Algorithmic Order Guide
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1 Algorithmic Order Guide
2 STRATEGIES SUPPORTED MARKETS... 3 VWAP... 4 TWAP... 5 WITH VOLUME... 6 IMPLEMENTATION SHORTFALL... 7 PRE-MARKET LIMIT... 8 ICEBERG... 9 RELOAD...10 DARK / 11
3 SUPPORTED MARKETS APAC HONG KONG JAPAN... EMEA AUSTRIA BELGIUM DENMARK FINLAND FRANCE GERMANY IRELAND ITALY NETHERLANDS NORWAY PORTUGAL SPAIN SWEDEN SWITZERLAND UNITED KINGDOM... NORTH AMERICA UNITED STATES CANADA 3 / 11
4 VWAP VWAP works an order over a user-specific time interval, attempting to match or beat the Volume-Weighted Average Price (VWAP) for that time interval. The order is executed proportionally with the expected market based on historical volume distribution. Since the VWAP is executed according to the expected market volume the strategy should not be used on days where the actual market volume is deviating significantly from the normal historic market volume. KEY CONSIDERATIONS: Volume moving sharply away from historical distribution, e.g. unexpected company news will likely result in higher deviation from VWAP benchmark. Limit Price (Optional) Start / End Time (Optional): If not specified, start and end times are by default set to market open and market close, respectively. Start and end times are defined in local exchange time. Max Participation Rate (Recommended): Ability to place constraint on the maximum percentage of trade volume in which the order should participate. In Open / In Close Auction (Optional): The user can decide to not participate in opening and/or closing auctions. If not specified these are by default set to include auctions. I Would Price (Optional): Attempts to complete or trade up to the price specified. Within this price the order can be up to 100% of trade volume. 4 / 11
5 TWAP TWAP will trade linearly over the specified time period. The strategy aims to trade evenly throughout the period regardless of volume while reducing market impact and attempting to maximize anonymity. KEY CONSIDERATIONS: During unpredictable spikes in volume liquidity might be missed and during low volume periods the order could be significant part of the traded volume. Limit Price (Optional) Start / End Time (Optional): If not specified, start and end times are by default set to market open and market close, respectively. Start and end times are defined in local exchange time. Max Participation Rate (Recommended): Ability to place constraint on the maximum percentage of trade volume in which the order should participate. In Open / In Close Auction (Optional): The user can decide to not participate in opening and/or closing auctions. If not specified these are by default set to include auctions. I Would Price (Optional): Attempts to complete or trade up to the price specified. Within this price the order can be up to 100% of trade volume. 5 / 11
6 WITH VOLUME With Volume trades in proportion with actual market activity targeting the participation at a user specified percentage of overall traded volume. The strategy is suited when the trader wants to directly control their participation rate and/or be more involved when the stock is trading heavily. As the strategy trades in proportion with actual market volume it is more suited for stocks whose trading volume varies substantially from a day to day basis. KEY CONSIDERATIONS: With Volume does not guarantee completion if there is low liquidity and may fill early if there is high liquidity. Participation in a volume spike could lead to large volume execution around an event which offers un-favourable price. Limit Price (Optional) Start / End Time (Optional): If not specified, start and end times are by default set to market open and market close, respectively. Start and end times are defined in local exchange time. Max Participation Rate (Mandatory): The percentage of trade volume in which the order should participate. In Open / In Close Auction (Optional): The user can decide to not participate in opening and/or closing auctions. If not specified these are by default set to include auctions. I Would Price (Optional): Attempts to complete or trade up to the price specified. Within this price the order can be up to 100% of trade volume. 6 / 11
7 IMPLEMENTATION SHORTFALL Implementation Shortfall aims to optimize the time of trading to minimize the combination of price impact and the risk of potential price movement. The optimization considers the current marketplace and stock-specific trading characteristics as well as the size of the order. The order is executed in line with the expected volume profile. Higher urgencies trade faster at the beginning to maximize liquidity capture at the current price, whereas low urgency will prioritize to minimize market impact while taking more execution risk. KEY CONSIDERATIONS: Should be avoided on days with high volatility periods or when volume distribution is uncertain. Limit Price (Optional) Start / End Time (Optional): If not specified, start and end times are by default set to market open and market close, respectively. Start and end times are defined in local exchange time. Max Participation Rate (Recommended): Ability to place constraint on the maximum percentage of trade volume in which the order should participate. In Open / In Close Auction (Optional): The user can decide to not participate in opening and/or closing auctions. If not specified these are by default set to include auctions. I Would Price (Optional): Attempts to complete or trade up to the price specified. Within this price the order can be up to 100% of trade volume. Urgency (Mandatory) Based on the urgency chosen the algorithm determines the optimal trading horizon. Higher urgencies trade faster at the beginning to maximize liquidity capture at the current price, whereas low urgency will prioritize to minimize market impact while taking more execution risk. 7 / 11
8 PRE-MARKET LIMIT Available for CFDs and Cash Shares on US Single Stocks and ETFs. The order will participate in the pre-market from 7:00am, and any residual will be rolled into the continuous session as regular limit order at the same limit price. Limit Price (Mandatory) 8 / 11
9 ICEBERG Iceberg orders are sent only to the primary exchange where only the specified quantity of the total is shown at any given time. Display Quantity (Mandatory): Quantity of shares displayed on the exchange at any given time. Please be aware of exchange specific rules for minimum display size. Limit Price (Mandatory) 9 / 11
10 RELOAD The reload strategy trades the order in tranches of a given size, entering a new tranche every time the previous one is filled. The strategy will place limit orders at the given price and size of the Display Quantity. The tranches are smart order routed across multiple venues which is the main difference from a native Iceberg order. Display Quantity (Mandatory): Quantity of shares displayed on the exchange at any given time. Please be aware of exchange specific rules for minimum display size. Limit Price (Mandatory) 10 / 11
11 DARK Order posted to dark venues only. Limit Price (Mandatory) 11 / 11
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