Algorithms

Customizable, Multi-Asset Trading Strategies

FlexTrade provides a broad range of adaptable and customizable global trading algorithms with multi-currency and multi-asset capabilities. They span the range from single instrument algorithms, such as VWAP and Percentage Participation, to a series of powerful and flexible arbitrage algorithms covering multiple asset classes with auto-hedging of currency exposure, as well as basket programs that are designed to efficiently execute a large number of instruments, such as portfolio rebalancing. As part of our basket trading capabilities, FlexTrade provides a robust set of index and ETF arbitrage algorithms.
FlexTrade also provides support to more than 400 broker-dealer provided algorithms.

Trading on Your Terms

A Broad Array of Customizable Trading Algorithms

Multi-Asset and Multi-Currency

Handles Equities, FX, Options and Futures

Basket Trading

Portfolio Rebalancing and a Robust Set of Index and ETF Arbitrage Algos

Key Features & Benefits

VWAP

The VWAP algorithm starts with a historical profile of the percentage of stock trading during subintervals of the trading day, including the opening and closing auctions. That historical curve is dynamically updated during the day, taking into account actual trading done thus far in the name that day. This dynamic VWAP curve can increase VWAP performance approximately 10%, where performance is measured in terms of deviation from VWAP.

Orders may be executed over the entire trading day, with or without participation in the auctions, or may be executed during any subinterval of the trading day. The start and end time of the order time and whether to participate in auctions is provided via FIX tags or through the selection of options on the FlexTrade provided trade entry screen. Orders executed within the trading day do not participate in either the opening or closing auction.

Market Participation/Percentage of Volume

Percentage of Volume executes an order as a percentage of volume trading in the markets. For liquid names, this type of strategy has minimal signaling risk unless the participation rate is high. For illiquid stocks, however, there is tremendous signaling risk if one wishes to trade every time a print hits the tape. FlexTrade’s percentage participation algorithm dynamically shifts its operation depending upon the underlying liquidity of the stock. In illiquid stocks, the algorithm is careful to avoid “me too” trading that clearly signals the presence of a percentage participation algorithm in the marketplace.

Implementation Shortfall

Implementation Shortfall minimizes the tradeoff between the market impact of immediately executing an order versus the risk of market drift if the order takes too long to execute. FlexTrade’s FlexEdge portfolio trade scheduler provides the risk model, which in combination with the market participation algorithm, provides a unique implementation shortfall solution that re-optimizes the schedule every 15 minutes.

Options Multi-Leg

The options multi-leg algorithm allows traders to define customized spreads involving up to six options, each of which may have a different underlying Instrument. When trading standard spreads, the algorithm also provides dynamic routing of spread orders amongst complex order books and individual markets, routing order volume to those markets providing the greatest fill rates.

TWAP

The Time Slice algorithm executes an order over a fixed interval of time, executing the order as uniformly in time as possible while minimizing signaling to the market.

  • Schedules random number of slices to be triggered at random intervals with random quantities. Randomization is a key method used to avoid signaling.
  • The algorithm is disposed to posting, earning the spread and maker/taker rebate whenever possible.
  • Orders are completed unless limit order away from the market
  • Routing is execution price/rebate fee sensitive and customizable by customer.

Pairs/Spreads

This is a general multi-asset, multi-currency pair and spread trading algorithm for two instruments. The term “pair trade” describes a trade in which two instruments are traded in equal currency units (or a ratio of currency units) and a “spread trade” refers to a trade in which the two instruments are traded in a ratio of shares or contracts.

The algorithm may be used for these types of trades:

  • Pair trade on a currency notional basis
  • Risk Arbitrage Trading
  • Depository Receipt Arbitrage
  • Futures vs. ETF Arbitrage
  • Futures Calendar and Bull/Bear spreads
  • Convertible Bond Arbitrage
  • Warrant Arbitrage
  • Any type of option spread in two instruments with any type of Greek spread (e.g., volatility spread)

Options Volatility

The Options Volatility algorithm provides traders with the capability to trade options on a volatility basis (as opposed to price basis).

ETF Market Making

This algorithm provides traders with true value calculations and the ability to trade either the constituents or the underlying ETF.