| BLOCK:
While other algorithmic strategies tend to divide
large orders into smaller pieces, Block is
designed to trade only when a specified minimum trade size
can be reached within a user-designated 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 price tolerance,
executing the best price first.
Key Features
Share Quantity Requirement: The server monitors
for the specified minimum number of shares before the strategy
will enter the market.
Managing the Price Level: The user sets the
price level and tolerance for executing transactions. The
strategy can accept a limit order or calculate a limit based
on the price when the order enters the server.
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.
Venue Selection: Users can select the execution style from
the drop-down menu - Cross Only, DMA Sweep
(only exchanges), DMA Post (exchanges and
post orders), DMA Cross (both cross and exchange),
or All Destinations.
Example
An order to sell 90,000 shares of XYZ arrives with a 10,000-share
minimum and a tolerance of 25 basis points (see table). The
market for XYZ at the time of the entry is at 28.50 x 28.60
- 2 x 5. The tolerance of 25 basis points (7 cents at 28.50)
instructs the server to look for quotes ranging from 28.50
down to 28.43 to find the 10,000 share minimum. If blocks
totaling 10,000 shares become available within that tolerance
range, the server will attempt to execute orders for all of
the blocks available within the tolerance range (up to the
90,000 shares), taking the best price first. If the market
for XYZ changed to 28.45 x 28.54, the server would then search
for the 10,000 share minimum down to a price of 28.38.
| Example:
Selling 90,000 shares of XYZ 10,000 share minimum at
28.50 with a price tolerance of 25 bp ($0.07). |
Cum.Shares
200
500
10,000
20,000 |
Display
Size
200
300
9,500
10,000 |
Bid
28.50
28.45
28.43
28.40 |
The
cumulative size of 10,000 shares within the price tolerance
triggers sales to those three bids, executing the best
price first. |
Advantages
Users can participate in multiple crossing networks
and dark pools of liquidity, facilitating the execution of large
block orders with reduced market impact.
For more information please contact your Account
Manager, Customer Support:
866-665-4454, or sales@futuretrade.com.
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