Tue, 02/11/2010 - 12:02
Instinet, a provider of electronic trading and agency-only brokerage services, has launched its Execution Experts suite of algorithms in Asia.
The event driven trading strategies are currently used by Instinet’s clients in North America and Europe, and have been specifically tailored for the Asia Pacific markets.
Glenn Lesko, chief executive for Instinet in Asia, says: “Asia Pacific markets have developed to a point that the simple algorithmic strategies historically employed here are no longer adequate. Exchange speeds and liquidity access have improved dramatically, and new venues are competing with primary exchanges across the region. This brings both challenges and opportunities, and our Experts algorithms address them directly.”
The Execution Experts suite in Asia Pacific, which has been customised to address trading challenges specific to the region, consists of ten individual strategies:
• BlockPeg: BlockPeg accesses liquidity with minimal impact on the spread by posting orders on the passive side of the market while crossing the spread for user specified quantities.
• Cobra: Cobra seeks hidden liquidity in both lit and dark venues to minimise signaling and market impact while maximising shares traded.
• Dynamic Participation (DynaPart): The DynaPart strategy dynamically adjusts participation rates in response to price changes, increasing or decreasing target participation according to the selected trading style. The strategy also allows users to exclude dark and block liquidity from volume calculations.
• TEN: A multi-benchmark strategy, TEN allows users to balance tracking VWAP, arrival and departure price by assigning weights to each of the three benchmarks. TEN uses Dynamic Programming optimisation to integrate Instinet’s price and volume prediction models into a robust benchmark strategy.
• Nighthawk: Nighthawk seeks hidden liquidity, intelligently accessing dark-liquidity sources to execute orders with sophisticated price-modeling and allocation logic. Nighthawk logic is embedded in all strategies in the Experts suite.
• Implementation Shortfall: IS balances opportunity cost and market impact to minimise arrival price shortfall.
• TargetClose: TargetClose minimises slippage and impact versus the closing price. The TargetClose strategy allows users to trade outsized orders benchmarked to the close that otherwise might create undue pricing impact if sent with a market on close order.
• Participation: The Participation strategy trades a targeted percentage of market volume over a specified trading horizon. The Experts Participation uses volume prediction and advanced tactics to disguise its intentions.
• VWAP: VWAP targets the volume-weighted average price for a specified trading horizon. The VWAP strategy is best suited to relatively liquid orders that must be completed by a specified end time.
• TWAP: TWAP trades against the time-weighted average price, spacing an order evenly across the specified time horizon.
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