Wolverine Execution Services, the agency brokerage affiliate of the large market maker, launched two new algorithms: WEX VWAP and WEX Basket VWAP.

Wolverine Execution Services, the agency brokerage affiliate of the large market maker, launched two new algorithms: WEX VWAP and WEX Basket VWAP.

Both algorithms utilize a logic that seeks to minimize market impact and price slippage. WEX VWAP and Basket VWAP timeframes can be set to as short as five minutes or as long as the entire trading day. They do not require other user-defined parameters and settings, eliminating the need for time-consuming user configurations and inputs.

The VWAP algo works orders using Wolverine’s ‘Best X’ proprietary execution logic to spread trades along a historical volume distribution within a specified time period.

The Basket VWAP algo is designed to work with long/short equity or market neutral baskets. It manages executions for basket or index components using Best X logic and historical volume distributions. When executing long/short baskets this approach strives to keep the basket neutral throughout the execution, the company said in a statement.

Kevin Kernan

“The addition of these new algorithms is in direct response to client requests to marry the proprietary logic of Best X with a VWAP strategy,” said Kevin Kernan, WEX director of product development. “The superior performance our clients have seen from WEX Best X when compared to other arrival price algorithms was a key driver in creating these new algorithms for clients that use a VWAP strategy.”

The algorithms are available via the WEX electronic trading platform or any other FIX-compliant execution or order management system platforms.

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Fewer sell-side broker relationships may become the trend

Fewer sell-side broker relationships may become the trend


The buy-side may enter a phase of fewer sell-side relationships, driven by lower volumes and increased regulatory responsibilities.

Gabe Butler, an executive director of Morgan Stanley in Hong Kong, believes that the industry is approaching a time when the buy-side may move towards a more minimalist approach to its sell-side providers.

“In the last year we’ve seen a number of buy-side shops start to cut down their algo brokers’ list. They feel it might be better if they confine themselves to understanding a smaller number of algo suites more deeply and they partner with the providers who have most money to invest in their algorithms’ performance and customisation.”

In addition, Hong Kong’s Securities and Futures Commission (SFC) is currently in the process of applying more regulation to algorithmic business. One result of is that the buy-side is going to have to attest to understanding the algo offerings of all its counterparties. That is an incentive to trim the list and look for assistance from those sell-side relationships that are maintained.

“Bigger firms tend to do well when markets become more regulated, as they have more scale, experience and can navigate through the additional regulation,” says Butler. “As one of the bigger firms in the market then, additional regulation is not a huge concern to us, but we’re well aware of the effect it has on the rest of the marketplace and on our clients.”

He believes that for an asset manager to stay high on the list for a particular broker has become harder and harder. To keep broker service at a very high level, the buy-side has to maintain their relevance to those brokers and put business their way. Until volumes start seeing some massive upward trajectory, as we saw in 2006/2007, Butler thinks this is the environment will persist.

“We’re definitely seeing a shift from a time that there was a rapid expansion in the number of brokers that were being used, perhaps towards a convergence where a user might use five or six, or cutting back to a list of about that number,” says Butler. “Those firms that are starting out now, they’re also likely to be looking to build to a list of about that size. That number still incentivises the brokers to continue to do their best in helping generate performance.”

A recent illustration of market demand for a bigger roster of sell-side brokers came in Asia after the 2008 bankruptcy of Lehman Brothers, when hedge funds who had previously felt comfortable using one prime broker, started to think that in order to avoid concentration risk, they needed more, preferably at least one from Europe and one North American.

“Now, if a hedge fund is starting out, they might feel they don’t need that many prime brokers, though if they have three, they’ll likely stick with them. We do see a degree of consolidation there and a lessening of the rationale from five years ago that they need at least one US prime broker and one European one.”

So, which sell-side firms will ultimately prevail? Is it necessarily the case that convergence will simply favour large firms? Butler summarises.

“You can be big and that would put you in a position to take advantage, but if there’s convergence, you’d have to service more clients, in an environment where there is still cost pressure with sell-side personnel salaries, and requiring expensive investments in operations and technology. Those firms that can afford to do it, and then actually do spend the money on IT budgets, should be the ones to win, whether or not they are necessarily big or small today.”

EquaMetrics claims to eliminate coding from algo trading with launch of RIZM

EquaMetrics claims to eliminate coding from algo trading with launch of RIZM


Cloud-based platform with intuitive algobuilder claims to reduce complexity and cost of algo trading for individual traders

New York – EquaMetrics has launched RIZM, a visual programming tool which it says can enable traders who have no prior knowledge of programming, coding or high-level mathematics, to build, to test and deploy complex algo trading strategies. EquaMetrics has spent the past two years developing RIZM and has raised $3.25 million from private angel investors to date.

Offered on a monthly subscription basis RIZM will initially support equities, futures and FX trading, with live trading connections to Interactive Brokers and Forex Capital Markets (FXCM). EquaMetrics plans to add options and fixed income trading, along with live connections to all mainstream retail and institutional brokers.

“We are putting powerful institutional tools into mainstream traders’ hands with the launch of RIZM,” said Amr Mohamed, EquaMetrics’ CIO. “Algorithmic trading has long been the domain of only large companies that have the resources for software engineers to build and execute on every trading strategy. We created RIZM to provide an intuitive, easy-to-use interface that will provide anyone – active professional as well as non-professional traders – access to a cloud-based platform for building, back testing, simulating and executing algorithmic trading strategies. I have no doubt that within two years’ time, every trader will be running automated trading strategies.”

ITG launches ITG Algorithms Prism a real time transparency into algorithm behavior

ITG launches ITG Algorithms Prism a real time transparency into algorithm behavior


New York – ITG, the execution and research broker, has launched ITG Algorithms Prism, a web-based tool offering clients comprehensive transparency into the behavior of ITG Algorithms.

Algo Prism provides visibility into the activity of each algorithm, such as the predicted and realized schedules, fill details, and the location, type and price of every open child order.

“ITG has made a considerable investment in building innovative algorithms focused on enhancing client performance,” said Jeff Bacidore, head of Algorithmic Trading, ITG. “ITG Algorithms Prism is an exciting, modern way for traders to see how ITG adds value in real time.”







India’s NCDEX liberalizes Algo norms to attract more participation | Business Standard

NCDEX liberalizes Algo norms to attract more participation | Business Standard.

Azul Systems Teams-Up with Rapid Addition to Deliver Low Latency, Jitter-Free Trading Engines

Rapid Addition, a leading provider of trading technology to buy- and sell-side financial institutions, has joined forces with Azul Systems, the award-winning supplier of high-performance and elastic Java Virtual Machines (JVMs).

via Pocket http://www.bobsguide.com//guide/news/2013/May/21/azul-systems-teams-up-with-rapid-addition-to-deliver-low-latency-jitter-free-trading-engines.html May 23, 2013 at 07:56PM

Targeting Alpha With Analytics and Algorithmic Optimization

Targeting Alpha With Analytics and Algorithmic Optimization


Buy-side traders often struggle to stay in control of the algorithmic environment. To find alpha in today’s fragmented market, they need better auto-pilot functions, with monitoring tools and the ability to change course in the case of turbulence.
Today’s buy-side traders have become technicians, often struggling to stay in control of the algorithmic environment. There is an ever-expanding array of increasingly smart tools, but the default behavior is to use a limited set of the most familiar ones. Yesterday’s demand for a cockpit of manual controls is shifting to the need for better auto-pilot functions, with monitoring tools and the ability to change course in the case of turbulence. Does this sound like a high-touch service? It is, but for the low-touch buy-side trader.

The goal of algorithmic optimization is to deliver the kind of symbiotic relationship for low-touch trading that has always existed for the high-touch side. Leveraging predictive analytics, there is an opportunity to deliver the low-touch version of the top sales traders –including a well-rounded picture of the market, approaches on how to trade the order, a constant feedback loop and the ability to change course at any time.

[For more on algorithmic optimization in pursuit of alpha, download TABB Group’s recent research, “Alpha in the Analytics: Optimizing Algorithmic Strategies,” courtesy of Portware.]

Algorithmic trading in today’s fragmented marketplace poses many challenges for a buy-side trader simultaneously managing multiple orders. The decision about which algorithm to use demands a full understanding of the algorithms available and a constant need to ensure that at every moment during the order’s lifecycle, the optimal algorithm or algorithmic strategy is being deployed.

Tactical algorithms such as VWAP or TWAP are broadly available – workhorse algorithms that have a high level of predictability but limited purpose and function. Constantly optimized, they are reactive execution tools that accomplish a number of objectives, such as trading a basket of stocks, a futures hedge, or in conjunction with other execution strategies such as trading a block in the dark. For the most part, there may be little difference in the outcome from one broker’s algorithm to the next, and the onus is on the trader to constantly switch in and out of such algorithms as market conditions and the state of the order change.

Straddling individual broker algorithms is the notion of algorithmic optimization, using an engine that uses predictive analytics to switch automatically between algorithms. This enables an algorithmic strategy or intent to be set, and for the optimization engine to use all the algorithms available within a given broker’s suite for a particular order. In essence, this mimics the trader manually switching among a set of algorithms.

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