Algo selection range from single outright to multi leg execution, from benchmark – Volume contingent, participation based or time contingent - asset-agnostic arbitrage algorithms. Select among 400+ pre-defined customizable trading strategies.
Algorithmica custom libraries are used by leading buy-side and sell-side firms to deploy custom algorithms. Plug into your algo dynamic solutions from our libraries. Select from execution or enhancement libraries, such as benchmark execution or time contingency, to a series of multi-asset arbitrage, hedging exposure and bracket orders to execute different instruments.
- Create and adapt pre-packages strategies
- Maintaining your order anonymity with anti-gaming logic
- Execute with well-known benchmark strategies including benchmark execution, volume contingent, time contingency and other proprietary criteria
- Use our volatility pegging model to maintain your order at safe distance from touch markets.
- Dispersion, volatility and cross-asset trading
- Greeks (Gamma Delta Theta Rho Vega) scalping for hedging - Implied volatility hedging, target volatility strategies and options strip leg-in/ leg-out based on customer-defined volatility
- Peg orders to implied or realised volatility
- Minimize risk and improve trading performance with algo built-in risk parameters or your own model
- Include your aggression, urgency and risk parameters
- Configurable your order and protection tickets with custom rules for amend orders and not lose the queue priority
Use defined VWAP proxy functions or upload your custom volume profile during defined trading intervals
session.
- Adjust the curve to balance display and aggression of liquidity considering realised trading.
- Increase the performance with VWAP or get the would-price next to closing session.
- Leave resting orders if not completely executed over the entire specified trading session.
- Specify your trading session subinterval.
- Define the start and end time of the order via FIX tags or directly via Algo dashboard
on the EMS/OMS entry panel.
Executes an order inline with a custom defined percentage of volume trading in the markets.
- Use custom participation rate with liquid instruments.
- Use discrete aggression and urgency in posting liquidity for illiquid instruments.
- Dynamically shifts trading across venues depending upon the instrument liquidity.
- Avoid “me-too” trading with randomisation.
- “Be-there-without-me” posting in order to hide from the market and maintain anonymity while accounting for potential execution effect
on POV.
Minimizes the market impact and market drift from “i-would” price tradeoff.
- Decide whether immediately executing versus the passive liquidity posting.
- Stack limit orders or partially executes to mitigate market drift risk if the order remains unexecuted for too long.
- Define the risk model underlying the trade scheduling.
- Dynamically-optimize the schedule in real time.
The TWAP algorithm executes volumes over a fixed interval of time. Randomization of time quantity or delay is a key aspect in time contingent execution to avoid gaming logic and liquidity discovery.
- Schedules random slices
- Trigger the trading at random intervals with random quantities or with random delay logic
Algorithmica offers a suite of pairs and arbitrage strategies
- Cross currency / Multi-asset spread / Pairs trading / Volatility Pairs trading
- Risk arbitrage / Bond Yield relative arbitrage / Index Components arbitrage / Energy Arbitrage Pairs/Spreads
Trade according to a specified defined model of ratio or spread difference with different multipliers and logic underlying the spread. Use this algorithm for:
- Pair trade on the notional basis
- Exchange Arbitrage
- Futures Calendar and synthetic combo spreads
- Fixed income Arbitrage
- Option spread and Greek spread arbitrage
- Realized vs implied volatility spread arbitrage
The multi-leg algorithm allows to
- Create synthetic spreads with endless instruments (futures, energies, spreads, fixed income, options stock futures, indices)
- Each synthetic spread is underlying Instrument agnostic.
- The algorithm routes dynamically amongst underlying limit order books and individual markets
- Volume is executed in those markets providing the high liquidity and fill rates.
- Full automatic quoting (by spread, price, size).
- Implementation of execution rules such as Limit Order Display and Scale Orders or Peg to minimise inventory risk.
- Integrated rules and algorithmic engine for better control over the trading process and hedging risk.
- Pre-packaged logics for low touch and no touch trading.