Algorithmic Trading

Tactic Descriptions

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IMPROVE Improve, our implementation shortfall strategy, seeks to achieve the user's desired tradeoff between market impact and opportunity costs, given a user-specified duration and any of the three mode settings - Passive, Active and Aggressive. The server will complete the order or return unexecuted shares after the duration has expired. The strategy attempts to trade an order based on the price of the stock when the order arrived on the server (the "arrival price"). The user may also provide a price tolerance" indicating how much a stock's price will be allowed to deviate from its arrival price before the server will stop trying to execute the order. If no tolerance price is set by the user, the server will set the price tolerance to a percentage different from the arrival price. Example: "Buy 10,000 shares of AXCM within 5 cents from the arrival price; be done by 1pm; be passive/aggressive." BLOCK Block is designed to trade only when a specified minimum trade size can be reached within a user-designed price tolerance. The strategy is particularly helpful in executing orders where liquidity is an issue. The server monitors for blocks within the price tolerance without displaying the user's order to the market. When the conditions are met, the strategy will buy up to, or sell down to, the limit of the the price tolerance, executing the best price first. Share quantity requirement - the server monitors for the specified minimum number of shares before the strategy will enter the market. Managing the price a limit based on the price level - the user sets the price level and tolerance for executing transactions. The strategy strategy can accept a limit order or calculate a limit based on the price when the order enters the server. The liquidity scan - the server uses sophisticated scanning methods to find opportunities, while monitoring depth of book across all markets. Period - users can specify how long the server will continue to monitor the market. Passive participation option - the user can expose small passive orders that would participate when the stock makes a favorable move. Example: "Buy 40,000 ACXM at $18.95 top: trade only if at least 8,000 shares are available at the time." VWAP Volume weighted average price, VWAP, is a popular benchmark derived by dividing the dollar volume of a stock by its corresponding share volume over a designated trading period, either by all-day or intra-day intervals. A VWAP trading strategy may participate proportionally through the day to minimize transaction costs and to reduce the market impact of large block or illiquid trades. Clients can easily connect to the VWAP server via FIX from a range of proprietary and third-party order-management systems. FIX tags provide further customization capabilities, allowing clients to specify: end-time/duration, price limit, price tolerance levels, volume limit, and momentum settings. Example: "Buy 300,000 shares of MSFT on the VWAP from 11am to 1pm; don't be more than 15% of the volume." PEG This tactic displays only the size you want shown and pegs to the bid, midpoint, or offer until completion. Enter a display size and choose a patient, normal or aggressive execution. Example: Buy 150,000 INGP, Limit = 6.05, Style = Patient, Display Size = 1,000. "Buy 150,000 INGP with a 6.05 top, show 1,000 shares at a time on the bid until done." LIQUIDITY Direct market access via smart order routing infrastructure. LIQUIDITY routes your order immediately to the ECN or Exchange with the best price and liquidity. Example: Buy 10,000 INTC, Price = 24.40 "Buy 10,000 INTC, take the 24.40 offer." TSLICE System trades during your selected time period. An order will be 25% completed when 25% of the time period has elapsed and 50% when 50% of the time has elapsed, etc. It does not take price movements during the period into account other than the usual smart limit order placement strategies throughout the order. Example: Buy 500,000 HD at 42.25, Start = 11:00AM, End = 3:40PM "Buy 500,000 HD at 42.25 or better; spread it out evenly from 11 to 3:40." SLICER Displays the size you want shown at your price instruction (market or limit). Upon getting it filled, it sends out the next price until completion. Example: Sell 50,000 QQQQ, Price = 38, Display Size = 1,000 "Sell 50,000 QQQQ, with a 38 low, put out 1,000 at a time until done." VOLPART Trade in line with the printed volume. Volpart tracks the user specified participation in the total actual market activity. User may set price limit, target volume and duration. High participation rates may incur price impact. Example: "Buy 300,000 shares of NSFT, be 15% of volume and be done by 1pm or sooner." PAIRS Minimize the effect of market moves by emphasizing the performance of one stock relative to another. Hedge your market risk by simultaneously implementing a long position in one stock with a short position in another correlated stock.

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