather than quoting them. This algo can sweep according to its setting and is designed to not leave any mark. Pairs Trading Pairs Trading is a program trading algorithm which is designed to react to real time indicators, with advanced functions such as being able to sell before buying, for example.
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The groups algorithms have been developed to incorporate the risk ideas generated by its statistical arbitrage business. They tap into in-house liquidity and then deal into the marketplace as appropriate, making use of electronic indicators to pick up opportunities based on sector, beta on stocks in the sector, volatility and so on. The electronic trading group provides external access to Societe Generales algorithms and other trading tools, as well as access to the banks own internal liquidity pool and to its smart order routing capability. The bank believes clients are growing weary of the arms race among sell-side algorithmic model providers and aims to Common Algorithms
Custom Implementation Shortfall Market on Close Market on Open Peg Strict With Volume TWAP VWAP With Volume An A-TeAmGroup Publication
keep things simple. Its main strategies are VWAP, WithVolume and Implementation Shortfall. It tests out new models and modifications to existing ones on its own proprietary trading desk before rolling them out to clients.
Company Socit Generale Department/Division Corporate & Investment Banking Launch Date Not disclosed Number of Clients Not disclosed Product/Service Global Equity and Derivative Solutions (GEDS) Website www.sgcib.com Claimed Feature(s) Fully automated to deal with large and liquid stocks as well as smaller ones Fast, reliable DMA to global equity markets External access to algorithms, internal liquidity pool and Smart Order Routing capability Through Quantum service can provide a single integrated portal for access to all equity trading products Claimed Advantage(s) Access to substantial liquidity Multiple worldwide trading venues Simple, easy to understand algorithms Reduced market signals, stress on anonymity, open interfaces Up to date reliable technology Special Facilities Access to internal crossing Sophisticated Algorithms Advanced Smart Order Routing Access to all U.S. European and Asian external liquidity venues Asset Classes Equities Derivatives Fixed Income Foreign Exchange
3 3 3 3 3 3 3 3 3
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Profiles
Interfaces
Bloomberg Charles River Eze Castle Fidessa FlexTrade GL Trade Goldman Sachs RediPlus InfoReach ITG Latent Zero Longview Portware Reuters Tora TradeWare Trading Screen Ullink 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3
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Markets
Argentina Australia Austria BATS Belgium BlocSec Brazil Canada Chi X Chile China (Shanghai) China (Shenzen) Columbia Czech Republic Denmark Egypt Finland France Germany Greece Hong Kong Hungary India Indonesia Ireland Israel Italy Japan (JASDAQ) Japan (Osaka) Japan (Tokyo) Japan Crossing Jordan Malaysia Mexico Morocco NASDAQ OMX Netherlands New Zealand Norway 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 Pakistan Peru Philippines Poland Portugal Singapore South Africa South Korea Spain Sri Lanka Sweden Switzerland Taiwan Thailand Turkey Turquoise UK (LSE) US (ECNs/Dark) US (Nasdaq) US (NYSE) Virt-X (SWX) 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3
Contact Asia ES Sales Desk, Hong Kong +852 2166 5100 Europe ES Sales Desk, London +44 (0) 20 7762 5400 ES Sales Desk, Paris 17 00 +33 1 58 98
North America ES Sales Desk, New York +1 212 278 5100
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Profiles
UBS
UBS Direct Execution is UBSs global institutional electronic trading business. Direct Execution offers direct market access (DMA), a suite of advanced algorithmic trading strategies, the UBS Pinpoint execution management system and the UBS Fusion web-based analytics platform. Launched in 2007, UBS Fusion provides clients with a flexible set of pre-, at-, and post-trade analytics and tools, including RealTime TCA.
As the marketplace becomes more and more fragmented, and traders compete for better execution, the ability to find liquidity is a number one asset. UBS provides access to its own UBS PIN liquidity pool, as well as connectivity to markets worldwide. With access to over 130 exchanges and alternative liquidity venues worldwide, UBS trades equities in each region of the globe.
Description of Algorithms TapNow A very aggressive liquidity-seeking strategy, which aggregates liquidity across displayed markets and dark pools. Tap Simultaneously seeks liquidity in both displayed and non-displayed markets, based on your Urgency setting and parameters. Pairs Executes two stocks simultaneously, while monitoring prices for each and trading only when the target spread can be achieved. Does not participate in Opening or Closing auctions. Perimeter Enables trading outisde of regular US market hours: pre-open, post close, in auctions and imbalances. Available from 7:30am-5:30pm. Custom All strategies may be customized so the behaviour meets the clients preferred trading style or unique objectives. We also build bespoke custom algorithms to suit clients specific needs. Concept of Algorithms Strategies that think like a trader
Weve created a suite of highly self-adaptive algorithms that not only seek liquidity and price improvement, but also use advanced logic to safeguard your order from gaming and negative selection. An A-TeAmGroup Publication
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Headquartered in Zurich and Basel, Switzerland, UBS serves an international client base with its wealth management, investment banking and asset management businesses. UBS has offices in over 50 countries, with about 38% of its employees working in the Americas, 34% in Switzerland, 15% in the rest of Europe and 13% in Asia Pacific. UBS employs more than 75,000 people around the world
Company UBS Investment Bank Department/Division UBS Direct Execution Launch Date Not disclosed Number of Clients Not disclosed Product/Service Algorithmic Trading Website www.ubs.com/directexecution Claimed Feature(s) Commitment to price improvement Reduced market Impact, balanced to manage opportunity cost Completely confidential order and execution information both inside and outside UBS Claimed Advantage(s) UBSs vast internal network, (UBS PIN), as well as its ability to access the rest of the global markets Provides access to liquidity that is deep and diverse, with a commitment to optimizing crossing opportunities Traders on the ground in every market so UBS can draw upon their knowledge of local market idiosyncrasies After evaluating client needs, if a customized strategy is required, UBS will build it often overnight Algorithms are constantly evolving whether refined on a daily basis by the team or learning from the market themselves Nextgeneration algorithms are smarter than industry predecessors: subtler, more self-adaptive Special Facilities Smart Order Routing DMA HV (High Volume) DMA Broker Execution Services Asset Classes Portfolio Equities Single stock Equities Futures Options FX Cross Asset Algorithms
Common Algorithms
At Close At Open Float Implementation Shortfall Price Inline TWAP Volume Inline VWAP 3 3 3 3 3 3 3 3
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Profiles
Interfaces
Advent Bloomberg Charles River Eze Castle EZX Fidessa Flextrade InfoReach Instinet ITG Latent Zero Lava Linedata Neovest Portware RealTick Tethys ThinkorSwim Trading Screen UNX 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3
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Markets
Alpha ATS Arca (US only) Arca MTF Australia Austria BATS (Europe and US) BIDS Block Cross Bloomberg Tradebook Canada Chi X Czech Republic Denmark DirectEdge Euro Millenium Finland France Germany Greece Hong Kong Hungary India Ireland ISE Italy Japan Knight Link ATS Knight Match LavaFlow LEVEL Malaysia MatchNow MS Pool NASDAQ OMX Netherlands Norway NYFIX Poland Portugal 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 Pure Trading Sigma X (US only) Singapore South Africa South Korea Spain Sweden Switzerland Taiwan Thailand TSX Venture Turkey Turquoise UK UBS PIN UBS PIN ATS UBS PIN Cross US 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3
Contact Americas Switchboard +1 800 563 8018 +1 203 719 1750 Asia Switchboard +852 2971 8334 Australia Switchboard +612 9324 2817 Europe Switchboard +44 20 7568 8313 Japan Switchboard +81 3 5208 7249
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www.Low-Latency.com
Your dedicated online resource from A-Team Group
For news, thought leadership and resources on low latency applications, technologies and architectures
Continuous Updates on Low Latency Technologies Vendor News and Customer Deployments Market Data Feeds and Handlers Messaging Middleware and Data Fabrics Complex Event Processing Applications, from Algo Trading to Compliance Data Volumes Updates Product Datasheets and Whitepapers Benchmarking and Performance Results
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Directory profiles
An A-TeAmGroup Publication page
99
Directory of services
AlgoTrader
Algo Trader Simon Bell, Director T: +44 (0)845 056 9786 info@algotrader.com www.algotrader.com
AlgoTrader is completely transforming the commercial model for any organisation wishing to trade equities, derivatives and FX algorithmically. Unlike our main competitors, AlgoTraders standard pricing model is payper-play, meaning we charge zero up-front license fees, and no monthly rentals. This makes us the most cost-effective solution in the market - bar none! As THE hosted, broker-neutral service of choice were committed to delivering flexible, cost-effective algorithmic trading functionality to both buy-side and sell-side institutions. Our Products Our sophisticated EMS, SpreadHawk , allows clients to trade through shrink-wrapped algorithms for single stocks, pairs and portfolios. Alternatively our industrial strength OptimEx toolkit facilitates trading directly from clients proprietary Excel spreadsheet models. Clients can either use one of our partner brokers or route through their own DMA provider.
Progress Apama
Progress Apama is the Capital Markets leading and most comprehensive complex event processing (CEP) platform.
Progress Apama EMEA: T: +44 207 788 0137 apamasolutions.emea@progress.com North and South America: T: +1 800 979 2546 apamasolutions.americas@progress. com Asia Pac: T: + 61 2 9919 7100 apamasolutions.asiapac@progress. com www.progress.com/apama
Both sell-side and buy-side institutions can leverage the sophisticated functionality of the Apama platform and its outstanding performance in a range of applications including algorithmic trading, risk management, market aggregation, smart order routing and pricing. The rich development environment enables both business users and developers to create, test, and deploy differentiated event processing strategies. For information on the Progress Apama platform, see www.progress. com/apama.
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Fidessa Group
Fidessa group provides multi-asset trading, portfolio analysis, decision support, investment compliance, market data and global connectivity solutions for the buy-side and sell-side globally. The Fidessa suite supports 85% of tier-one, global equity brokers providing trading, market data, order management and execution capabilities to 22,000 users across 630 clients around the globe. The Fidessa LatentZero suite is used by the largest asset management firms, smaller specialist managers and hedge funds, providing portfolio analysis, real-time P&L, what-if analysis, investment compliance, order and execution management, and post trade processing tools, across all asset classes. Fidessas global network connects 2,200 buy-sides and 360 brokers across 115 markets worldwide.
Fidessa Group One Old Jewry London EC2R 8DN T: +44 (0) 20 7105 1001E: www.fidessa.com www.latentzero.com
Lightspeed Trading
Lightspeed Trading is a leading provider of DMA trading technology, risk management solutions, and brokerage services for professional retail active traders, proprietary trading groups, and institutional investors. Lightspeed Gateway, Lightspeeds automated trading offering, provides clients employing algorithmic or black box trading strategies with sophisticated brokerage services and a complete technology infrastructure for high performance direct-market access trading, risk management tools, and co-location services within NASDAQs datacenter. Other features include: Ultra low latency order execution and market data Total anonymity Real-time online account access A platform agnostic API
Lightspeed Trading T: + 1-888-LSPD123 (577-3123) www.lightspeed.com
Lightspeed Gateway delivers unrivaled speed, measuring in single digit milliseconds per average order entry, combined with zero-effort compliance and regulatory surveillance. Lightspeed also offers sponsored access connectivity, allowing algorithmic traders to communicate directly with market centers.
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Directory of services
Orc Software
Orc Software (SSE: ORC) is the leading global provider of powerful solutions for the worldwide financial industry in the critical areas of advanced trading and low latency connectivity. Orcs competitive edge lies in its depth of knowledge of the trading world gained by deploying advanced solutions for sophisticated traders for over 20 years. Orc Trading and Orc Connect provide the tools for making the best trading and connectivity decisions with strong analytics, unmatched market access, powerful automated trading functionality, high performance futures and options trading capabilities, ultra-low latency and risk management. Orcs customers include leading banks, trading and market-making firms, exchanges, brokerage houses, institutional investors and hedge funds. Orc provides sales and quality support services from its offices across EMEA, Americas and Asia Pacific.
Orc Software Americas: +1.312.327.8555 Asia Pacific: +852.2167.1950 EMEA: +46.8.506.477.00 sales@orcsoftware.com www.orcsoftware.com
XELINK Hosted Algorithmic Trading Service

XeLink provide a Hosted Algorithmic Trading Service on the model of Application Service Provision (ASP) using the Progress Apama platform. Most standard strategies are available out-of-box and consulting is provided to design custom strategies for client specific needs.
XELINK Palais de la Bourse Place de la Bourse 1000 Bruxelles T: +32 2 503 08 48 Info.request@xelink.net www.xelink.net
The service is designed as a non-intrusive solution. Customers can either use XeLink trading station to enter their orders, or create orders in their own OMS and route via FIX to XeLink. Child orders resulting from algorithmic decisions are executed via the customer market access, via XeLink connections or via designated brokers. XeLink applies the standards of excellence in IT service provision.
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OTC Valuations
Pricing Assets in the Post Credit Crunch World
The issue of mis-pricing assets has hit the mainstream. Identified as a contributing factor in the
A-TeAmGroup ReseARch RepoRT
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Fidessa group is a world-leading supplier of multi-asset trading, portfolio analysis, decision support, compliance, market data and global connectivity solutions for both the buy-side and sell-side globally.
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A-TeAmGroup

The Power of Complex Event Processing in Capital Markets

What trading platform...

Bringing the power of Complex Event Processing to Capital Markets.

Quick: How much $ is a millisecond worth?

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More than just the news... delivers

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An A-TeAmGroup publication www.a-teamgroup.com

An A-TeAmGroup publication www.a-teamgroup.com

Consolidating Market Fragmentation

Company Morgan Stanley Department/Division Electronic Trading

An A-TeAmGroup publication www.a-teamgroup.com

well as related technology and intellectual property in the process.

Description of Algorithms Not disclosed

Concept of Algorithms Smart Order Routing (Sherpa)

Company Numis Securities

An A-TeAmGroup publication www.a-teamgroup.com

Concept of Algorithms Unique Aggression Parameter

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Uniting the buy-side and sell-side, globally

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