Algo Execution Strategies
Liquidity Seeking Strategies
Abraxas
Tactical trading algorithm designed for careful execution. It intelligently navigates difficult markets, seeks liquidity efficiently across all markets and takes advantage of favorable price movements and volatility changes.
Abraxas Example
"Buy 50,000 ABC here if it is available. If not, then quietly participate."
Stealth
Dynamically routes orders to 20+ dark liquidity destinations which represent over 85% of available non-displayed liquidity in the marketplace. Leverages “Darkness” rating to access best available non-displayed liquidity.
Stealth Example
"Sell 100,000 ABC looking for liquidity across dark pools. Execute as much as you can intelligently without interacting with the displayed markets."
NIX
All: SOR order type that aggressively accesses displayed and dark liquidity simultaneously in order to fill order immediately.
Dark: SOR order type that pings dark pools looking to aggressively fill order without executing against displayed quotes.
NIX Example
All: "Sell 30,000 ABC, hitting bids in the market while pinging dark liquidity simultaneously."
Dark: "Buy 18,000 ABC, by aggressively pinging dark pools."
Benchmark Strategies
VWAP
Minimizes slippage against VWAP by targeting the stock’s expected volume profile within the user specified time frame. Uses historical and real-time volume data.
VWAP Example
"Buy 100,000 ABC between now and 4pm, allocating slices of the trade throughout the day according to expected liquidity."
TWAP
Spreads the order out evenly over the user specified time frame.
TWAP Example
"Sell 60,000 ABC over an hour." (I’d like to be filled on an average of 10,000 shares every 10 minutes)
POV
Strives for minimal market impact by participating at a specified percentage of volume. Ideal when consistent participation takes priority over guaranteed completion.
POV Example
"Buy 50,000 ABC, but be no more than 10% of the volume. I understand I may not complete."
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.
Initiation Price Example
"Sell 75,000 ABC, ideally at $1 or better, but I do need to complete."
IQx
Provides optimal arrival price performance for small orders. IQx reads market trading activity and dynamically manages its trading tactics across both light and dark markets. ConvergEx optimizes the configuration of IQx for each customer individually.
IQx Example
"Immediately buy 6,500 ABC within the spread if possible."
Opportunistic
Value
Increases participation rate when price is favorable and decreases participation when prices are unfavorable.
Value Example
"Buy 100,000 ABC go along at 20%. If prices move in my direction, get more aggressive. If prices move away from me, slow down."
Momentum
Dynamic price response strategy that gets more aggressive as prices move against you and scales back participation when prices move in your favor.
Momentum Example
"Buy 25,000 ABC at 15%. If it’s moving against me, get more aggressive. If it’s coming in, slow down."
Special
Corporate Buyback
Repurchase shares for corporations by minimizing slippage against VWAP. Uses historical and real-time volume data.
Corporate Buyback Example
"Buy 100,000 ABC following 10b-18 guidelines while allocating shares based on expected liquidity."