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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