Algorithmic Trading Directory 2010

Algorithmic

TradingDirectory

April 2010

A-Te

A

m

Gr

oup

director

y

sponsored by

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Published by A-Team Group

Editor Andrew P. Delaney [email protected] Research Assistant George Bailey-Kirby [email protected] Design Victoria Wren [email protected] Publisher Angela Wilbraham [email protected] 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 [email protected] Sales Manager Ron Wilbraham [email protected] Vice President, Marketing Jim Willis [email protected] Marketing Coordinator

Jeri-Anne McKeon

Editorial and Business Offices A-Team Group

Eastcott

Old Salisbury Road, Abbotts Ann Hampshire SP11 7NH +44-(0)20-8090-2055 [email protected] www.a-teamgroup.com

A-TeAm

Group

Algorithmic

TradingDirectory

Foreword

Now in its third edition, the A-Team Algorithmic Trading

Directory is firmly established as the source of record

for the main providers of trading strategies for the buy side, and its arrival is enthusiastically anticipated as part of the electronic trading calendar.

We’re happy to report that the directory has grown again this year, with 22 suppliers profiled, and once again we owe a debt of gratitude to our sponsors, Fidessa and NYSE Technologies.

With three years of data under our belts, we now have the luxury of picking through the profiles to see what trends we can identify. The comparison over the past three years makes interesting reading, even at the anecdotal level.

We’ve noticed, for example, a growing number of connections to alternative trading systems (ATSs), with many firms beginning to offer ‘dark only’ trading strategies. There’s been an expansion into new and emerging markets, particularly into South America, Eastern Europe, the Middle East and parts of Asia. But that’s been counterbalanced by a handful of firms that have contracted their offerings away from certain markets, most likely due to the lack of exchange support and capability for rapid trading on this level.

Custom, adaptive and hybrid algorithms – more talk than real two years ago – are now entering the mainstream. And similarly the use of transaction cost analysis, smart order routing and other advanced capabilities is now seen as standard.

In short, we’re witnessing the maturation of the algorithmic trading marketplace, with firms responding with greater innovation and the ploughing of greener pastures further afield. We look forward to more innovation in 2010.

Andrew Delaney

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contents

Sponsor’s Foreword: NYSE Technologies6

Sponsor’s Foreword: Fidessa  10

Profiles 15

Barclays  16

BNP Paribas  20

CA Cheuvreux  24

Citi  28

ConvergEx Group  30

Credit Suisse  34

Deutsche Bank  38

Electronic Securities Processing  42

Fidelity Capital Markets  44

Goldman Sachs  48

HSBC 54

Instinet  58

Investment Technology Group  62

JP Morgan  64

Knight  68

Morgan Stanley 70

Nomura  74

Numis Securities  78

Royal Bank of Scotland  80

Sanford C Bernstein  82

Societe Generale  84

Thomas Weisel Partners  88

UBS  94

Directory of Services  95

To receive news updates on developments in algorithmic trading, sign up for A-Team’s Electronic Trading service at www.electronic-trading.com

A-Team Group

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AnA-TeAmGroupPublication

Introduction

Over the last several years, we have seen a broad shift in the markets that has changed the trading landscape in ways that many could never have predicted. Many ECNs have become exchanges, dark pools have come to represent a large proportion of the trading in today’s markets, and the fragmenta-tion of markets coupled with the significant reduction in latency has forever changed how liquidity interacts around the world.

The word ‘second’ no longer has meaning in the trading community unless prefaced with micro or nano. The playing field is be-ing levelled through the competitive force of technology. There has been no shortage of regulatory reform as well. SEC proposals on market structure and access are currently out for public comment and are expected to further accelerate the evolution of global markets.

Advances in technology and the constant of ever-changing regulation have enabled exchanges and exchange operators like NYSE Euronext to remain competitive while also extending their business model to aid market participants in their own highly competitive race to discover deeper, richer liquidity. The goal is to do this more efficiently than their competitors while adhering to best practices in risk management, a feat not easily achieved

in the ultra-low latency world of nanoseconds. This technology-driven race has created a clear focus on three parts of the trade life cycle: market data, infrastructure and trade submission.

Buy- and sell-side firms remain challenged to increase speed and reduce latency when accessing market data and trade execution systems. Firms are in need of a global con-nectivity strategy that must consider local and regional challenges while offering both cost effectiveness and scalability. Such considera-tions are necessary to realise optimal trade execution capabilities in the ultra-competitive securities trading business.

In response to these trends, exchange opera-tors like NYSE Euronext have embraced these market forces by acquiring and integrating strategic technology and service assets that provide customers with more than just the technology to trade – they offer the opportu-nity to aggressively compete in all phases of the trade cycle. This strategy has manifested itself as NYSE Technologies, NYSE Euronext’s com-mercial technology solutions unit.

Infrastructure: Addressing How

Distance Impacts Speed

NYSE Euronext is launching its all-new, state-of-the-art data centre facilities in 2010 in both

NYSE Euronext’s Data Centres:

Opening the Doors to High Frequency

Trading and Market Access

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the US and the UK. As the new trading floors of the 21st century, these specially designed ‘Liquidity Centres’ will host all of the com-pany’s global market operations. For example, the US Liquidity Centre alone can easily proc-ess all the trading activity in North America while hosting the critical business applications of many of the world’s trading firms.

These liquidity centres are critical business assets that attract transaction activity, enhance the quality of markets and accelerate the evolution of global capital markets. They are liquidity hubs that not only execute trades in fractions of a second, they facilitate trading through high-speed ticker plants and other unique hosted services.

The core services offered here not only fa-cilitate global, multi-asset trading but deliver the benefits of unmatched speed with con-tinually enhancing performance. These ben-efits are available to all market participants regardless of size and level of participation. The capital markets community is no longer limited by location or the characteristics of a trading desk – those notions no longer matter as technology continues to close any gaps cre-ated by distance and cost. The playing field continues to be levelled by innovations like the data centres. Today’s trading firms need, and in many cases require, the reliable speed and platform stability that our liquidity cent-ers can easily and cost-effectively provide.

One of the primary services available in the NYSE Euronext Liquidity Centres is collocation. The main driver for the colloca-tion effort is to remove the distance that a quote (like a shouted open-outcry offer) has to travel to get to a trader’s programme on a

server, and then to remove the distance that trader’s programme has to send its order back – dramatically reducing the round-trip order execution time. NYSE Technologies is addressing

this by allowing customers to reserve colloca-tion space in the buildings leading up to the launch of the liquidity centres later this year. Collocation offerings from exchanges make this available to all market participants, again opening doors for more traders and levelling the playing field once again.

Market Data: Better Information Makes

Better Decisions

The second arena in which technology has opened the door to more high-frequency traders is the exponential acceleration of market data. With the numbers of quotes and orders being submitted to the execut-ing venues growexecut-ing by multiples, firms have raced to improve their systems to process these messages and increase their capacity. NYSE Technologies has helped firms with this aspect of high-frequency trading by offering consistently improved feed handlers, hosted managed services like our Superfeed product suite, and making disparate market data avail-able from a single source: the SFTI network.

For today’s high-frequency trading communi-ty, technology advances offer a different, but im-portant mix of risk and reward for all involved. In terms of quickly and effectively executing their trading strategies while simultaneously managing their exposure to the risk inherent in

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AnA-TeAmGroupPublication

Introduction

NYSE

TECHNOLOGIES.

TOGETHER WE

POWER THE

EXCHANGING

WORLD.

Global Market Data • exchanGe SolutionS • Global connectivity • colocation • traDinG SolutionS

NYSE TECHNOLOGIES IS WHERE TODAY’S CHANGING mARkETS mEET TOmORROW’S SOfTWARE— SImPLY THE mOST COmPREHENSIvE, bLEEDING-EDGE SuITE Of PRODuCTS AND SERvICES TO POWER THE EXCHANGING WORLD. OuR PROPRIETARY SOLuTIONS fOR TRADING AND EXCHANGES INCLuDE NEW TECHNOLOGIES LIkE THE uNIvERSAL TRADING PLATfORm—ASSERTING uLTRA LOW LATENCY AND HIGH PERfORmANCE. WE HAvE ALSO LAuNCHED A RANGE Of RISk mANAGEmENT SERvICES, INCLuDING NYSE TECHNOLOGIES’ RISk mANAGEmENT GATEWAY™ (RmG™) DIRECT DESIGNED TO mEET THE GROWING PERfORmANCE DEmANDS Of THE HIGH fREquENCY TRADING COmmuNITY, WHILE GIvING SELL-SIDE SPONSORS A COmPREHENSIvE PICTuRE Of THEIR CLIENTS’ RISk PROfILES. WITH bREADTH AND DEPTH, SERvING ALL SECTORS Of THE mARkET, OuR vERSATILE PRODuCTS AND SERvICES ARE SO POWERfuL, EvEN OuR COmPETITORS uSE THEm. WELCOmE TO THE EXCHANGING WORLD. nyse.com/technologies

©2010 NYSE Euronext. All rights reserved. NYSE Euronext and its affiliates do not recommend or make any representation as to possible benefits from any securities, futures, investments, or third-party products or services. Investors should undertake their own due diligence regarding their securities and investment practices. This advertisement may contain forward-looking statements regarding NYSE Euronext and its affiliates. Such statements are based upon the current beliefs and expectations of management and are subject to significant risks and uncertainties. Actual results may differ from those set forth in the forward-looking statements.

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offer a range of products that help balance that sometimes complicated risk equation.

Risk Management Gateway; Enabling

Trade Flows with Controls and

Confidence

NYSE Technologies has created a range of risk management solutions that offer customers and investors the kind of protection and stability to effectively manage the trading risks inherent in today’s super fast, high-volume global markets. NYSE Technologies’ Risk Management Gate-way (RMG) is a high throughput, low-latency routing and risk management engine enabling broker-dealers to safely provide the high-performance direct market access that their clients demand. As a fully hosted and managed solution, RMG is offered in both the US and Eu-ropean Liquidity Centres as well as third-party data centres worldwide. As volume increases dramatically across markets and trading activity continues to expand and evolve, RMG provides firms with the ability to better observe and con-trol the order flow they represent electronically. This helps eliminate ‘fat finger’ errors, credit breaches by the client and other pre-trade restrictions.

RMG is unique in the pre-trade risk space in that it is an exchange offering and a commer-cial product. The service allows users to send order flow to the NYSE Euronext markets as well as all other major markets and alternative trading systems (ATSs).

With the regulatory climate around exchange access in flux, RMG is particularly well suited to help clients evolve their business models in par-allel by utilizing its simplified structure and core risk controls. In addition to the obvious benefit

of pre-trade risk validation, the RMG suite helps firms lower their total cost of infrastruc-ture spending through NYSE Technologies’ extremely low total cost of ownership model.

For the sponsoring firms, this means being able to focus solely on their core businesses and relationships, not the background technology installation and maintenance. For the model driven firms, RMG allows them to re-focus ef-forts on realizing alpha. In both cases, we hope our customers benefit from our expertise in creating products that truly reflect the evolu-tion of their needs in today’s changing global marketplace.

NYSE Euronext and NYSE Technologies will continue to maintain an unwavering commit-ment to being at the forefront of innovation and customer service with market-changing products and ideas that drive the advancement of global markets. As we approach the launch of our new liquidity centres and introduce a number of new products and services, 2010 promises to be a year of great change in the marketplace. At NYSE Technologies, our mis-sion of continually enhancing performance and lowering the cost of ownership for our clients means always doing more with less and pushing the boundaries of financial technology solu-tions. Whether it’s our data centres themselves or access to markets and market information from around the world, our goal has always been to open doors.

For further information please visit www.nyse.com/ technologies or contact us at [email protected].

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AnA-TeAmGroupPublication

Introduction

Globalisation, in part a response to the diminishing returns to be found in the more established geographies, has led participants of all sizes to establish links and relationships in markets from Sao Paulo to Hong Kong. It naturally follows that sophisticated algorithms are increasingly in demand as clients look to algorithmic service providers with broad global reach to offer innovative and dynamic models for these markets. However, buy-side firms are beginning to look beyond the head-lining algos to the service offerings behind them.

As competition inevitably heats up in these areas, demand becomes increasingly sophis-ticated and the pressure to create algorithms tailored for the particular characteristics of the markets will increase.

For many algo providers this has simply meant changing some parameter defaults and removing irrelevant, or inappropriate, variables. This does not make for the best al-gorithmic solution and often fails to consider real market differences.

Providers also have to meet the changing demands in domestic markets by extending their asset class coverage. There has been a continued move within the buy-side com-munity towards more diversified multi-asset portfolios, used both to enhance perform-ance and to protect returns as part of a hedg-ing strategy. With this comes a consequent demand for algorithmic models in derivatives, FX, and fixed income trading. However, in this area, it is not simply a question of making subtle changes to existing offerings. Instead, algo providers have to consider developing completely new models to handle the signifi-cant differences in instrument type.

While multi-asset algos are now offered by many sell-side brokers, the world of pure equity trading has not been standing still. Perhaps one of the greatest changes seen is the increase in liquidity venues, including the growth of dark liquidity pools. With new venues emerging on what feels like a monthly basis, it is clear that the quality of a firm’s algorithmic execution largely depends on

Doing More with Less: Algorithmic

Trends for 2010

By Bruce Bland, Head of Algorithmic Research, Fidessa

Algorithmic trading continues to extend its reach but is doing so in increasingly

constrained circumstances. New geographies are opening up while local regions

require more multi-asset coverage and greater use of dark-seeking algorithms. In

order to meet their clients’ demands for comprehensive algorithmic capabilities

and accurate performance measurement, brokers are looking at different ways

of packaging models and deploying IP to their best advantage.

AnA-TeAmGroupPublication page

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its ability to access as many of these liquidity sources as possible. Many brokers now offer “dark seeking” algorithms and the ability to flag existing benchmark models with a “use dark” parameter allowing clients to access this liquidity.

Given the levels of variety among these “dark” venues, it has become the responsibil-ity of each trader to understand and properly control their execution process. For example, traders must determine the optimum time interval for seeking out dark liquidity, evalu-ate the true composition of these necessar-ily obscure liquidity sources, and assess the impact on opportunity costs.

Ensuring that algos are part of a tightly

integrated package of services that enhance performance is a key differentiator among brokers. There is growing recognition that close

co-operation between algo, smart order routing and intelligent analytics is a critical success factor. Accessing additional liquidity not only helps reduce market impact but, with the most advanced smart order routers, it can also offer price improvements of up to a quarter of the spread. Smart order routers that are ca-pable of pegging and other so called “ladder” processing will further improve performance. “Heat map” based approaches - which predict

>>

1.0 1.2 1.4 1.6 1.8 2.0 2.2 2.4 Feb Jan Dec Nov Oct Sep Aug Jul Jun May Apr Mar Feb Jan Dec Nov Oct Sep Aug Jul Jun May Apr Mar DAX CAC-40 AEX FTSE-100

Figure 1: Fragmentation of key European indices - March 2008 to February 2010

Source: www.fragmentation.fidessa.com

www.fidessa.com

Uniting the buy-side

and sell-side, globally

Fidessa group is the leading supplier of multi-asset trading, portfolio analysis, decision support, compliance, market data and connectivity solutions for firms involved in trading the world’s financial markets.

.

Used by over 85% of tier-one, global financial institutions

.

Serving 25,000 users across 850 clients worldwide

.

Providing connectivity to 130 markets, 2,400 buy-sides and 530 brokers offering DMA, care and algorithmic services globally

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liquidity in both dark and lit venues based on the trading patterns seen in time and sales data - are also being used.

Intelligent analytics are a key part of the package. Although improving they are still not providing all the answers, and it is proving to be more difficult than many had initially anticipated to store, analyse and interpret the vast quantities of data needed to provide a meaningful and accurate comparison of models. In Europe, which is experiencing in-creasing levels of fragmentation (as illustrated in figure 1), the requirement to produce ac-curate benchmark figures based on multiple trading venues is being met by only the most sophisticated trading platforms.

Nor have they proved capable of accurately reflecting where orders have actually been executed back to the buy-side. In an inde-pendent market study carried out at the end of 2009 it was found that up to 30 percent of executions traded on the primary markets could have been executed at a better price on another venue. With better post-trade report-ing techniques it is likely that this figure will reduce, as brokers are asked by clients eager to obtain better performance to connect to additional alternative trading venues.

Improvements in post-trade analysis highlight that not all benchmark algorithms perform the same. In the past, slippage from VWAP has been used as the primary benchmark with the standard deviation from that mean slippage figure used as a guide to algorithmic reliability. But it is becoming clear that greater attention should be given to the length of time an order is being worked by the algorithm, and how that algorithm

performs over a range of order sizes. Most existing benchmarks do not filter out small orders or those orders that have only taken a few minutes to trade. However, when this additional filtering is carried out the real algorithmic performance figures begin to emerge and the impact of additional liquidity becomes more apparent. For example, it has been found that Percentage of Volume models, which trade small order sizes over long time periods, perform better if they adopt passive trading techniques as markets are often more likely to move towards them rather than away.

Standard benchmark algos have experi-enced a resurgence in popularity since the beginning of the recent financial crisis. Al-though the reasons for this are not altogether clear, it’s been noted that humans tend to re-sist change, and some traders appear to have retreated to the safety net of those models with which they are most familiar.

Additional algorithmic models which sit above the standard benchmark ones have be-come more common. These allow traders to make use of pre-trade analytics to accurately set the model’s parameters, and enable them to switch model type or route to a co-located execution model for faster market access. We’re likely to see an increase in the adop-tion of these distributed algorithmic models, which are, in effect, models that can drive orders in other models, as the global sell-side broking community responds to the growth in high-frequency trading and smart order routing.

Today’s uber-competitive algorithmic mar-ket has served the buy-side community well.

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AnA-TeAmGroupPublication

Introduction

Introduction

Taking advantage of this environment, it has demanded efficient access to the best-of-breed algorithms, while still relying on its broker relationships to nurse its more sensitive order flow through to execution. To compete in this market a broker needs to offer its clients the tools and strategies necessary to attract that flow: it’s all about variety and choice.

However, the critical factor here is cost con-straint. With available development resources reduced or restricted, brokers are looking at ways to retain that competitive edge while simultaneously controlling costs. Innovative methods of deployment, whether it is having models built by an in-house team or licensed through an external vendor, are emerging as a key cost control mechanism.

Providers are responding accordingly, and we are seeing increasing levels of white labeling and in-house development to ensure that choice is not restricted or business re-duced. White labeling has itself become more sophisticated, with granular levels of avail-ability replacing the previous black and white choice between outsourcing completely and developing in-house. Certain providers are now separating their algorithmic services as independent units, for example, in order to gain a return on investment. It enables clients to write their own algos within an environ-ment or framework created for them by the providers. In this scenario it is the operational components that have been outsourced, while the client still protects its own IP.

It should be noted that buy-side firms have not been standing still over recent years. With the growth of high frequency trading in the hedge fund community, firms are now

con-necting directly to exchanges via co-location services which power their micro-level strate-gies. It will be interesting to see how these high frequency focused hedge funds weigh up the balance between using broker services or home built systems in the future.

Certainly as the algo trading sphere continues to develop, and as sell-side brokers are obliged to invest in new markets, we’ll continue to see innovation in the packaging, accessing and deployment of algos. This may indeed be one of the more important themes of the next twelve months.

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profiles

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AnA-TeAmGroupPublication

Profiles

Barclays Capital Equities offers clients BARX Equities Algorithmic Trading Strategies, a comprehensive and customizable suite

of algorithms, from benchmark algorithms to dynamic and scaling algorithms, including non-displayed liquidity-seeking

Barclays

Capital

Description of Algorithms

Portfolio Target Strike Minimize implementation shortfall, on a portfolio level.

Dynamically update the optimal trade schedule to balance price risk against price impact, subject to user-specified long-short neutrality constraints and aggressiveness level.

Escalate Adjust aggressiveness dynamically based on price. Participate at a target percentage of market volume, scaling up aggressiveness as the market moves in your favour relative to the arrival price. BARX® Hydra Maximize execution rates in dark pools and opportunistically

execute on traditional markets. Execute in both dark and lit venues, intelligently adjusting exposure whenever liquidity is discovered.

Work and Pounce Enhance benchmark algorithms and trading tactics with

opportunistic liquidity capture at a user-specified size and spread range. Work the order with choice of benchmark strategy or trading tactic, but execute aggressively whenever significant liquidity is available within a certain range of the current quote. Rapid Quickly execute order whenever liquidity is available.

Aggressively take displayed and reserve liquidity any time stock is available within a certain range of the arrival price; post in dark venues when price moves away from its threshold.

Pairs Trader Automatically execute paired buy and sell orders in relative value trades. The user specifies the deal terms, target spread and execution method. The strategy monitors market spread in real time and triggers a pair order when the current spread is within the target range.

Custom Algorithms Create custom execution strategies using a combination of actions and triggers. Enhance existing algorithms like VWAP and With Volume, or create completely new hybrid strategies. Volatility Trader Volatility Trader is a multi-functional execution tool for

sophisticated options traders. It offers the ability to specify implied volatility and delta-adjusted limit prices, as well as stock and liquidity parameters for customizing the strategy’s participation in the markets. The strategy can also automatically hedge the options for delta-neutral trading.

Options Work and

Pounce Options Work and Pounce is a tactical strategy that continuously monitors the aggregate size of all options exchanges for liquidity opportunities. The strategy allows traders to peg the passive side of the market seeking price improvement or to remain completely hidden while waiting for liquidity to become available.

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Common Algorithms

Target Close 3 Target Strike 3 TWAP 3 VWAP 3 With Volume 3 Company Barclays Capital Department/Division Equities Service or Product

BARX Equities Algorithmic Trading Strategies

Website

www.barclayscapital.com www.barx.com

Claimed Feature(s)

• Wide global reach covering over 40 venues in 30 countries. • High performance equities 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’ desktops. • 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 • Options Contact Asia Pacific +852 290 32615 Europe EMEA +44 20 3134 8256 US US +1 212 526 1130

algorithms, all supported by world-class client service. Barclays Capital also offers a full suite of electronic options execution tools, which includes standard, dynamic and volatility-based algorithms.

Through our comprehensive offering of trading solutions, Barclays Capital provides intelligent and efficient access to liquidity to ensure clients get top-quality execution. Our set of equities and options algorithms is complemented by an end-to-end electronic trading product suite including a proprietary smart router and LXSM, our ATS, together with pre- and post-trade analytics tools. All of Barclays Capital’s equities algorithms have anti-gaming components, from simple randomization

of order placement, to in-depth statistical analysis of trade performance in each execution venue. Our team evaluates the nature of liquidity in various markets, produces execution-quality reports on different venues and investigates any signs of information leakage on orders. For executions within LX, the team provides comprehensive reports on the quality of execution and fill rates.

The Electronic Sales Trading team works closely with clients to help them maintain a competitive edge. A key differentiator of our client-centric model is our use of custom analytics studies to consistently improve clients’ alpha generation. By leveraging our proprietary pre- and post-trade tool set, we can recommend enhanced custom trading

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AnA-TeAmGroupPublication

Profiles

Profiles

strategies based on an analysis of clients’ past trading performance and future objectives in order to help them achieve best execution.

BARX is Barclays Capital’s

award-winning electronic services offering, which provides electronic execution across fixed income, FX, futures, commodities, money markets, emerging markets, structured products and equities.

Interfaces

Advent ✔

Autex (Thomson Reuters) ✔

Bloomberg ✔

Charles River ✔

Eze Castle (ConvergEx) ✔

Fidessa ✔ Flextrade ✔ InfoReach ✔ Lava ✔ Longview (Linedata) ✔ Macgregor (ITG) ✔ Mixit ✔ Neovest (JP Morgan) ✔ Nyfix ✔ Portware ✔

RealTick (Townsend Analytics) ✔ Thomson Reuters ✔ SunGard Global Trading ✔

TradePipe ✔ Trading Screen ✔ Triton (ITG) ✔

Markets

Australia ✔ Austria ✔ Belgium ✔ Canada ✔ Czech Republic ✔ Denmark ✔ Finland ✔ France ✔ Germany ✔ Greece ✔ Hong Kong ✔ Hungary ✔ India ✔ Italy ✔ Japan ✔ Malaysia ✔ Netherlands ✔ New Zealand ✔ Norway ✔ Poland ✔ Portugal ✔ Singapore ✔ South Africa ✔ South Korea ✔ Spain ✔ Sweden ✔ Switzerland ✔ Taiwan ✔ US ✔ UK ✔

Extend Your Trading Options

When you’re changing the way you trade, you naturally consider all the options. Whatever you want to achieve, it’s likely that SunGard’s global networks can help you to get there. We link one of the largest global trading communities: 600+ brokers, operating on almost all electronic markets world-wide, receive order flows daily from several thousand buy-side firms. The algo suites of many leading brokers are available, via the network links and integration in our trading workstations.

Discover how we can help you to extend your trading options: [email protected].

www.sungard.com/globaltrading

©2010 SunGard.

Trademark Information: SunGard and the SunGard logo are trademarks or registered trademarks of SunGard Data Systems Inc. or its subsidiaries in the U.S. and other countries. All other trade names are trademarks or registered trademarks of their respective holders.

“ I needed to trade new

markets in new ways,

SunGard’s solutions

and global connectivity

helped me to extend

my trading options”

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AnA-TeAmGroupPublication

Profiles

Global Execution Services (GES) is an integrated offering from BNP Paribas Equities & Derivatives. GES offers global solutions for DMA, Global Portfolio & Algorithmic Trading, Analytics and 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, Sungard

BNP

Paribas

Description of Algorithms

ICEPEG ([ICE) Allows investors to split orders into smaller portions, so that only a certain percentage of the entire order is displayed. When adding PEG functionality, investors can decide to either track a limit price or current mid/bid/ask level

Alpha Algorithm (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 stock’s short term theoretical return, and, thus, its theoretical price.

Priority Algorithm (PRI) 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 Algorithm

(BYBK) 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

(PVOL) 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 (VSCL) 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

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Common Algorithms

Implementation Shortfall 3 Pairs 3 TWAP 3 VWAP 3 Company Name BNP Paribas Department/Division

Global Execution Services (GES)

Service or Product

Global Execution AlgoRithm (GEAR) Launch Date 2003 Website 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

Trading Systems/GL Trade, TradingScreen and Thomson Reuters. The bank considers its execution policy, supported by robust infrastructure, as the key factor in its ability to provide liquidity to clients, whether from external sources, its own desk, or

the BNP Paribas Internal Exchange (BIX) dark pool,

Markets

Australia ✔ Malaysia ✔

Austria ✔ Mexico ✔

BATS Europe ✔ Netherlands ✔

Belgium ✔ New Zealand ✔

Brazil ✔ Norway ✔

Canada ✔ Pakistan ✔

Chi X ✔ Philippines ✔

China ✔ Poland ✔

Czech Republic ✔ Portugal ✔

Denmark ✔ Singapore ✔

Finland ✔ South Korea ✔

France ✔ Spain ✔

Germany ✔ Sri Lanka ✔

Greece ✔ Sweden ✔

Hong Kong ✔ Switzerland ✔

Hungary ✔ Taiwan ✔ India ✔ Thailand ✔ Indonesia ✔ Turquoise ✔ Ireland ✔ UK ✔ Italy ✔ US ✔ Japan ✔ Vietnam ✔

Ultra High Performance Technologies

for the Financial Markets

New York City - April 26th

www.A-TeamGroup.com/InsightExchange

Conference and Free Exhibition

A-Team Insight Exchange events focus on hot financial markets trends and the specific technologies and applications

that are driving them, through an educational program that addresses how IT is driving accelerated innovation in financial trading and risk management. The April 26th event in New York City will bring together A-Team’s editors and analysts with IT innovators and financial markets participants to engage in the exchange of ideas, knowledge, experience and – most importantly – business.

Some of the market trends on the conference agenda for April 26th: n How algorithmic and high frequency trading fuels the low latency arms race n Building an execution architecture for fragmented liquidity

n How data centres are becoming the new exchange floors n Approaches to coping with the market data volume explosion n Pre-Trade decision support analytics and the need for speed n Sponsored Access as a driver for real-time risk management n Building a scalable IT architecture for the financial enterprise n Reducing TCO through open systems and standards

Attend the exibitions for free. Attend the conference to listen and learn from industry luminaries. Just $295 for the entire conference ($195 for financial institutions). Conveniently located at The Roosevelt Hotel, situated in the heart of midtown Manhattan, next to Grand Central Station.

For more information or to register, go to: www.A-TeamGroup.com/InsightExchange

Sponsored by:

AnA-TeAmGroupPublication page

23

which has operated since 2005. BNP Paribas’s global activity generates large volumes of flow, which accounts for significant market share on Euronext, the London Stock Exchange, Deutsche Boerse, the New York Stock Exchange and other US and Asian markets. BNP Paribas’ algorithms evolved from its aggressive portfolio trading activities and subsequent basket trading operations. The bank developed a high-performance, low-latency direct market access (DMA) platform to accommodate these initiatives, and soon after, clients began 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 backtesting of models to assess performance under certain conditions. The bank also measures

the performance of its algorithms on a post-trade basis and provides tailored reports back to clients.

Contact

Asia Pacific

GEAR Sales Desk - Hong Kong +852 2825 1099

GEAR Sales Desk - Tokyo +81 3 6377 3481

Europe

GEAR Sales Desk - London +44 (0) 20 7595 8348 GEAR Sales Desk - Paris +33 1 40 14 52 69

North America

GEAR Sales Desk - New York +1 212 841 2606

Interfaces

Bloomberg ✔

Charles River ✔

ESP ✔

Eze Castle (ConvergEx) ✔ Fidessa

ITG ✔

Lava ✔

LSE ✔

Nyfix ✔

Realtick (Townsend Analytics) ✔

RediPlus ✔

SunGard Global Trading ✔ Thomson Reuters ✔

TradeWare ✔

Trading Screen ✔ SunGard Global Trading ✔

TradePipe ✔

page

24

AnA-TeAmGroupPublication

Profiles

As a leading European full-service broker within the Crédit Agricole group, CA Cheuvreux offers its clients extensive, high value-added services in Equity Research,

Sales and Execution. CA Cheuvreux’s 760 specialists are located close to clients and offer in-depth expertise out of its 15 offices worldwide. With 110 analysts

CA

Cheuvreux

Description of Algorithms

Crossfire Crossfire seeks out liquidity across accessible dark pools and automatically rebalances 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. Strict Volume Percent Participates in line with market volume at predefined level. Maximum

admitted deviation is one Average Traded Size. Sliding Volume

Participation Percentage of volume with sliding participation. Participation depends on the last execution price level (calibrated on the Limit Price – Reference Price – Would Level interval)

Implementation Shortfall Automatically replicates the trader’s behaviour around the market impact and volatility risk.

In Line Automatically replicates the trader’s behaviour around the market impact with extra aggression whilst ‘in the money’.

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.

Shadow Hits a level as soon as any volume trades there (up to a specified maximum/minimum limit price).

VWAP Matches the VWAP over the defined period and in the potentially price limit frame. If Would Level indicated: level where order is immediately completed.

Time Trigger/Market on

Close Hybrid order to participate into the closing auction.

Pounce Monitors tape and rapidly triggers favourable price opportunities using a robust, short term pricing model.

Iceberg Reproduces an Iceberg order with showing display size to the market while working a larger order.

Hunt Systematically hits the specified opposite bid/ask.

Stop Reproduces a Stop Loss order (useful for exchange which does not handle such orders).

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).

AnA-TeAmGroupPublication page

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>>

and economists it proposes one of the largest research product ranges, and is extending its stock coverage in Europe, to include Emerging Markets (Central and Eastern Europe, the

Middle East and Russia). A key player in Execution Services, CA Cheuvreux provides its institutional clients with access to 90 markets across Europe,

>>

Company Name

CA Cheuvreux

Department/Division

Alternative Execution Services

Service or Product

CA Cheuvreux Algorithmic Trading Services Launch Date 2000 Number of Clients 120 Website www.cheuvreux.com Claimed Feature(s)

• Efficient and Flexible - CA Cheuvreux’s algorithms are designed to react like traders • Ongoing adaptation - Amending trading models to reflect market structures and clients specific needs • Orders are executed through a distributed architecture guaranteeing that client orders and strategies remain anonymous • Available through a wide range (30+) of OMS & EMS front ends • 16 Global Strategies (Europe & US time zone) • Fully lit and dark Multi-venue enabled, Index independent

Claimed Advantage(s)

• Execution Costs sensitive • TCA & Execution analysis report • Dedicated support and algo consulting desk to customize and help with strategy selection • Diversified flow from institutional investors, agency brokers, retail and private banks. • 20 000+ stocks covered

Special Facilities

• Straight Through Processing (STP) • DMA • Smart Order Routing • BLINK Crossing & Dark Pool • Online Real time performance monitoring tool

Asset Classes

• Equities

Concepts

Multi-Venue All of CA Cheuvreux’s algos are Multi-Venue and are unified between the US and Europe.

Markets

Australia ✔ Neuro Dark (Nasdaq OMX) ✔

Austria ✔ New Zealand ✔

BATS ✔ Norway ✔

Belgium ✔ NYSE Arca Europe ✔

Canada ✔ Poland ✔

Chi-X ✔ Portugal ✔

Chi-Delta ✔ Singapore ✔

Denmark ✔ Smart Pool ✔

Finland ✔ South Africa ✔

France ✔ Spain ✔

Germany ✔ Sweden ✔

Greece ✔ Switzerland ✔

Hong Kong ✔ SWX Europe ✔

Hungary ✔ Turkey ✔

Ireland ✔ Turquoise (London Stock Exchange) ✔ Italy ✔ Turquoise Dark (London Stock Exchange) ✔

Japan ✔ UK ✔

Nasdaq OMX ✔ US ✔

A-TEAM

Introducing

INSIGHT

Bringing together

A-Team Group’s highly

regarded newsletters in

one consolidated news service.

Your single source for insight into key financial information and technology developments and what they mean for you – online and in monthly newsletter format.

Do you qualify for

complimentary access?

If you’re a senior manager at a financial institution (eg: bank, brokerage, insurance, hedge fund, etc.) then you can qualify for a complimentary annual subscription to A-Team Insight. To see if you qualify, either fill out and return the form below, or apply online at

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Yes i would like complimentary access – please let me know if i qualify* I would like to subscribe (entitles you and up to two colleagues to full access) for:

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Return form by post to: A-Team Group, Eastcott, Old Salisbury Road, Abbotts Ann, Hants, SP11 7NH, UK.

* We will notify you if you qualify. Those who do not qualify (vendor firms, exchanges, software and technology companies, consultants and others) will be given a free 30-day subscription and the opportunity to subscribe. However, there is no obligation.

n Electronic Trading n Market Data Insight n Low Latency n Reference Data Review n Risk IT n Regulation IT

SUBSCRIPTION TO A-TEAM

INSIGHT

Business Intelligence for Financial Markets IT January 2010

N Regulation IT

Joint Forum Paper Calls for New Entity Data Standards

Following on from the publication of its risk related papers at the end of last year, the Basel Committee on Banking Supervision (BCBS) in cooperation with the Joint Forum has produced a new all-encompassing review of interna-tional financial market supervision. The review includes recommendations to introduce new data standards across regulatory jurisdictions with the aim of better tracking risk, especially in the alternatives sector, and to establish trade data repositories to capture derivatives data in particular. The aim of the endeavour is to reduce overall systemic risk and support the goals identified around regulatory change by the G20 last year. With regards to the banking and securities sectors, the main focus of the group’s work was on the supervision and regulation of financial groups, hedge funds and credit risk transfer products. PAGE 31

N Low Latency

Colt’s Fastnet Ultra Optimises Key Trading Route Connections

London-based network services specialist Colt’s an-nouncement this month of its Fastnet Ultra low-latency connectivity for trading firms formalises its solutions for the high-performance space, most visibly implemented to date by Nomura last autumn. Underpinning the new capabilities are the adoption of Infinera optical switches, which reduce the number of physical network hops on key order traffic routes, and the optimisation of transport across those routes, which include links from London to financial centres in Frankfurt, Brussels, Paris, Amsterdam and Chicago. PAGE 15

N Market Data Insight Dow Jones Merges Consumer, Enterprise Groups

While the departure of enterprise head Clare Hart comes as something of a shock to many, the move by News Corp to merge Dow Jones’ consumer and enterprise business-es is the rbusiness-esult of a procbusiness-ess of a merging of the respective organisations’ news operations that’s been ongoing since New Corp’s acquisition of Dow Jones two years ago. Les Hinton, the former News Corp executive installed as CEO of Dow Jones, says the move is about the best way to operate an information business at a time when technol-ogy provides new tools for delivering news. PAGE 12

N Electronic Trading

SEC to Propose New Risk Management Rules for DMA

The stage was set this month for discussions by the US Securities and Exchange Commission (SEC) on the subject of high frequency trading, dark pools and sponsored access. The talks resulted in a unanimous vote to introduce new rules regarding pre-trade risk manage-ment checks for brokerage customers directly accessing electronic markets. Should these rules come into effect, they would result in a ban on ‘naked’ or unfiltered access

to exchanges or alternative trading systems (ATSs).PAGE 6N Reference Data Review

Interactive Data Confirms is Exploring “Strategic Alternatives”

Interactive Data has confirmed that it is exploring “strategic alternatives” for its fu-ture, but has declined to provide any more explanation as to what these alter na-tives may include. The number three data provider in the financial markets is likely seeking a suitable marriage partner, but who is inclined (or able) to offer its hand? The purchase of Pearson’s 61% stake in Interactive Data will depend on a number of important factors, not least of which is how keen the information provider and publishing firm is to get out of the financial services business. PAGE 16

N Risk IT

Weekend Talks in Basel Spur on Risk and Data Agenda for 2010

Risk management and data topped the list of concerns for 2010 during the recent talks between market partici-pants, regulators and central bankers in Basel. The group discussed the proposals enshrined in the Basel Commit-tee on Banking Supervision’s (BCBS) papers published in December and indicated that time was of the essence in getting these finalised before the end of the year. PAGE 28

www.a-teamgroup.com

A-TEAM

INSIGHT

Newsletter January 2010 Final.indd 1

23/1/10 13:18:02

AnA-TeAmGroupPublication page

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Contact

Europe

Ian Peacock [Global Head of Execution Services] +44 (0) 20 7621 5144 Jerry Lees [Head of Alternative Execution Services, UK] +44 (0) 20 7621 5281 Jon Carp [Head of Alternative Execution Sales, Europe] +44 (0) 20 7621 5244

Global

Algo Hotline +44 (0) 20 7621 6688

North America

Jon Palazzo [Head of Execution Services Sales - US]

+1 212 492 8845

Interfaces

Bloomberg ✔ BT Radianz ✔ Charles River ✔ Decalog (SunGard) ✔ Eze Castle (ConvergEx) ✔

Fidessa ✔ Fidessa LatentZero ✔ Flexlink ✔ FlexTrade ✔ InfoReach ✔ Linedata Longview ✔ Macgregor (ITG) ✔ Orc Software ✔ Portware ✔

Realtick (Townsend Analytics) ✔ RediPlus (Goldman Sachs) ✔ RTS Realtime Systems ✔ SunGard Global Trading ✔

Tethys ✔ Thomson Reuters ✔ TNS ✔ TradeBase MX ✔ TraderForce ✔ TradeWare ✔ Tradeweb ✔ Trading Screen ✔ Triton (ITG) ✔ Ullink ✔

North America, Middle East, Asia and South Africa, including all major ATSs and dark pools, through first-class client service on a wide spectrum of products: Sales Trading, DMA, Algorithmic Trading, Global Portfolio Trading, Equity Swaps and its own internal crossing engine. CA Cheuvreux has seen substantial growth in algorithmic trading activity, which has been driven by the breadth and depth of the 16 strategies that can be executed on over 20,000 tradable stocks. The company makes its algorithms available on over 30 leading order and execution management systems. All algorithms, including quantitative models like VWAP and Implementation Shortfall, are developed by an in-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 Cheuvreux’s algorithms can all be customised and combined to specific investor behaviour, risk profile and trading styles.

page

28

AnA-TeAmGroupPublication

Citi Electronic Execution is committed to providing with market-leading trading solutions that fully integrate with clients’ chosen execution platforms. Citi’s direct access and state-of-the-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 that was developed for its own equity trading team. Citi’s 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

Citi

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 Citi’s 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 Citi’s 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 Citi’s 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 Citi’s 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.

AnA-TeAmGroupPublication page

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nuances, Citi’s teams of regional experts ensure its algorithms are developed and continually optimised.

Citi’s aim is to work with clients to ensure they get the most out of its trading strategies. Its transparent approach gives customers the understanding, skills and confidence to fully utilise Citi’s

suite of market access products with maximum benefit.

Common Algorithms

Implementation Shortfall 3 Market On Close 3 Market on Open - Asia

Only 3

Participate with Scaling 3

TWAP 3 VWAP 3 Company Name Citi Department/Division Electronic Execution Service or Product

Citi Match, Direct Market Access & Algorithmic Trading

Website

www.citi.com

Claimed Feature(s)

• Each of Citi’s algorithms has unique access to Citi’s global liquidity via Citi Match, Citi’s 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

Contact

Asia Grace Lin +852-2501-2220 Australia Ben Valentine +61-282-254-466 Europe Chris Jackson +44 (0)20-7986-3293 US Tim Reilly +1-212-723-7302

Interfaces

Advent ✔ Bloomberg ✔ Charles River ✔ Decalog (SunGard) ✔ Eze OMS (ConvergEx) ✔

Fidessa ✔ Fidessa LatentZero ✔ FlexTrade ✔ IRESS ✔ ITG ✔ Linedata Longview ✔ Portware ✔ Thomson Reuters ✔ Tora ✔ Trading Screen ✔

Markets

Australia ✔ Netherlands ✔ Austria ✔ Norway ✔ Belgium ✔ Poland ✔

Czech Republic ✔ Portugal ✔

Denmark ✔ Singapore ✔

Finland ✔ South Africa ✔

France ✔ South Korea ✔

Germany ✔ Spain ✔

Hong Kong ✔ Sweden ✔

Hungary ✔ Switzerland ✔

Ireland ✔ Taiwan ✔

Italy ✔ UK ✔

page

30

AnA-TeAmGroupPublication

Profiles

ConvergEx Group, as a global financial technology firm, specialises in

investment and execution technologies for the global institutional investor community. With interfaces to more than 100 global

markets (65 available for algorithmic trading), it provides a variety of services across asset classes, including equities, fixed income, US-listed options, ADRs/ GDRs and ETFs. These range from algorithms for

ConvergEx

Group

Description of Algorithms

Abraxas Dynamically balances orders among the most desirable market venues to efficiently access numerous sources of displayed and dark liquidity with minimal information leakage. Features a comprehensive, multi-dimensional sensitivity profile that simultaneously measures five essential market signals for each order.

ADR Plus Optimally sources liquidity for ADR trades in both the overseas and US markets by dynamically monitoring liquidity and price. Provides clients with access to deeper liquidity pools and the ability to execute overseas without having to manage the ADR conversion process.

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 Seeks to complete the order within up to 15 minutes, but aims to improve upon the performance typically achieved by a simple market order.

Pulse Locates and targets liquidity across all options exchanges and aggressively persists orders to take available liquidity. Systematically strips away liquidity at multiple price levels without getting caught in linkage.

Hidden Conceals options orders from the marketplace while working them across all or a user-specified set of exchanges. When sufficient liquidity is displayed at the user’s desired price, Hidden will ‘snap up’ the displayed liquidity and remain concealed until the order is filled.

Reserve Breaks large options orders into user-specified displayed and undisplayed portions. The displayed portion can be worked on a single exchange or sliced to work across all exchanges. The undisplayed portion of the order is concealed from the marketplace and is used to replenish the displayed orders as required.

AnA-TeAmGroupPublication page

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>>

execution to ConvergEx’s own proprietary dark pools, VortExSM and Millennium ATSSM; optimisation tools for decision making (IQx); strategies for options and customised services. Although the company has specific components focused on US vs. Europe vs. other markets, it also provides worldwide capabilities. ConvergEx has developed its core algorithms from the ground up focusing

on global applicability, rather than developing an algorithm for a particular region and ‘adapting’ it to other markets. The firm not only cites such nuances

Common Algorithms

Closing Price 3 Peg 3 Percent of Volume 3 Reserve 3 TWAP 3 VWAP 3 Company Name ConvergEx Group Department/Division

Global Electronic Trading

Service or Product

ConvergEx Algorithmic Suite

Launch Date

2006

Website

www.convergex.com

Claimed Feature(s)

• Dynamic order rebalancing in advanced DMA tools • Provide clients with customised 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 customised algos on request • Multi-asset class trading in over 100 markets; agency model

Special Facilities

• VortEx & Millennium (dark pools) • IQx (intelligent execution logic) • Sonic (Equities EMS) • DerivatEx (US options EMS) • Perform-Ex (transaction/performance analysis) • TactEx (advanced DMA order types) • ConvergEx Cross (crossing network) • ConvergEx Suite of Advanced Algorithms

Asset Classes

• Fixed Income • Equities • Options • ADRs/GDRs • ETFs

Concepts

‘I Would Price’ All of the above algorithmic strategies offer a unique ‘I Would Price’ option. If the market moves favourably 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. ‘Limit Ladder’ Defines multiple price points, within the

same algorithm, for an instrument with different aggressiveness and volume at each point.

‘Value’ Increases participation rate when price is favourable and decreases participation when prices are unfavourable.

‘Momentum’ Dynamic price response strategy that gets more aggressive as prices move against you and scales back participation when prices move in your favour

‘Inline’ Keeps a consistent participation rate but scales up its aggressiveness upon favourable price movements.

page

32

AnA-TeAmGroupPublication

Profiles

as opening and closing functions but others as well – including how coffee breaks affect local trading patterns. ConvergEx provides a range of typical algorithms – VWAP, TWAP and POV, for example, but also its own algorithms all

with customised features including aggressiveness, time sensitivity, venues of interest or avoidance, and its own ‘I would’ price definition, which can override algorithm operation if the client’s target price is met. Many other parameters of its core algorithms are

Markets

Australia ✔ Italy ✔ Austria ✔ Japan ✔ Belgium ✔ Latvia ✔ Brazil ✔ Malaysia ✔ Canada ✔ Mexico ✔ China ✔ Netherlands ✔

Cyprus ✔ New Zealand ✔

Czech Republic ✔ Norway ✔

Denmark ✔ Poland ✔

Dubai ✔ Portugal ✔

Estonia ✔ Romania ✔

Finland ✔ Singapore ✔

France ✔ South Africa ✔

Germany ✔ South Korea ✔

Greece ✔ Spain ✔

Hong Kong ✔ Sweden ✔

Hungary ✔ Switzerland ✔

India ✔ Thailand ✔

Indonesia ✔ Turkey ✔

Ireland ✔ UK ✔