Algorithmic Trading Directory 2010

April 2010

directory third edition

sponsored by

A-TeamGroup

Algorithmic TradingDirectory

counterparty risk.

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Algorithmic TradingDirectory Foreword Now in its third edition, the A-Team Algorithmic Trading Directory is firmly established as the source of record for the main providers of trading strategies for the buy side, and its arrival is enthusiastically anticipated as part of the electronic trading calendar. We’re happy to report that the directory has grown again this year, with 22 suppliers profiled, and once again we owe a debt of gratitude to our sponsors, Fidessa and NYSE Technologies. With three years of data under our belts, we now have the luxury of picking through the profiles to see what trends we can identify. The comparison over the past three years makes interesting reading, even at the anecdotal level. We’ve noticed, for example, a growing number of connections to alternative trading systems (ATSs), with many firms beginning to offer ‘dark only’ trading strategies. There’s been an expansion into new and emerging markets, particularly into South America, Eastern Europe, the Middle East and parts of Asia. But that’s been counterbalanced by a handful of firms that have contracted their offerings away from certain markets, most likely due to the lack of exchange support and capability for rapid trading on this level. Custom, adaptive and hybrid algorithms – more talk than real two years ago – are now entering the mainstream. And similarly the use of transaction cost analysis, smart order routing and other advanced capabilities is now seen as standard. In short, we’re witnessing the maturation of the algorithmic trading marketplace, with firms responding with greater innovation and the ploughing of greener pastures further afield. We look forward to more innovation in 2010.

Published by A-Team Group

A-TeamGroup Editor Andrew P. Delaney [email protected] Research Assistant George Bailey-Kirby [email protected] Design Victoria Wren [email protected] Publisher Angela Wilbraham [email protected]

A-Team Group Chief Executive Officer Angela Wilbraham President & Editor-in-Chief Andrew P. Delaney President Americas/Editor at Large Pete Harris Sales Director Martyn Hodges [email protected] Sales Manager Ron Wilbraham [email protected] Vice President, Marketing Jim Willis [email protected] Marketing Coordinator Jeri-Anne McKeon

Editorial and Business Offices A-Team Group Eastcott Old Salisbury Road, Abbotts Ann Hampshire SP11 7NH +44-(0)20-8090-2055 [email protected] www.a-teamgroup.com

Andrew Delaney Editor-in-Chief, A-Team Group

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contents

Sponsor’s Foreword: NYSE Technologies�������������������6 Sponsor’s Foreword: Fidessa�������������������������������������� 10 Profiles���������������������������������������������������������������������������� 15 Barclays����������������������������������������������������������������������� 16 BNP Paribas����������������������������������������������������������������� 20 CA Cheuvreux������������������������������������������������������������ 24 Citi�������������������������������������������������������������������������������� 28 ConvergEx Group������������������������������������������������������� 30 Credit Suisse��������������������������������������������������������������� 34 Deutsche Bank����������������������������������������������������������� 38 Electronic Securities Processing���������������������������� 42 Fidelity Capital Markets������������������������������������������ 44 Goldman Sachs���������������������������������������������������������� 48 HSBC���������������������������������������������������������������������������� 54 Instinet������������������������������������������������������������������������� 58 Investment Technology Group������������������������������� 62 JP Morgan�������������������������������������������������������������������� 64 Knight��������������������������������������������������������������������������� 68 Morgan Stanley��������������������������������������������������������� 70 Nomura������������������������������������������������������������������������ 74 Numis Securities������������������������������������������������������� 78 Royal Bank of Scotland�������������������������������������������� 80 Sanford C. Bernstein������������������������������������������������� 82 Societe Generale������������������������������������������������������� 84 Thomas Weisel Partners������������������������������������������ 88 UBS������������������������������������������������������������������������������� 94 Directory of Services��������������������������������������������������� 95 To receive news updates on developments in algorithmic trading, sign up for A-Team’s Electronic Trading service at www.electronic-trading.com A-Team Group www.a-teamgroup.com

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Introduction

NYSE Euronext’s Data Centres: Opening the Doors to High Frequency Trading and Market Access By Bruce Boytim, Vice President, NYSE Technologies Over the last several years, we have seen a broad shift in the markets that has changed the trading landscape in ways that many could never have predicted. Many ECNs have become exchanges, dark pools have come to represent a large proportion of the trading in today’s markets, and the fragmentation of markets coupled with the significant reduction in latency has forever changed how liquidity interacts around the world. The word ‘second’ no longer has meaning in the trading community unless prefaced with micro or nano. The playing field is being levelled through the competitive force of technology. There has been no shortage of regulatory reform as well. SEC proposals on market structure and access are currently out for public comment and are expected to further accelerate the evolution of global markets. Advances in technology and the constant of ever-changing regulation have enabled exchanges and exchange operators like NYSE Euronext to remain competitive while also extending their business model to aid market participants in their own highly competitive race to discover deeper, richer liquidity. The goal is to do this more efficiently than their competitors while adhering to best practices in risk management, a feat not easily achieved page

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in the ultra-low latency world of nanoseconds. This technology-driven race has created a clear focus on three parts of the trade life cycle: market data, infrastructure and trade submission. Buy- and sell-side firms remain challenged to increase speed and reduce latency when accessing market data and trade execution systems. Firms are in need of a global connectivity strategy that must consider local and regional challenges while offering both cost effectiveness and scalability. Such considerations are necessary to realise optimal trade execution capabilities in the ultra-competitive securities trading business. In response to these trends, exchange operators like NYSE Euronext have embraced these market forces by acquiring and integrating strategic technology and service assets that provide customers with more than just the technology to trade – they offer the opportunity to aggressively compete in all phases of the trade cycle. This strategy has manifested itself as NYSE Technologies, NYSE Euronext’s commercial technology solutions unit.

Infrastructure: Addressing How Distance Impacts Speed NYSE Euronext is launching its all-new, stateof-the-art data centre facilities in 2010 in both An A-TeamGroup Publication

the US and the UK. As the new trading floors of the 21st century, these specially designed ‘Liquidity Centres’ will host all of the company’s global market operations. For example, the US Liquidity Centre alone can easily process all the trading activity in North America while hosting the critical business applications of many of the world’s trading firms. These liquidity centres are critical business assets that attract transaction activity, enhance the quality of markets and accelerate the evolution of global capital markets. They are liquidity hubs that not only execute trades in fractions of a second, they facilitate trading through high-speed ticker plants and other unique hosted services. The core services offered here not only facilitate global, multi-asset trading but deliver the benefits of unmatched speed with continually enhancing performance. These benefits are available to all market participants regardless of size and level of participation. The capital markets community is no longer limited by location or the characteristics of a trading desk – those notions no longer matter as technology continues to close any gaps created by distance and cost. The playing field continues to be levelled by innovations like the data centres. Today’s trading firms need, and in many cases require, the reliable speed and platform stability that our liquidity centers can easily and cost-effectively provide. One of the primary services available in the NYSE Euronext Liquidity Centres is collocation. The main driver for the collocation effort is to remove the distance that a quote (like a shouted open-outcry offer) has to travel to get to a trader’s programme on a An A-TeamGroup Publication

server, and then to remove the distance that trader’s programme has to send its order back – dramatically reducing the round-trip order execution time. NYSE Technologies is addressing this by allowing customers to reserve collocation space in the buildings leading up to the launch of the liquidity centres later this year. Collocation offerings from exchanges make this available to all market participants, again opening doors for more traders and levelling the playing field once again.

Market Data: Better Information Makes Better Decisions The second arena in which technology has opened the door to more high-frequency traders is the exponential acceleration of market data. With the numbers of quotes and orders being submitted to the executing venues growing by multiples, firms have raced to improve their systems to process these messages and increase their capacity. NYSE Technologies has helped firms with this aspect of high-frequency trading by offering consistently improved feed handlers, hosted managed services like our Superfeed product suite, and making disparate market data available from a single source: the SFTI network. For today’s high-frequency trading community, technology advances offer a different, but important mix of risk and reward for all involved. In terms of quickly and effectively executing their trading strategies while simultaneously managing their exposure to the risk inherent in today’s microsecond trading environment, we page

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NYSE TECHNOLOGIES IS WHERE TODAY’S CHANGING mARkETS mEET TOmORROW’S SOfTWARE— SImPLY THE mOST COmPREHENSIvE, bLEEDING-EDGE SuITE Of PRODuCTS AND SERvICES TO POWER THE EXCHANGING WORLD. OuR PROPRIETARY SOLuTIONS fOR TRADING AND EXCHANGES INCLuDE NEW TECHNOLOGIES LIkE THE uNIvERSAL TRADING PLATfORm—ASSERTING uLTRA LOW LATENCY AND HIGH PERfORmANCE. WE HAvE ALSO LAuNCHED A RANGE Of RISk mANAGEmENT SERvICES, INCLuDING NYSE TECHNOLOGIES’ RISk mANAGEmENT GATEWAY™ (RmG™) DIRECT DESIGNED TO mEET THE GROWING PERfORmANCE DEmANDS Of THE HIGH fREquENCY TRADING COmmuNITY, WHILE GIvING SELL-SIDE SPONSORS A COmPREHENSIvE PICTuRE Of THEIR CLIENTS’ RISk PROfILES. WITH bREADTH AND DEPTH, SERvING ALL SECTORS Of THE mARkET, OuR vERSATILE PRODuCTS AND SERvICES ARE SO POWERfuL, EvEN OuR COmPETITORS uSE THEm. WELCOmE TO THE EXCHANGING WORLD. nyse.com/technologies

Introduction

Global Market Data • exchanGe SolutionS • Global connectivity • colocation • traDinG SolutionS

NYSE TECHNOLOGIES. TOGETHER WE POWER THE EXCHANGING WORLD. ©2010 NYSE Euronext. All rights reserved. NYSE Euronext and its affiliates do not recommend or make any representation as to possible benefits from any securities, futures, investments, or third-party products or services. Investors should undertake their own due diligence regarding their securities and investment practices. This advertisement may contain forward-looking statements regarding NYSE Euronext and its affiliates. Such statements are based upon the current beliefs and expectations of management and are subject to significant risks and uncertainties. Actual results may differ from those set forth in the forward-looking statements.

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offer a range of products that help balance that sometimes complicated risk equation.

Risk Management Gateway; Enabling Trade Flows with Controls and Confidence NYSE Technologies has created a range of risk management solutions that offer customers and investors the kind of protection and stability to effectively manage the trading risks inherent in today’s super fast, high-volume global markets. NYSE Technologies’ Risk Management Gateway (RMG) is a high throughput, low-latency routing and risk management engine enabling broker-dealers to safely provide the highperformance direct market access that their clients demand. As a fully hosted and managed solution, RMG is offered in both the US and European Liquidity Centres as well as third-party data centres worldwide. As volume increases dramatically across markets and trading activity continues to expand and evolve, RMG provides firms with the ability to better observe and control the order flow they represent electronically. This helps eliminate ‘fat finger’ errors, credit breaches by the client and other pre-trade restrictions. RMG is unique in the pre-trade risk space in that it is an exchange offering and a commercial product. The service allows users to send order flow to the NYSE Euronext markets as well as all other major markets and alternative trading systems (ATSs). With the regulatory climate around exchange access in flux, RMG is particularly well suited to help clients evolve their business models in parallel by utilizing its simplified structure and core risk controls. In addition to the obvious benefit An A-TeamGroup Publication

of pre-trade risk validation, the RMG suite helps firms lower their total cost of infrastructure spending through NYSE Technologies’ extremely low total cost of ownership model. For the sponsoring firms, this means being able to focus solely on their core businesses and relationships, not the background technology installation and maintenance. For the model driven firms, RMG allows them to re-focus efforts on realizing alpha. In both cases, we hope our customers benefit from our expertise in creating products that truly reflect the evolution of their needs in today’s changing global marketplace. NYSE Euronext and NYSE Technologies will continue to maintain an unwavering commitment to being at the forefront of innovation and customer service with market-changing products and ideas that drive the advancement of global markets. As we approach the launch of our new liquidity centres and introduce a number of new products and services, 2010 promises to be a year of great change in the marketplace. At NYSE Technologies, our mission of continually enhancing performance and lowering the cost of ownership for our clients means always doing more with less and pushing the boundaries of financial technology solutions. Whether it’s our data centres themselves or access to markets and market information from around the world, our goal has always been to open doors. For further information please visit www.nyse.com/ technologies or contact us at [email protected].

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Introduction

Doing More with Less: Algorithmic Trends for 2010 By Bruce Bland, Head of Algorithmic Research, Fidessa

Algorithmic trading continues to extend its reach but is doing so in increasingly constrained circumstances. New geographies are opening up while local regions require more multi-asset coverage and greater use of dark-seeking algorithms. In order to meet their clients’ demands for comprehensive algorithmic capabilities and accurate performance measurement, brokers are looking at different ways of packaging models and deploying IP to their best advantage. Globalisation, in part a response to the diminishing returns to be found in the more established geographies, has led participants of all sizes to establish links and relationships in markets from Sao Paulo to Hong Kong. It naturally follows that sophisticated algorithms are increasingly in demand as clients look to algorithmic service providers with broad global reach to offer innovative and dynamic models for these markets. However, buy-side firms are beginning to look beyond the headlining algos to the service offerings behind them. As competition inevitably heats up in these areas, demand becomes increasingly sophisticated and the pressure to create algorithms tailored for the particular characteristics of the markets will increase. For many algo providers this has simply meant changing some parameter defaults and removing irrelevant, or inappropriate, variables. This does not make for the best algorithmic solution and often fails to consider real market differences. page

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Providers also have to meet the changing demands in domestic markets by extending their asset class coverage. There has been a continued move within the buy-side community towards more diversified multi-asset portfolios, used both to enhance performance and to protect returns as part of a hedging strategy. With this comes a consequent demand for algorithmic models in derivatives, FX, and fixed income trading. However, in this area, it is not simply a question of making subtle changes to existing offerings. Instead, algo providers have to consider developing completely new models to handle the significant differences in instrument type. While multi-asset algos are now offered by many sell-side brokers, the world of pure equity trading has not been standing still. Perhaps one of the greatest changes seen is the increase in liquidity venues, including the growth of dark liquidity pools. With new venues emerging on what feels like a monthly basis, it is clear that the quality of a firm’s algorithmic execution largely depends on An A-TeamGroup Publication

its ability to access as many of these liquidity sources as possible. Many brokers now offer “dark seeking” algorithms and the ability to flag existing benchmark models with a “use dark” parameter allowing clients to access this liquidity. Given the levels of variety among these “dark” venues, it has become the responsibility of each trader to understand and properly control their execution process. For example, traders must determine the optimum time interval for seeking out dark liquidity, evaluate the true composition of these necessarily obscure liquidity sources, and assess the impact on opportunity costs. Ensuring that algos are part of a tightly

integrated package of services that enhance performance is a key differentiator among brokers. There is growing recognition that close cooperation between algo, smart order routing and intelligent analytics is a critical success factor. Accessing additional liquidity not only helps reduce market impact but, with the most advanced smart order routers, it can also offer price improvements of up to a quarter of the spread. Smart order routers that are capable of pegging and other so called “ladder” processing will further improve performance. “Heat map” based approaches - which predict

Fidessa Fragmentation Index

2.4 2.2 2.0

DAX CAC-40 AEX FTSE-100

1.8 1.6 1.4

1.0

Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb

1.2

Figure 1: Fragmentation of key European indices - March 2008 to February 2010 Source: www.fragmentation.fidessa.com

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Uniting the buy-side and sell-side, globally

Fidessa group is the leading supplier of multi-asset trading, portfolio analysis, decision support, compliance, market data and connectivity solutions for firms involved in trading the world’s financial markets.

. Used by over 85% of tier-one, global financial institutions . Serving 25,000 users across 850 clients worldwide . Providing connectivity to 130 markets, 2,400 buy-sides and 530 brokers offering DMA, care and algorithmic services globally

www.fidessa.com

liquidity in both dark and lit venues based on the trading patterns seen in time and sales data - are also being used. Intelligent analytics are a key part of the package. Although improving they are still not providing all the answers, and it is proving to be more difficult than many had initially anticipated to store, analyse and interpret the vast quantities of data needed to provide a meaningful and accurate comparison of models. In Europe, which is experiencing increasing levels of fragmentation (as illustrated in figure 1), the requirement to produce accurate benchmark figures based on multiple trading venues is being met by only the most sophisticated trading platforms. Nor have they proved capable of accurately reflecting where orders have actually been executed back to the buy-side. In an independent market study carried out at the end of 2009 it was found that up to 30 percent of executions traded on the primary markets could have been executed at a better price on another venue. With better post-trade reporting techniques it is likely that this figure will reduce, as brokers are asked by clients eager to obtain better performance to connect to additional alternative trading venues. Improvements in post-trade analysis highlight that not all benchmark algorithms perform the same. In the past, slippage from VWAP has been used as the primary benchmark with the standard deviation from that mean slippage figure used as a guide to algorithmic reliability. But it is becoming clear that greater attention should be given to the length of time an order is being worked by the algorithm, and how that algorithm An A-TeamGroup Publication

performs over a range of order sizes. Most existing benchmarks do not filter out small orders or those orders that have only taken a few minutes to trade. However, when this additional filtering is carried out the real algorithmic performance figures begin to emerge and the impact of additional liquidity becomes more apparent. For example, it has been found that Percentage of Volume models, which trade small order sizes over long time periods, perform better if they adopt passive trading techniques as markets are often more likely to move towards them rather than away. Standard benchmark algos have experienced a resurgence in popularity since the beginning of the recent financial crisis. Although the reasons for this are not altogether clear, it’s been noted that humans tend to resist change, and some traders appear to have retreated to the safety net of those models with which they are most familiar. Additional algorithmic models which sit above the standard benchmark ones have become more common. These allow traders to make use of pre-trade analytics to accurately set the model’s parameters, and enable them to switch model type or route to a co-located execution model for faster market access. We’re likely to see an increase in the adoption of these distributed algorithmic models, which are, in effect, models that can drive orders in other models, as the global sell-side broking community responds to the growth in high-frequency trading and smart order routing. Today’s uber-competitive algorithmic market has served the buy-side community well. page

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Introduction

Taking advantage of this environment, it has demanded efficient access to the best-of-breed algorithms, while still relying on its broker relationships to nurse its more sensitive order flow through to execution. To compete in this market a broker needs to offer its clients the tools and strategies necessary to attract that flow: it’s all about variety and choice. However, the critical factor here is cost constraint. With available development resources reduced or restricted, brokers are looking at ways to retain that competitive edge while simultaneously controlling costs. Innovative methods of deployment, whether it is having models built by an in-house team or licensed through an external vendor, are emerging as a key cost control mechanism. Providers are responding accordingly, and we are seeing increasing levels of white labeling and in-house development to ensure that choice is not restricted or business reduced. White labeling has itself become more sophisticated, with granular levels of availability replacing the previous black and white choice between outsourcing completely and developing in-house. Certain providers are now separating their algorithmic services as independent units, for example, in order to gain a return on investment. It enables clients to write their own algos within an environment or framework created for them by the providers. In this scenario it is the operational components that have been outsourced, while the client still protects its own IP. It should be noted that buy-side firms have not been standing still over recent years. With the growth of high frequency trading in the hedge fund community, firms are now conpage

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necting directly to exchanges via co-location services which power their micro-level strategies. It will be interesting to see how these high frequency focused hedge funds weigh up the balance between using broker services or home built systems in the future. Certainly as the algo trading sphere continues to develop, and as sell-side brokers are obliged to invest in new markets, we’ll continue to see innovation in the packaging, accessing and deployment of algos. This may indeed be one of the more important themes of the next twelve months.

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profiles An A-TeamGroup Publication

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Profiles

Barclays Capital

Barclays Capital Equities offers clients BARX Equities Algorithmic Trading Strategies, a comprehensive and customizable suite

of algorithms, from benchmark algorithms to dynamic and scaling algorithms, including nondisplayed liquidity-seeking

Description of Algorithms

page

Portfolio Target Strike

Minimize implementation shortfall, on a portfolio level. Dynamically update the optimal trade schedule to balance price risk against price impact, subject to user-specified long-short neutrality constraints and aggressiveness level.

Escalate

Adjust aggressiveness dynamically based on price. Participate at a target percentage of market volume, scaling up aggressiveness as the market moves in your favour relative to the arrival price.

BARX® Hydra

Maximize execution rates in dark pools and opportunistically execute on traditional markets. Execute in both dark and lit venues, intelligently adjusting exposure whenever liquidity is discovered.

Work and Pounce

Enhance benchmark algorithms and trading tactics with opportunistic liquidity capture at a user-specified size and spread range. Work the order with choice of benchmark strategy or trading tactic, but execute aggressively whenever significant liquidity is available within a certain range of the current quote.

Rapid

Quickly execute order whenever liquidity is available. Aggressively take displayed and reserve liquidity any time stock is available within a certain range of the arrival price; post in dark venues when price moves away from its threshold.

Pairs Trader

Automatically execute paired buy and sell orders in relative value trades. The user specifies the deal terms, target spread and execution method. The strategy monitors market spread in real time and triggers a pair order when the current spread is within the target range.

Custom Algorithms

Create custom execution strategies using a combination of actions and triggers. Enhance existing algorithms like VWAP and With Volume, or create completely new hybrid strategies.

Volatility Trader

Volatility Trader is a multi-functional execution tool for sophisticated options traders. It offers the ability to specify implied volatility and delta-adjusted limit prices, as well as stock and liquidity parameters for customizing the strategy’s participation in the markets. The strategy can also automatically hedge the options for delta-neutral trading.

Options Work and Pounce

Options Work and Pounce is a tactical strategy that continuously monitors the aggregate size of all options exchanges for liquidity opportunities. The strategy allows traders to peg the passive side of the market seeking price improvement or to remain completely hidden while waiting for liquidity to become available.

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algorithms, all supported by world-class client service. Barclays Capital also offers a full suite of electronic options execution tools, which includes standard, dynamic and volatility-based algorithms. Through our comprehensive offering of trading solutions, Barclays Capital provides intelligent and efficient access to liquidity to ensure clients get topquality execution. Our set of equities and options algorithms is complemented by an end-to-end electronic trading product suite including a proprietary smart router and LXSM, our ATS, together with pre- and post-trade analytics tools. All of Barclays Capital’s equities algorithms have anti-gaming components, from simple randomization

of order placement, to in-depth statistical analysis of trade performance in each execution venue. Our team evaluates the nature of liquidity in various markets, produces execution-quality reports on different venues and investigates any signs of information leakage on orders. For executions within LX, the team provides comprehensive reports on the quality of execution and fill rates. The Electronic Sales Trading team works closely with clients to help them maintain a competitive edge. A key differentiator of our clientcentric model is our use of custom analytics studies to consistently improve clients’ alpha generation. By leveraging our proprietary pre- and post-trade tool set, we can recommend enhanced custom trading

Company Barclays Capital Department/Division Equities Service or Product BARX Equities Algorithmic Trading Strategies Website www.barclayscapital.com www.barx.com Claimed Feature(s) • Wide global reach covering over 40 venues in 30 countries. • High performance equities algorithms with a strong track record measured against a broad range of benchmarks. • Easy access to route orders from all leading order and execution management systems. Claimed Advantage(s) • Extensive algorithmic parameters available on clients’ desktops. • Distinctive electronic sales trading and consultative services • Extremely stable and robust electronic platform with very low latency • Customisable algorithms to meet client-specific needs Special Facilities • Smart Order Routing • Access to LX dark liquidity pool (US only) • Desk Routing Asset Classes • Equities • Options Contact Asia Pacific +852 290 32615 Europe EMEA +44 20 3134 8256

Common Algorithms Target Close

3

Target Strike

3

TWAP

3

VWAP

3

With Volume

3

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US US +1 212 526 1130

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Profiles

Markets

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Belgium

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Canada

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Czech Republic

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Denmark

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Finland

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France

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Germany

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Greece

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Hong Kong

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Hungary

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India

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Italy

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Japan

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Malaysia

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Netherlands

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New Zealand

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Norway

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Poland

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Portugal

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Singapore

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South Africa

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South Korea

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Spain

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Sweden

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Switzerland

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Taiwan

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US

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UK

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strategies based on an analysis of clients’ past trading performance and future objectives in order to help them achieve best execution. BARX is Barclays Capital’s

award-winning electronic services offering, which provides electronic execution across fixed income, FX, futures, commodities, money markets, emerging markets, structured products and equities.

Interfaces Advent

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Autex (Thomson Reuters)

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Bloomberg

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Charles River

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Eze Castle (ConvergEx)

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Fidessa

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Flextrade

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InfoReach

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Lava

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Longview (Linedata)

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Macgregor (ITG)

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Mixit

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Neovest (JP Morgan)

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Nyfix

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Portware

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RealTick (Townsend Analytics)

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Thomson Reuters

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SunGard Global Trading

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TradePipe

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Trading Screen

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Triton (ITG)

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An A-TeamGroup Publication

“ I needed to trade new markets in new ways, SunGard’s solutions and global connectivity helped me to extend my trading options”

GLOBAL TRADING

Extend Your Trading Options When you’re changing the way you trade, you naturally consider all the options. Whatever you want to achieve, it’s likely that SunGard’s global networks can help you to get there. We link one of the largest global trading communities: 600+ brokers, operating on almost all electronic markets worldwide, receive order flows daily from several thousand buy-side firms. The algo suites of many leading brokers are available, via the network links and integration in our trading workstations. Discover how we can help you to extend your trading options: [email protected].

www.sungard.com/globaltrading ©2010 SunGard. Trademark Information: SunGard and the SunGard logo are trademarks or registered trademarks of SunGard Data Systems Inc. or its subsidiaries in the U.S. and other countries. All other trade names are trademarks or registered trademarks of their respective holders.

Profiles

BNP Paribas

Global Execution Services (GES) is an integrated offering from BNP Paribas Equities & Derivatives. GES offers global solutions for DMA, Global Portfolio & Algorithmic Trading, Analytics and Quant Modelling, and provides clients with access to liquidity from a broad range of

execution venues, including its own dark pool. With key trading centres in London, Paris, New York, Tokyo and Hong Kong, BNP Paribas currently distributes its algorithmic models through several vendors’ platforms like Bloomberg, Fidessa, Sungard

Description of Algorithms

page

ICEPEG ([ICE)

Allows investors to split orders into smaller portions, so that only a certain percentage of the entire order is displayed. When adding PEG functionality, investors can decide to either track a limit price or current mid/bid/ask level

Alpha Algorithm (Alpha)

The Alpha algorithm provides equity traders with a proprietary multi factor model, allowing them to benefit from BNP Paribas’ expertise in quantitative research. This algorithm uses the VWAP algorithm framework, working off an underlying expected volume profile. Most of the value added comes from its use of theoretical “fair values” updated in real-time throughout the day. BNP Paribas’ multi factor model estimates dynamically a stock’s short term theoretical return, and, thus, its theoretical price.

Priority Algorithm (PRI)

The Priority Algorithm is designed for stocks with large minimum tick sizes. The order books of these stocks tend to be liquid at each tick so maintaining priority is essential. Trading stocks with large minimum tick sizes and, thus, large sizes displayed at each tick, updating limit order placement may not be as important as maintaining priority. This algorithm aims to balance these two factors.

Buyback Algorithm (BYBK)

Designed for trading electronically whilst satisfying local regulations, the automated execution process provides consistent performance throughout the buyback. It handles the transactions in accordance with regulations 2003/6/EC in Europe and SEC Rule 10b-18 in the US

Volume Participation (PVOL)

The Volume algorithm is designed for traders who want to control their execution pace by targeting a percentage of the market volume. Its goal is to reach a specific market share by placing orders accordingly.

Volume Scaler (VSCL)

Designed to behave like a dynamic volume participation strategy that monitors and adjusts the volume participation rate as stock price moves above and/or below pre-set threshold expressed in % of deviation versus decision price

20

An A-TeamGroup Publication

the BNP Paribas Internal Exchange (BIX) dark pool,

Trading Systems/GL Trade, TradingScreen and Thomson Reuters.

Common Algorithms

The bank considers its execution policy, supported by robust infrastructure, as the key factor in its ability to provide liquidity to clients, whether from external sources, its own desk, or

Implementation Shortfall

3

Pairs

3

TWAP

3

VWAP

3

Markets Australia

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Malaysia

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Austria

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Mexico

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BATS Europe

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Netherlands

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Belgium

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New Zealand

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Brazil

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Norway

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Canada

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Pakistan

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Chi X

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Philippines

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China

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Poland

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Czech Republic

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Portugal

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Denmark

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Singapore

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Finland

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South Korea

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France

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Spain

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Germany

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Sri Lanka

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Greece

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Sweden

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Hong Kong

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Switzerland

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Hungary

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Taiwan

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India

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Thailand

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Indonesia

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Turquoise

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Ireland

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UK

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Italy

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US

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Japan

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Vietnam

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An A-TeamGroup Publication

Company Name BNP Paribas Department/Division Global Execution Services (GES) Service or Product Global Execution AlgoRithm (GEAR) Launch Date 2003 Website eqd.bnpparibas.com Claimed Feature(s) • Improved anonymity to lower human trading intervention • Low trading and clearing costs • Execution transparency, with real time monitoring of each execution within the trading period • Flexibility, with the investor deciding when and how to trade under specific parameters • Strong Best execution policies with fully available audit trail • Dedicated advisory and support desk • Low market impact and consistency in trading process • Optimized trading costs through the use of Smart Order Routers and BIX (internal crossing network) Claimed Advantage(s) • Efficient pre and post trade analysis tools, with comprehensive analytics and quant modelling. • Significant market share on most worldwide exchanges. • Robust infrastructure and strong best execution policy. • Leading provider of global portfolio trading services Special Facilities • DMA • Smart Order Routing ✦Internal Dark Pool Asset Classes • Equities

>> page 21

Ultra High Performance Technologies for the Financial Markets New York City - April 26th

www.A-TeamGroup.com/InsightExchange

Conference and Free Exhibition A-Team Insight Exchange events focus on hot financial markets trends and the specific technologies and applications that are driving them, through an educational program that addresses how IT is driving accelerated innovation in financial trading and risk management. The April 26th event in New York City will bring together A-Team’s editors and analysts with IT innovators and financial markets participants to engage in the exchange of ideas, knowledge, experience and – most importantly – business. Some of the market trends on the conference agenda for April 26th: n How algorithmic and high frequency trading fuels the low latency arms race n Building an execution architecture for fragmented liquidity n How data centres are becoming the new exchange floors n Approaches to coping with the market data volume explosion n Pre-Trade decision support analytics and the need for speed n Sponsored Access as a driver for real-time risk management n Building a scalable IT architecture for the financial enterprise n Reducing TCO through open systems and standards Attend the exibitions for free. Attend the conference to listen and learn from industry luminaries. Just $295 for the entire conference ($195 for financial institutions). Conveniently located at The Roosevelt Hotel, situated in the heart of midtown Manhattan, next to Grand Central Station.

For more information or to register, go to: www.A-TeamGroup.com/InsightExchange Sponsored by:

which has operated since 2005. BNP Paribas’s global activity generates large volumes of flow, which accounts for significant market share on Euronext, the London Stock Exchange, Deutsche Boerse, the New York Stock Exchange and other US and Asian markets. BNP Paribas’ algorithms evolved from its aggressive portfolio trading activities and subsequent basket trading operations. The bank developed a highperformance, low-latency direct market access (DMA) platform to accommodate these initiatives, and soon after, clients began requesting trading models to take advantage of the infrastructure. BNP Paribas offers a number of algorithms, including well known benchmarks such as VWAP, Implementation Shortfall, Dynamic Volume Strategy and others. Algorithms are developed using a testing platform that allows replay in the markets and backtesting of models to assess performance under certain conditions. The bank also measures An A-TeamGroup Publication

the performance of its algorithms on a post-trade basis and provides tailored reports back to clients.

Contact Asia Pacific GEAR Sales Desk - Hong Kong +852 2825 1099 GEAR Sales Desk - Tokyo +81 3 6377 3481 Europe GEAR Sales Desk - London +44 (0) 20 7595 8348 GEAR Sales Desk - Paris +33 1 40 14 52 69 North America GEAR Sales Desk - New York +1 212 841 2606

Interfaces Bloomberg

✔

Charles River

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ESP

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Eze Castle (ConvergEx)

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Fidessa ITG

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Lava

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LSE

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Nyfix

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Realtick (Townsend Analytics) ✔ RediPlus

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SunGard Global Trading

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Thomson Reuters

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TradeWare

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Trading Screen

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SunGard Global Trading

✔

TradePipe

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Trading Screen

✔ page

23

Profiles

CA Cheuvreux

As a leading European fullservice broker within the Crédit Agricole group, CA Cheuvreux offers its clients extensive, high value-added services in Equity Research,

Sales and Execution. CA Cheuvreux’s 760 specialists are located close to clients and offer in-depth expertise out of its 15 offices worldwide. With 110 analysts

Description of Algorithms

page

Crossfire

Crossfire seeks out liquidity across accessible dark pools and automatically rebalances based on fill rates and responsiveness of venues. When posting at dark venues, the algorithm will quickly gravitate in a heat-seeking fashion to the venues that are providing fills.

Strict Volume Percent

Participates in line with market volume at predefined level. Maximum admitted deviation is one Average Traded Size.

Sliding Volume Participation

Percentage of volume with sliding participation. Participation depends on the last execution price level (calibrated on the Limit Price – Reference Price – Would Level interval)

Implementation Shortfall

Automatically replicates the trader’s behaviour around the market impact and volatility risk.

In Line

Automatically replicates the trader’s behaviour around the market impact with extra aggression whilst ‘in the money’.

Target Close

Allows you to customise your trajectory into the closing fixing. It manages the market impact on the closing fixing by optimising the start time of the Order.

Shadow

Hits a level as soon as any volume trades there (up to a specified maximum/minimum limit price).

VWAP

Matches the VWAP over the defined period and in the potentially price limit frame. If Would Level indicated: level where order is immediately completed.

Time Trigger/Market on Close

Hybrid order to participate into the closing auction.

Pounce

Monitors tape and rapidly triggers favourable price opportunities using a robust, short term pricing model.

Iceberg

Reproduces an Iceberg order with showing display size to the market while working a larger order.

Hunt

Systematically hits the specified opposite bid/ask.

Stop

Reproduces a Stop Loss order (useful for exchange which does not handle such orders).

Summit Runner

Combines an Iceberg and a Hunt (showing display size at the specified limit and hit the opposite bid/ask if Would Level is reached).

24

An A-TeamGroup Publication

and economists it proposes one of the largest research product ranges, and is extending its stock coverage in Europe, to include Emerging Markets (Central and Eastern Europe, the

Company Name CA Cheuvreux

Middle East and Russia).

Department/Division Alternative Execution Services

A key player in Execution Services, CA Cheuvreux provides its institutional clients with access to 90 markets across Europe,

Service or Product CA Cheuvreux Algorithmic Trading Services Launch Date 2000 Number of Clients 120

Concepts Multi-Venue

All of CA Cheuvreux’s algos are MultiVenue and are unified between the US and Europe.

Markets Australia

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Neuro Dark (Nasdaq OMX)

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Austria

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New Zealand

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BATS

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Norway

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Belgium

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NYSE Arca Europe

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Canada

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Poland

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Chi-X

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Portugal

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Chi-Delta

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Singapore

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Denmark

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Smart Pool

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Finland

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South Africa

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France

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Spain

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Germany

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Sweden

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Greece

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Switzerland

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Hong Kong

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SWX Europe

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Hungary

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Turkey

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Ireland

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Turquoise (London Stock Exchange) ✔

Italy

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Turquoise Dark (London Stock Exchange) ✔

Japan

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UK

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Nasdaq OMX

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US

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Netherlands

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Xetra Mid Point (Deutsche Boerse) ✔

An A-TeamGroup Publication

Website www.cheuvreux.com Claimed Feature(s) • Efficient and Flexible - CA Cheuvreux’s algorithms are designed to react like traders • Ongoing adaptation - Amending trading models to reflect market structures and clients specific needs • Orders are executed through a distributed architecture guaranteeing that client orders and strategies remain anonymous • Available through a wide range (30+) of OMS & EMS front ends • 16 Global Strategies (Europe & US time zone) • Fully lit and dark Multi-venue enabled, Index independent Claimed Advantage(s) • Execution Costs sensitive • TCA & Execution analysis report • Dedicated support and algo consulting desk to customize and help with strategy selection • Diversified flow from institutional investors, agency brokers, retail and private banks. • 20 000+ stocks covered Special Facilities • Straight Through Processing (STP) • DMA • Smart Order Routing • BLINK Crossing & Dark Pool • Online Real time performance monitoring tool Asset Classes • Equities

>> page 25

Introducing

A-TEAMINSIGHT n Electronic Trading n Market Data Insight n Low Latency n Reference Data Review n Risk IT n Regulation IT

A-TEAM INSIGHT ial Markets IT

Business Intelligence for Financ N Electronic Trading

SEC to Propose New Risk DMA Management Rules for

January 2010

N Market Data Insight

mer, Dow Jones Merges Consu Enterprise Groups

Bringing together A-Team Group’s highly regarded newsletters in one consolidated news service.

head Clare Hart comes While the departure of enterprise Corp for many, the move by News The stage was set this month as something of a shock to and and enterprise businessdiscussions by the US Securities to merge Dow Jones’ consumer on the of the respective Exchange Commission (SEC) result of a process of a merging the is es dark trading, that’s been ongoing since subject of high frequency organisations’ news operations Les ago. The years access. two Dow Jones pools and sponsored New Corp’s acquisition of s vote to executive installed as CEO talks resulted in a unanimou Hinton, the former News Corp pre-trade risk manageis about the best way to of Dow Jones, says the move introduce new rules regarding a time when technolcustomers directly accessing an information business at operate ment checks for brokerage 12 PAGE effect, into these rules come delivering news. ogy provides new tools for electronic markets. Should on ‘naked’ or unfiltered access they would result in a ban trading systems (ATSs). to exchanges or alternative PAGE 6 N Reference Data Review

N Low Latency

ises Key Colt’s Fastnet Ultra Optim Trading Route Connections an-

is Interactive Data Confirms atives” Exploring “Strategic Altern

that it is Interactive Data has confirmed s” for its fuexploring “strategic alternative any more specialist Colt’s ture, but has declined to provide London-based network services y alternaits Fastnet Ultra low-latenc explanation as to what these nouncement this month of its solutions for three data formalises firms number The trading tives may include. connectivity for is likely most visibly implemented provider in the financial markets the high-performance space, but Underpinning the new a suitable marriage partner, seeking to date by Nomura last autumn. switches, of Infinera optical offer its hand? The purchase who is inclined (or able) to capabilities are the adoption on Interactive Data will depend of physical network hops on of Pearson’s 61% stake in which reduce the number not least of which is how the optimisation of transport a number of important factors, key order traffic routes, and to firm is to get include links from London n provider and publishing informatio the keen across those routes, which PAGE 16 Brussels, Paris, Amsterdam business. out of the financial services financial centres in Frankfurt, PAGE 15 and Chicago.

N Risk IT

Spur on Weekend Talks in Basel 2010 Risk and Data Agenda for

topped the list of concerns Risk management and data talks between market particifor 2010 during the recent bankers in Basel. The group pants, regulators and central in the Basel Commitdiscussed the proposals enshrined papers published in (BCBS) n’s Supervisio tee on Banking time was of the essence in December and indicated that 28 the end of the year. PAGE getting these finalised before

N Regulation IT

for New Joint Forum Paper Calls Entity Data Standards

of its risk related papers Following on from the publication Basel Committee on Banking at the end of last year, the n with the Joint Forum Supervision (BCBS) in cooperatio passing review of internahas produced a new all-encom n. The review includes supervisio market financial tional new data standards across recommendations to introduce risk, the aim of better tracking regulatory jurisdictions with s sector, and to establish trade especially in the alternative derivatives data in particular. data repositories to capture is to reduce overall systemic The aim of the endeavour identified around regulatory risk and support the goals With regards to the banking change by the G20 last year. work main focus of the group’s and securities sectors, the regulation of financial groups, was on the supervision and PAGE 31 transfer products. hedge funds and credit risk

www.a-teamgroup.com 23/1/10 13:18:02 Newsletter January 2010 Final.indd

Your single source for insight into key financial information and technology developments and what they mean for you – online and in monthly newsletter format.

1

Do you qualify for complimentary access? If you’re a senior manager at a financial institution (eg: bank, brokerage, insurance, hedge fund, etc.) then you can qualify for a complimentary annual subscription to A-Team Insight. To see if you qualify, either fill out and return the form below, or apply online at www.A-TeamGroup.com/complimentary-access.

SUBSCRIPTION TO A-TEAMINSIGHT Yes i would like complimentary access – please let me know if i qualify* I would like to subscribe (entitles you and up to two colleagues to full access) for: One year (£495 / $795) Two years with 10% discount (£891 / $1,431) Name Job Title

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North America, Middle East, Asia and South Africa, including all major ATSs and dark pools, through firstclass client service on a wide spectrum of products: Sales Trading, DMA, Algorithmic Trading, Global Portfolio Trading, Equity Swaps and its own internal crossing engine. CA Cheuvreux has seen substantial growth in algorithmic trading activity, which has been driven by the breadth and depth of the 16 strategies that can be executed on over 20,000 tradable stocks. The company makes its algorithms available on over 30 leading order and execution management systems. All algorithms, including quantitative models like VWAP and Implementation Shortfall, are developed by an in-house group of quantitative analysts. The company also operates a pairs trading engine that can be tailored to fit with clients’ strategies and ever increasingly complex requirements. CA Cheuvreux’s algorithms can all be customised and combined to specific investor behaviour, risk profile and trading styles. An A-TeamGroup Publication

Interfaces

Contact

Bloomberg

✔

BT Radianz

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Charles River

✔

Decalog (SunGard)

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Eze Castle (ConvergEx)

✔

Fidessa

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Fidessa LatentZero

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Flexlink

✔

FlexTrade

✔

InfoReach

✔

Linedata Longview

✔

Macgregor (ITG)

✔

Orc Software

✔

Portware

✔

Europe Ian Peacock [Global Head of Execution Services] +44 (0) 20 7621 5144 Jerry Lees [Head of Alternative Execution Services, UK] +44 (0) 20 7621 5281 Jon Carp [Head of Alternative Execution Sales, Europe] +44 (0) 20 7621 5244 Global Algo Hotline +44 (0) 20 7621 6688 North America Jon Palazzo [Head of Execution Services Sales - US] +1 212 492 8845

Realtick (Townsend Analytics) ✔ RediPlus (Goldman Sachs) ✔ RTS Realtime Systems

✔

SunGard Global Trading

✔

Tethys

✔

Thomson Reuters

✔

TNS

✔

TradeBase MX

✔

TraderForce

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TradeWare

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Tradeweb

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Trading Screen

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Triton (ITG)

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Ullink

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page

27

Profiles

Citi

Citi Electronic Execution is committed to providing with market-leading trading solutions that fully integrate with clients’ chosen execution platforms. Citi’s direct access and state-of-the-art suite of algorithms combine

Concepts Multi Asset capabilities

In the future Citi is primarily focused on developing multi asset capabilities and trade solutions.

with an emphasis on service and analytics that empower clients to take full advantage of the equity markets. Citi offers clients the same flexible algorithmic suite that was developed for its own equity trading team. Citi’s algorithms, through which billions of dollars are executed daily, have a track record of high performance and infrastructure stability. With an understanding of local market

Description of Algorithms

page

Citi Match

CitiMatch is our proprietary dark pool. Only Institutional clients can rest orders in CitiMatch. CitiMatch has anonymous access to a broad universe of non-displayed retail, institutional, principal and broker/dealer liquidity. Citi Match is a secure trading venue offering sophisticated antigaming technology, protecting all participants.

Dagger

Citi’s Dagger algorithm is designed to trade opportunistically. It is engineered to capture the optimal amount of available liquidity across all light and dark venues while minimising market impact and signalling risk. The aggression level parameter can be used to adjust the execution rate and market impact. Ranging from aggression level 1 through to 5, 1 being most passive and 5 being most aggressive.

Participate with Scaling

Citi’s Participate with Scaling algorithm is engineered to capture a percentage of volume executed in the market. The target participation rate can be set to adjust dynamically based on the price of the underlying security. The opportunistic parameter can be used to take advantage of hidden liquidity using Citi Match and external dark pools.

Close

Smart Market on Close is an extremely flexible algorithm designed to cover all potential strategies that target the closing price. If liquidity necessitates, the algorithm can start trading early to minimize impact.

Smart Iceberg

Replicated exchange iceberg functionality using Citi’s Smart Order Router, participating aggressively and passively on multiple venues.

Smart Pegging

Passively tracks price movement of the security.

TWAP

Spread trade evenly over a fixed time period.

VWAP

Follow average volume profile, minimize impact.

Implementation Shortfall

IS uses Citi’s proprietary impact model to manage the trade off between impact and opportunity costs quantitatively. The opportunistic parameter can be used to participating in a number of dark pools to trade more quickly with low impact cost.

28

An A-TeamGroup Publication

nuances, Citi’s teams of regional experts ensure its algorithms are developed and continually optimised. Citi’s aim is to work with clients to ensure they get the most out of its trading strategies. Its transparent approach gives customers the understanding, skills and confidence to fully utilise Citi’s

Common Algorithms Implementation Shortfall

3

Market On Close

3

Market on Open - Asia Only

3

Participate with Scaling

3

TWAP

3

VWAP

3

Company Name Citi

suite of market access products with maximum benefit.

Department/Division Electronic Execution

Interfaces Advent

✔

Bloomberg

✔

Charles River

✔

Decalog (SunGard)

✔

Eze OMS (ConvergEx)

✔

Fidessa

✔

Fidessa LatentZero

✔

FlexTrade

✔

IRESS

✔

ITG

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Linedata Longview

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Portware

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Thomson Reuters

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Tora

✔

Trading Screen

✔

Markets Australia

✔

Netherlands

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Austria

✔

Norway

✔

Belgium

Service or Product Citi Match, Direct Market Access & Algorithmic Trading Website www.citi.com Claimed Feature(s) • Each of Citi’s algorithms has unique access to Citi’s global liquidity via Citi Match, Citi’s anonymous crossing network. • Global Direct Access offers selfdirected access to 29 markets and is continually expanding its global reach • Proprietary algorithmic trading strategies are connected to 26 countries across Europe, Asia and North America. • Our teams of regional experts continually work to develop new strategies and provide access to more trading venues. • Smart Order Routing Claimed Advantage(s) • Price improvement, trading without impact and protection by the most advanced anti gaming technology from Citi Match • You will be in full control of your order flow with a fully integrated technological solution that is fast and dependable • Provides a direct link between you and the markets • Our global suite of algorithms consists of nine core trading strategies and an extensive parameter set.

✔

Poland

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Czech Republic

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Portugal

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Denmark

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Singapore

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Finland

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South Africa

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France

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South Korea

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Germany

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Spain

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Hong Kong

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Sweden

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Hungary

✔

Switzerland

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Ireland

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Taiwan

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Italy

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UK

✔

Europe Chris Jackson +44 (0)20-7986-3293

Japan

✔

US

✔

US Tim Reilly +1-212-723-7302

An A-TeamGroup Publication

Special Facilities • DMA • Smart Order Routing Asset Classes • Equities • Futures • Options • Foreign Exchange Contact Asia Grace Lin +852-2501-2220 Australia Ben Valentine +61-282-254-466

page

29

Profiles

ConvergEx Group

ConvergEx Group, as a global financial technology firm, specialises in investment and execution technologies for the global institutional investor community. With interfaces to more than 100 global

markets (65 available for algorithmic trading), it provides a variety of services across asset classes, including equities, fixed income, US-listed options, ADRs/ GDRs and ETFs. These range from algorithms for

Description of Algorithms

page

Abraxas

Dynamically balances orders among the most desirable market venues to efficiently access numerous sources of displayed and dark liquidity with minimal information leakage. Features a comprehensive, multi-dimensional sensitivity profile that simultaneously measures five essential market signals for each order.

ADR Plus

Optimally sources liquidity for ADR trades in both the overseas and US markets by dynamically monitoring liquidity and price. Provides clients with access to deeper liquidity pools and the ability to execute overseas without having to manage the ADR conversion process.

ConvergEx Cross

Sends resting orders to ConvergEx Cross. Lets user specify minimum cross quantity. Provides an option for clean-up trade after successful cross as well as open market trading.

Initiation Price

Aims to minimize movement away from the initiation/arrival price. User indicates market-impact tolerance by specifying target participation rate. However, since completion is guaranteed, the algorithm may exceed the implied aggression level.

IQx

Seeks to complete the order within up to 15 minutes, but aims to improve upon the performance typically achieved by a simple market order.

Pulse

Locates and targets liquidity across all options exchanges and aggressively persists orders to take available liquidity. Systematically strips away liquidity at multiple price levels without getting caught in linkage.

Hidden

Conceals options orders from the marketplace while working them across all or a user-specified set of exchanges. When sufficient liquidity is displayed at the user’s desired price, Hidden will ‘snap up’ the displayed liquidity and remain concealed until the order is filled.

Reserve

Breaks large options orders into user-specified displayed and undisplayed portions. The displayed portion can be worked on a single exchange or sliced to work across all exchanges. The undisplayed portion of the order is concealed from the marketplace and is used to replenish the displayed orders as required.

30

An A-TeamGroup Publication

execution to ConvergEx’s own proprietary dark pools, VortExSM and Millennium ATSSM; optimisation tools for decision making (IQx); strategies for options and customised services. Although the company has specific components focused on US vs. Europe vs. other markets, it also provides worldwide capabilities. ConvergEx has developed its core algorithms from the ground up focusing

on global applicability, rather than developing an algorithm for a particular region and ‘adapting’ it to other markets. The firm not only cites such nuances

Common Algorithms Closing Price

3

Peg

3

Percent of Volume

3

Reserve

3

TWAP

3

VWAP

3

Concepts ‘I Would Price’

All of the above algorithmic strategies offer a unique ‘I Would Price’ option. If the market moves favourably and some stock becomes available at the user specified ‘I Would Price’, the algorithm will take as much liquidity as possible at that price, completing the order if size permits. When the price moves away from the ‘I Would Price’, the algorithm will revert back to the original strategy for the remaining order quantity until the order is complete.

‘Limit Ladder’

Defines multiple price points, within the same algorithm, for an instrument with different aggressiveness and volume at each point.

‘Value’

Increases participation rate when price is favourable and decreases participation when prices are unfavourable.

‘Momentum’

Dynamic price response strategy that gets more aggressive as prices move against you and scales back participation when prices move in your favour

‘Inline’

Keeps a consistent participation rate but scales up its aggressiveness upon favourable price movements.

An A-TeamGroup Publication

Company Name ConvergEx Group Department/Division Global Electronic Trading Service or Product ConvergEx Algorithmic Suite Launch Date 2006 Website www.convergex.com Claimed Feature(s) • Dynamic order rebalancing in advanced DMA tools • Provide clients with customised algos on request • Improve performance • Innovative execution strategies Claimed Advantage(s) • ’I Would’ feature • Special features in algos • Dynamic order rebalancing in advanced DMA tools • Provide clients with customised algos on request • Multi-asset class trading in over 100 markets; agency model Special Facilities • VortEx & Millennium (dark pools) • IQx (intelligent execution logic) • Sonic (Equities EMS) • DerivatEx (US options EMS) • PerformEx (transaction/performance analysis) • TactEx (advanced DMA order types) • ConvergEx Cross (crossing network) • ConvergEx Suite of Advanced Algorithms Asset Classes • Fixed Income • Equities • Options • ADRs/GDRs • ETFs

>> page 31

Profiles

as opening and closing functions but others as well – including how coffee breaks affect local trading patterns. ConvergEx provides a range of typical algorithms – VWAP, TWAP and POV, for example, but also its own algorithms all

with customised features including aggressiveness, time sensitivity, venues of interest or avoidance, and its own ‘I would’ price definition, which can override algorithm operation if the client’s target price is met. Many other parameters of its core algorithms are

Markets Australia

page

32

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Italy

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Austria

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Japan

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Belgium

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Latvia

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Brazil

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Malaysia

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Canada

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Mexico

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China

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Netherlands

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Cyprus

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New Zealand

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Czech Republic

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Norway

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Denmark

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Poland

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Dubai

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Portugal

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Estonia

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Romania

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Finland

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Singapore

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France

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South Africa

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Germany

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South Korea

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Greece

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Spain

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Hong Kong

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Sweden

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Hungary

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Switzerland

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India

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Thailand

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Indonesia

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Turkey

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Ireland

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UK

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Israel

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US

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An A-TeamGroup Publication

configurable by the user and custom algorithms can be created. Through its high-touch desk, ConvergEx has functionality to help provide best execution if clients so choose, or they can use its direct market access (DMA) capabilities for directly filling orders. ConvergEx sees the most utilisation (perhaps 80%) from the common benchmark algorithms (initiation price, VWAP, TWAP, market on close) with a lot of DMA routing. About 20% of its users require tailored algorithms or more sophisticated algorithms in general.

Interfaces

Contact

Advent Moxy

✔

AFA

✔

Bloomberg

✔

Bridge IOE (Thomson Reuters) ✔

Americas Non-US Portfolio Trading Desk – Bermuda +1-441-298-9949 Non-US Sales Trading Desk – Bermuda +1-441-298-9949

Charles River

✔

ConvergEx DerivatEx

✔

ConvergEx Eze OMS

✔

ConvergEx Sonic

✔

Decalog (SunGard)

✔

Asia Electronic Trading Desk – Sales Desk +1-212-237-0487

EZX

✔

Fidessa

✔

Non US Portfolio Trading Desk – Hong Kong +852-3921-8121

Fidessa LatentZero

✔

Flextrade

✔

HTx

✔

Europe Europe Electronic Trading Desk 24 Hour +44-20-7964-7375

LavaX (Citi)

✔

Europe Electronic Trading Desk – Operations +1-407-208-2900

Linedata LongView

✔

Macgregor XIP (ITG)

✔

Europe Electronic Trading Desk – Sales Desk +44-20-7964-4433

Mixit

✔

Neovest (JP Morgan)

✔

Portware

✔

Radical (ITG)

✔

RediPlus (Goldman Sachs) ✔ Riptide

✔

Thomson Reuters

✔

Asia Asia Electronic Trading Desk 24 Hour +1-441-298-9920 Asia Electronic Trading Desk – Operations +1-407-208-4900

Non-US Sales Trading Desk – Hong Kong +852-3921-8121

Non-US Portfolio Trading Desk – London +44-207-964-6577 Non-US Sales Trading Desk – London +44-207-964-6577 US Non-US Portfolio Trading Desk – New York +1-212-237-0450 Non US Sales Trading Desk – New York +1-212-237-0450 US Electronic Trading Desk 24 Hour +1-877-227-6848

Realtick (Townsend Analytics) ✔

US Electronic Trading Desk – Operations +1-407-208-4900

Tradeweb (Thomson Reuters) ✔

US Electronic Trading Desk – Sales Desk +1-212-468-7646

Trading Screen

✔

Triton (ITG)

✔

US Electronic Trading Desk – Trading Hours +1-866-224-4407 US Portfolio Trading Desk +1-212-468-7670 US US Sales Trading Desk +1-212-468-7600

An A-TeamGroup Publication

page

33

Profiles

Credit Suisse

Credit Suisse’s Advanced Execution Services® (AES) group helps more than a thousand institutions and hedge funds reduce market impact, improve performance versus

benchmarks, and add consistency to their trading processes. AES offers an award-winning suite of algorithmic trading strategies, tools, and analytics for global trading.

Interfaces

page

Aegisoft

✔

Indata

✔ RBC

AFA

✔

INDI

✔ RealTick (Townsend Analytics) ✔

Antares

✔

InfoReach

✔ Red Sky

✔

Apama (Progress)

✔

Iress

✔ Thomson Reuters

✔

Arrowhead

✔

Knight-Direct

✔ Rox

✔

Autex ATR

✔

✔

Lava

✔ RTex

✔

Bear Trade

✔

Longview (Linedata)

✔ Simcorp

✔

Beauchamp

✔

Macgregor (ITG)

✔ Sonic FT

✔

Beta

✔

Mantis

✔ Sterling

✔

Bloomberg

✔

MIXIT

✔ SunGard Global Trading

✔

Bon-Trade

✔

Moxy

✔ Tethys

✔

Charles River

✔

Neovest (JP Morgan)

✔ ThinkorSwim

✔

Click Trade

✔

Newport (Instinet)

✔ Thomson Open Trader

✔

ESP

✔

Nexa

✔ Tick-TS

✔

Eze Castle (ConvergEx)

✔

Nyfix

✔ TLW

✔

EZX

✔

Orc

✔ Tora Trading

✔

FastFill

✔

Oxford

✔ Tradeplex

✔

Fidessa

✔

Paladyne

✔ TradeSpeed

✔

Fidessa/Fidessa LatentZero

✔

POMS

✔ TradeWare

✔

FIN

✔

Portal

✔ Trading Screen

✔

Flextrade

✔

Portware

✔ Triton (ITG)

✔

FutureTrade

✔

Primetrade

✔ Upstream

✔

HTX

✔

Quest Trading

✔ Verus Tech

✔

Hydratrade

✔

Radical (ITG)

✔ WEX

✔

34

An A-TeamGroup Publication

Description of Algorithms

Company Name Credit Suisse Group AG

Sniper

Equities, Options, Futures, FX – Trades proactively up to your limit without showing bids or offers.

Department/Division Investment Banking

Guerrilla

Equities, Futures, FX – Employs the AES Fair Value model to minimise market impact without displaying bids or offers.

In-Line

Equities, Futures – Seeks to minimise implementation shortfall against the arrival price, increasing participation when the price is favourable.

TEX

Equities – Seeks to minimise implementation shortfall against the market adjusted fair value price

Volume Inline

Equities – Works the order in line with the volume.

Pathfinder

Equities, Options, Futures – Intelligently smart order routes to all available liquidity venues.

Close

Equities – Intelligently works orders into the close to minimise market impact.

Float

Equities, Futures, FX – Pegs the order to the mid, bid or offer with or without a display quantity.

Crossfinder Plus

Equities – Places your order into multiple dark pools.

Customizations

Equities – Design your own strategy or combine tactics to satisfy individual traders’ requirements.

Delta-Adjusted

Options – Links the option limit price to the underlying spot price, adjusting it linearly based on user-specified order parameters.

Vol

Options – Uses Credit Suisse’s implied volatility model to give curvature to the delta adjustments.

Decoy

Options – Aims to get a better price while monitoring liquidity in the market.

Recon

Options – Attracts liquidity.

Multi-leg

Options – A variety of multi-leg orders executed with or without leg risk to hedge, trade multiple expirations and strike prices, or execute spread trades.

An A-TeamGroup Publication

Service or Product Advanced Execution Services (AES®) Launch Date 2001 Website www.credit-suisse.com/ investment_banking/equities/en/ aes.jsp Claimed Feature(s) • Total anonymity • Top tier team researching new strategies and analyzing the market • Multi-asset class product • Broad global reach: 6 continents. 40+ countries • Multivenue with advanced SOR • Award winning ✦Easy access from a wide range of front end systems • Full customization of algos • Extensive TCA and reporting tools • Highly qualified trading desks offering 24 hour, global support Claimed Advantage(s) • Excellent client service • Sophisticated Low latency solution • Customizations to meet client needs • One of largest crossing pools, with high crossing rates • Improved execution performance • Reduced market impact ✦Protection with advanced antigaming strategies • Liquidity from a wide range of venues • Ensure clients have advanced offerings even as the market changes Special Facilities • DMA • High Frequency • Internal Crossing • Customizations • Low Latency • Advanced Smart Order Routing Asset Classes • Equities • Futures (Commodities, Equity Indices, FI, FX) • FX • Options

>> page 35

Profiles

 AES has evolved into a full-service offering across equities, options, futures, and foreign exchange. With access to hundreds of trading destinations in over 40 countries on six continents, a single connection from your trading desk to AES gets you access to the world.

tools, traders can seamlessly work orders on multiple liquidity pools, increase productivity and improve execution performance.   The platform has been consistently ranked as the leader in global industry surveys.

AES has coverage desks and development teams in New York, London, Tokyo, and Hong Kong for round-theclock coverage. With AES’s

Concepts Spread / Pairs Trading Gamma Trading Delta-Hedging with options, with and without leg risk Cross-border strategies

Common Algorithms

page

36

Iceberg

3

Implementation Shortfall

3

Pairs

3

Peg

3

Percent of Volume

3

Target Close

3

TWAP

3

VWAP

3

An A-TeamGroup Publication

Markets Australia

✔

Japan

✔

Austria

✔

Korea

✔

Belgium

✔

Malaysia

✔

Brazil

✔

Mexico

✔

Canada

✔

Morocco

✔

China

✔

Netherlands

✔

Czech Republic

✔

New Zealand

✔

Denmark

✔

Norway

✔

Dubai and Abu Dhabi

✔

Philippines

✔

Egypt

✔

Poland

✔

Finland

✔

Portugal

✔

France

✔

Singapore

✔

Germany

✔

South Africa

✔

Greece

✔

Spain

✔

Hong Kong

✔

Sweden

✔

Hungary

✔

Switzerland

✔

India

✔

Taiwan

✔

Indonesia

✔

Thailand

✔

Ireland

✔

Turkey

✔

Israel

✔

UK

✔

Italy

✔

US

✔

An A-TeamGroup Publication

Contact Asia AES Sales Desk, Hong Kong +852 2101 6443 Europe AES Sales Desk, London +44 20 7888 0006 North America AES Sales Desk, New York +1 212 325 5300

page

37

Profiles

Deutsche Bank

Deutsche Bank’s algorithmic trading platform, Autobahn Equity, combines the bank’s algorithms with its direct market access (DMA) offering. Autobahn Equity maintains offices in London, New York, Hong Kong, Tokyo and Sydney. Autobahn serves as Deutsche Bank’s e-commerce solution across multiple asset classes.

Deutsche Bank maintains a full suite of algorithmic strategies, including core strategies such as VWAP, TWAP, In-Line, Scaling, and Arrival Price among others. All strategies include conditional parameters aimed at offering clients enhanced abilities to customise the algorithms according to their needs by offering the flexibility to choose ‘I Would’ features

Description of Algorithms

page

Super X

Super X’s objective is to intelligently seek dark liquidity from multiple venues while offering a sophisticated level of order protection to clients. It is a highly customisable dark algorithm; the strategy can be finely tuned to the individual trader’s needs.

Optimal Portfolio Execution Strategy (OPX)

The OPX strategy’s objective is to execute a portfolio transaction in such a way as to respect the user’s preference between the market impact and the intra-day risk incurred during trading. In addition, a range of user-supplied constraints and other preferences are available to influence the behaviour of the strategy and reflect the user’s views on risk. Finally, the user may specify his view on overall portfolio expected return as well as the expected return of some of its constituents, and the strategy will take this information into account in scheduling orders.

Stealth

Stealth is a ‘high take, low post’ strategy which trades opportunistically while minimising information leakage. It will typically take liquidity when it is cheap to do so – spreads are usually narrow – or when the far-touch quote is unusually large. If liquidity posting is enabled, it will post in dark venues where possible and light venues very conservatively. Information leakage is minimised by using minimum execution thresholds where necessary in dark venues, and by posting in light venues only in a way that does not materially affect the shape of the order book.

Arrival Price

Arrival Price is a dynamic trading strategy designed to minimise the difference between the price at the time the order was entered and the execution price. It relies on price and liquidity signals to trade as efficiently as possible while controlling the incurred market impact. It provides an alternative approach to the classic Implementation Shortfall algorithm, in that it prioritises (con’t) >> control of short term impact over control of risk.

38

An A-TeamGroup Publication

relative to an absolute price or benchmark. As such, Deutsche Bank’s overall approach is aimed less at product proliferation but more on the ability to customize core strategies to suit individual clients’ execution needs. Meanwhile, the bank’s algorithms are certified for distribution via some 40 third-party vendor platforms.

Autobahn Equity describes its overall approach to electronic trading as lowtouch rather than no-touch. According to Edgar Harty, Head of Autobahn Equity

Common Algorithms Implementation Shortfall

3

Target Close

3

TWAP

3

VWAP

3

Description of Algorithms (con’t) Percentage of Volume

The Percentage of Volume Strategy offers clients the flexibility to control their participation level as a percentage of volume. Performance based variable participation and conditional behaviour will provide the trader with powerful tools to respond to market movements in favourable and predictable ways.

Smart Iceberg

The Smart Iceberg strategy will execute your order while only displaying a limited amount of the total order quantity. The strategy allows you to manage exchange specific iceberg order rules by creating synthetic order functionality.

Smart Peg

The Smart Peg strategy seeks to ‘peg’ orders to a specified price level while displaying on the market only a limited amount of the total order at any time. The strategy evaluates the peg expression whenever the reference price changes and adjusts its position in the market accordingly.

An A-TeamGroup Publication

Company Name Deutsche Bank Department/Division Global Markets Equity Service or Product Autobahn Equity, Electronic Trading Number of Clients 500+ Website autobahn.db.com Claimed Feature(s) • Multi-asset, multi-product • Sophisticated execution toolkit • Anonymous trading • Customized content and analytics • Easily integrated into existing workflows Claimed Advantage(s) • Leading market share in major markets • Customization available to suit individual client needs • Certified with 40+ third party vendor systems • Leading edge Smart Order Router (SOR) Special Facilities • Low Latency Expertise • EMS/ OMS integration • Pre and Post trade analytics • DMA & Algorithms Asset Classes • Equities

>> page 39

Profiles

asset managers, and index managers. The bank’s algorithms are design by its Quantitative Products group using fundamental research and robust historical analytics combined with insightful customer feedback.

Trading Europe, his team can be as interactive or hands-off as the client demands, depending on their requirements. The group counts a broad range of institutional types as customers, including hedge funds, long-only

Interfaces 4th Story

page

40

✔

Patriot

✔

AFA

✔

Portware

✔

Bloomberg

✔

Quick

✔

Charles River

✔

Realtick (Townsend Analytics) ✔

ESP

✔

Softek

✔

Eze OMS (BNY ConvergEx)

✔

SunGard Global Trading

✔ ✔

Fidessa

✔

Swift

Fidessa LatentZero

✔

RediPlus (Goldman Sachs) ✔

FlexTrade

✔

TAS

✔

Global Topic

✔

Tethys

✔

InfoReach

✔

Thomson Reuters

✔

Instinet

✔

Tora

✔

Interactive Brokers

✔

TraderForce

✔

ITG

✔

TradeWare

✔

Linedata Longview

✔

Trading Screen

✔

NeoVest (JP Morgan)

✔

✔

Ullink

NRI Smartbridge

✔

Visual Trader

✔

NYSE Technologies

✔

Wolverine

✔

An A-TeamGroup Publication

Markets

Contact

Australia

✔

Austria

✔

BATS (Europe and US)

✔

Brazil

✔

Canada

✔

Chi X (Europe and Canada)

✔

Dubai

✔

Euronext (France, Belgium, Netherlands, Portugal)

✔

Germany

✔

Hong Kong

✔

India

✔

Indonesia

✔

Italy

✔

Japan

✔

Norway

✔

OMX (Copenhagen, Helsinki, Stockholm)

✔

Singapore

✔

South Korea

✔

Spain

✔

Switzerland

✔

Taiwan

✔

Thailand

✔

Turquoise

✔

UK

✔

US

✔

Virt-X

✔

An A-TeamGroup Publication

Asia Asia Sales Desk +852 2203 6028 Asia Pacific Australia Sales Desk +612 8258 2862 Europe Europe Sales Desk +44 (0) 20 7547 2587 Japan Japan Sales Desk +81 3 51 56 6642 US US Sales Desk +1 800 553 1226

>> page 41

Profiles

Electronic Securities Processing

Electronic Securities Processing (ESP) offers Telepath™, a broker-neutral, global order-routing network with a full suite of trading applications providing access to third-party broker services

Markets Australia

✔

Netherlands

✔

Austria

(algorithms, dark pools, direct market access, smart order routing) and Clearvoyance™ for comprehensive post-trade management solutions. ESP specializes in re-blocking multiple trades prior to allocation. By doing so, the many child orders generated by algorithms and smart orderrouting systems are brought back together to a single parent ticket for settlement thus saving transactions costs and simplifying accounting – all help to minimise trade breaks and overall settlements.

✔

New Zealand

✔

Belgium

✔

Norway

✔

Canada

✔

Portugal

✔

Czech Republic

✔

Singapore

✔

Denmark

✔

South Africa

✔

Finland

✔

Spain

✔

France

✔

Sweden

✔

Germany

✔

Switzerland

✔

Hong Kong

✔

UK

✔

Hungary

✔

US

✔

Arrival Price

3

Italy

✔

Implementation Shortfall

3

Japan (JASDAQ)

✔

Percent of Volume

3

Japan (Osaka)

✔

TWAP

3

Japan (Tokyo)

✔

VWAP

3

Common Algorithms

Description of Algorithms

page

ESP Cloak

ESP’s Dark Pool Smart router that uses statistical logic to distribute orders across multiple Dark Book venues, while dynamically redistributing orders to venues where more executions are actually taking place.

ESP Smart

ESP’s Smart Order Router is designed to efficiently route orders to the market center or ECN displaying the best price, while “sweeping” multiple markets that may offer the best price simultaneously.

42

An A-TeamGroup Publication

According to ESP CEO Joshua S. Levine, traders in search of best execution and compliance with MiFID have only validated the need for settlement aggregation solutions because of the complexity of settling across multiple markets. This aggregation is accomplished post-trade, by recombining the multiple executed trades into a single block and then applying the account allocations. ESP clearing firms settle with the execution venues and settle with the individual accounts, eliminating the need for allocation processing by each venue. Settlement processing starts as soon as the

client completes their trading block. ESP Telepath™ connects the front-end with the sell side to provide a valuable buy-side service – including connectivity to over 250 execution venues globally via FIX. As the range of instruments interesting to the buy-side expands – and opportunities for arbitrage between disparate asset classes become a reality – boosting the appeal of ESP’s services while maintaining realistic operational costs.

Department/Division Electronic Securities Processing (ESP) LLC Service or Product Telepath Network Clearvoyance Algorithmic Clearing Launch Date 2007 Number of Clients 40 Website www.esptechnologies.com Claimed Feature(s) • Integrated with most EMS and OMS systems • Service provided ‘in-the-trade’ or completely posttrade Claimed Advantage(s) • Reduces number of trade settlements • Streamlines connectivity, routing and backoffice Special Facilities • EARN - Electronic Algorithm Routing Network • ESP Global Routing Network

Interfaces Belzberg

✔

Bloomberg

✔

Charles River

✔

Eze Castle (ConvergEx)

✔

Flextrade

✔

InfoReach

✔

Macgregor (ITG)

✔

Neovest (JP Morgan)

✔

Portware

✔

RealTick (Townsend Analytics)

✔

Sterling Trader Pro

✔

Sungard Global Trading

✔

An A-TeamGroup Publication

Company Name ESP Technologies Corp

Asset Classes • US, European, Asian Equities • US, European, Asian Options Contact Global All Services +1 212 485 5120

page

43

Profiles

Fidelity Capital Markets

Fidelity Capital Markets (FCM) is a customerfocused institutional trading firm operating under the Fidelity umbrella. The firm’s goal is to integrate institutional, intermediary, and retail business and trading platforms, while

maximizing the synergies that exist among them. The resulting trading complex provides clients with a variety of solutions and products, backed by experience, that address your needs. FCM offers products and services to assist with trading across

Description of Algorithms

page

DarkSweep®

Enables clients to maximize execution without revealing their trading intentions with a sophisticated trading strategy that aggregates hidden liquidity into a single entry point. DarkSweep is a sophisticated algorithm that aggregates hidden liquidity from over 30 other ATSs into a single entry point. DarkSweep will only execute within the National Best Bid and Offer. Orders will be pegged to the midpoint or primary (depending on the venue), providing price improvement for your trade.

Fade

This passive strategy minimizes the use of market orders throughout the trading interval. However, you can specify a guaranteed fill of the order at your discretion. In this case, if necessary to complete the order, the algorithm will revert to using market orders near the end of the trading interval. Fade will fill an order in its entirety if Guaranteed Fill is checked.

Snap - Implementation Shortfall; Arrival Price

Measures the stock price at the time of the order, throughout the day, and at the time of execution. Using an Arrival Price (Midpoint of Bid/Ask at time of arrival) benchmark, Snap will determine the best execution tactic while working around the benchmark, given a user specified Urgency level. Snap will fill an order in its entirety.

Adrenaline

Adrenaline will survey quoted venues in an attempt to identify significant levels of liquidity on the bid or offer while working a piece in DarkSweep. Once triggered by the bid/offer size exceeding the symbol-specific characteristics, Adrenaline will access liquidity based on Aggressiveness. Aggressiveness determines how sensitive Adrenaline is and how much of the quoted liquidity to attempt to take.

Recoil

Recoil looks for local price momentum while searching for liquidity in DarkSweep. Using symbol-specific characteristics, Recoil determines when favourable price points appear. When triggered, the algorithm begins intelligently interacting with liquidity from both dark and quoted venues.

T-Hawk

T-Hawk patrols for advantageous liquidity and price levels while representing your order in DarkSweep. The algorithm sources liquidity from dark and quoted markets when the opportunity presents itself

44

An A-TeamGroup Publication

all asset classes, creating a trading environment that puts the client’s objectives first. FCM offers a number of unique trading solutions and analytics services that help measure the effectiveness of the trade process. FCM’s Model Trade Execution (MTRX)® service is designed

Common Algorithms

Company Name Fidelity Capital Markets

Corporate Buyback

3

Market On Close

3

Department/Division Electronic Trading

Target Price

3

TVOL

3

TWAP

3

VWAP

3

Markets Argentina

✔

Japan

✔

Australia

✔

Luxembourg

✔

Austria

✔

Malaysia

✔

Belgium

✔

Mexico

✔

Brazil

✔

Netherlands

✔

Canada

✔

Norway

✔

China

✔

Peru

✔

Czech Republic

✔

Philippines

✔

Denmark

✔

Poland

✔

Estonia

✔

Portugal

✔

Finland

✔

Russia

✔

France

✔

Singapore

✔

Germany

✔

South Africa

✔

Greece

✔

South Korea

✔

Hong Kong

✔

Spain

✔

Hungary

✔

Sweden

✔

Iceland

✔

Switzerland

✔

Indonesia

✔

Taiwan

✔

Ireland

✔

Thailand

✔

Israel

✔

Turkey

✔

Italy

✔

UK

✔

US

✔

An A-TeamGroup Publication

Service or Product Algorithmic Strategies (MTRX® Model Trade Execution) Website www.fidelitycapitalmarkets.com Claimed Feature(s) • Helps minimize market impact and price fluctuation when trading a single stock or a basket. • The trade can be stopped while in progress if market conditions or your desires change Claimed Advantage(s) • Our cutting-edge algorithms detect and respond to liquidity in real time. • You have access to sophisticated order placement and liquidity access. • One of the largest liquidity pools in the world. Special Facilities • DMA • Pre and Post trade analytics • Order Routing • Fix Connectivity • Anonymous Crossing Network Asset Classes • Equities • Fixed Income • Futures • Options • FX Contact US General Enquiries +1 (888) 595 0589 [email protected]

>> page 45

Profiles

for all the clients’ algorithmic trading needs. Designed by an experienced, in-house financial engineering team, MTRX provides optimal order placement and execution targeting a variety of benchmarks. MTRX empowers clients to operate more efficiently, using proprietary liquidity-mapping technology and trading networks to help minimise market impact, reduce trading costs, and improve the quality of execution. All algorithmic trading strategies leverage an intelligent order router, Fidelity Dynamic Liquidity ManagementSM (FDLM), which aggregates liquidity to help deliver best execution. All of FCM’s Liquidity Seeking Algorithms aim to source liquidity leveraging DarkSweep® and an opportunistic model around price and size. As liquidity is sourced, the algorithms rebalance the allocation in order to capture all available liquidity. The algorithms are designed to balance the anonymity of a trader’s intentions and getting an order completed when favourable liquidity or price levels appear. None of the algorithms will post the order out loud. page

46

Interfaces Advent Moxy

✔

AFA

✔

Bloomberg (EMS, SSEOMS) ✔ Charles River

✔

Eze Castle (ConvergEx)

✔

Fidessa

✔

Fidessa LatentZero

✔

ITG

✔

Neovest (JP Morgan)

✔

NYSE Technologies

✔

Radical (ITG)

✔

RediPlus (Goldman Sachs) ✔ Sterling

✔

Realtick (Townsend Analytics) ✔ SunGard Global Trading

✔

TeamTrader

✔

Trader Console

✔

Triton (ITG)

✔

Radical (ITG)

✔

REDIPlus

✔

RTS Realtime Systems

✔

Sophis

✔

SunGard Global Trading

✔

Thomson Reuters

✔

Tradar

✔

Tradeware (SS&C)

✔

Trading Technologies

✔

TradingScreen

✔

Triton (IYG)

✔

An A-TeamGroup Publication

Research A-Team

A-Team Group’s research reports and surveys provide invaluable reference guides to the financial IT industry, whether you need to understand an issue from a strategic industry perspective, size the market, or compare suppliers and their services. No desk should be without them. As well as our published reports, A-Team conducts proprietary and customized market research and surveys specifically for clients, with a focus on reference data and enterprise data management, transaction technologies, market data and trading room infrastructure.

A-Team Group’s research reports and surveys are available for FREE at:

www.a-teamgroup.com/research

Profiles

Goldman Sachs

Goldman Sachs Electronic Trading offers a complete suite of global, multi-asset algorithms, covering Europe, North America and Asia. Goldman Sachs algorithms are utilized by a diverse client base, including institutional managers, pension funds and hedge

funds, as well as broker/ dealers and other sell-side financial service providers. Additionally, Goldman Sachs’ internal trading desks utilise its algorithmic suite for working customer business. Through the SIGMA smart order router

Description of Algorithms

page

Participate (PART)

Multi Product (Equities, Futures, Options, Synthetics) – Tracks a specified percentage of composite market volume (electroniconly for futures) based on changes in stock price and relative performance.

TWAP (TWAP)

Multi Product (Equities, Futures, Options, Synthetics) – Minimizes deviation from the composite market time-weighted average price (electronic-only for futures).

VWAP (VWAP)

Multi Product (Equities, Futures, Options, Synthetics) – Minimizes deviation from the composite market volume-weighted average price (electronic only for futures).

Dynamic Scaling (DS)

Equities – Tracks a dynamic percentage of composite volume based on changes in absolute performance.

Navigator (NVGT)

Equities – Routes to the most appropriate algorithm based on order and stock characteristics.

PortX (PRTX)

Equities – Minimizes implementation shortfall on a portfolio level by optimizing the trade-off between the portfolio’s overall execution risk and market impact.

Relative Scaling (RSCL)

Equities – Tracks a dynamic percentage of composite market volume based on changes in relative performance.

Sonar (SONAR)

Equities – Opportunistically captures liquidity on non-displayed and public venues.

Sonar Dark (SONARD)

Equities – Opportunistically captures liquidity on non-displayed venues.

Implementation Shortfall (IS)

Equities – Minimizes implementation shortfall by optimizing the trade-off between execution risk and market impact.

Stealth (STLTH)

Equities – Aggressively seeks both public and non-displayed liquidity. Pings between the spread at non-displayed venues, takes displayed liquidity within the limit price and then posts (con’t) >> multiple non-displayed orders.

48

An A-TeamGroup Publication

and suite of liquidity enhanced products for trading equities, clients benefit from next-generation algorithms, sophisticated crossing and anti-gaming logic, and a comprehensive suite of analytics. Goldman Sachs was a pioneer in multi-asset algorithmic trading, which now encompasses a breadth of strategies: 10 equity algorithms, 12 futures algorithms, 3 synthetic algorithms, and 9 options strategies. Its equity algorithms are divided into four categories – benchmark matching, price and liquidity seeking, dynamic participation, and customised – and cover both single-stock and portfolio

level execution. Its core algorithms (VWAP, TWAP, and Participate) have all been enhanced to access ‘dark’ liquidity, giving users the ability to cross blocks in the dark as well as enabling them to minimise market impact and signalling risk via intelligent order placement, across multiple liquidity venues. A highlight of its equity offering is Sonar, a liquidity-

Common Algorithms Implementation Shortfall

3

Peg

3

Percent of Volume

3

TWAP

3

VWAP

3

Company Name Goldman Sachs Department/Division Electronic Trading Service or Product Goldman Sachs Algorithmic Trading Launch Date 2002 Number of Clients 2,000+ Website www.gs.com/electronictrading Claimed Feature(s) • Algorithmic trading across Asia, Europe, and North America • FIX 4.2 Claimed Advantage(s) • Speed • Benefit from opportunities for internal crossing while reducing market impact and capturing spread • Largest franchise flow Special Facilities • SIGMA and SIGMA X liquidity products Asset Classes • Futures • Equities • Synthetics • Options

Concepts SIGMA and SIGMA X

SIGMA is Goldman Sachs’s Smart Order Router. SIGMA X is Goldman Sachs’s Alternative Trading System (ATS) for US equities, and it is among the largest in the US. All equity algorithms leverage the SIGMA routing logic and SIGMA X liquidity.

SIGMA X-Cross

SIGMA X-Cross is a portfolio and single stock point-in-time cross with risk constraints that takes advantage of one of the largest US dark pools, SIGMA X. Scheduled crosses occur daily at 10:30 am, 12 noon, and 2:30 pm EST with the ability to add an ad-hoc cross intraday. All X-Cross matches are crossed at the midpoint, there is no time priority.

An A-TeamGroup Publication

>> page 49

Profiles

seeking algorithm that routes to both non displayed and public destinations and utilises smart order types to actively source liquidity at attractive price levels. Clients can also select a ‘dark-only’ strategy, allowing them to access non-displayed pools only. Another highlight is PortX, its portfolio-level algorithm

designed specifically for clients who trade portfolios with an implementation shortfall benchmark. The algorithm calculates the optimal timeframe over which to trade a portfolio by taking into consideration the risks inherent in a basket, historical and real time trade/market data as well as user-defined $/ ratio balancing and risk

Description of Algorithms (con’t)

page

Delta Adjusted (DADJ)

Options – Limits will float with the underlying security according to the option delta. To keep the delta relevant, the order will be temporarily suspended if it travels outside upper and lower bounds of the underlier set by the user. This order will scan the market until the order is marketable, then sweep liquidity accordingly.

Prowler (PWLR)

Options – Sweeps markets quickly using immediate-or-cancel child orders, taking all available liquidity on the public exchanges within the order’s limit. Prowler will then sit on our servers, hidden from the rest of the market, waiting to strike when marketable again. Minimum sweep quantities can be employed to control the aggression of Prowler.

SIGMA Option Routing (SIGMA OR)

Options – Simultaneously sweeps the inside of each exchange until the order is no longer marketable, then will post on the appropriate exchange based on market factors.

Volatility Limit (VLIM)

Options – Allows the client to enter a volatility limit that is translated into an explicit limit real-time waiting for a match. This order will post orders at the calculated limit price when nonmarketable, or take liquidity using SIGMA’s sweeping logic when marketable.

Discretion (DIS)

Options – Discretion is now available on all posted SIGMA Order Types (Limit and Iceberg). Using SIGMA’s advanced sweeping logic, the order router will seek out liquidity within the order’s discretion.

Iceberg (IBRG)

Options – Posts small orders (tranches) into the market while hiding the balance on our servers. As the posted orders are filled, they will be replaced with subsequent tranches until the order is filled or cancelled. If the market moves into your limit, the order will aggressively take the liquidity by sweeping with IOC orders. Minimum sweep can also be employed to control the aggression of the sweeping component. The ability to randomize the tranche (con’t) >> is also available to minimize gaming in the markets.

50

An A-TeamGroup Publication

Interfaces

Markets

Contact

Advent Moxy

✔

Australia

✔

Beauchamp

✔

Austria

✔

Bloomberg

✔

Belgium

✔

Brass (SunGard)

✔

Canada

✔

Charles River

✔

Chi X

✔

ESP

✔

Denmark

✔

Eze Castle (ConvergEx)

✔

EBS

✔

Fidessa/Fidessa LatentZero

✔

Finland

✔

FlexTrade

✔

France

✔

InfoReach

✔

Frankfurt Xetra

✔

Instinet

✔

Germany

✔

Lava

✔

Greece

✔

Longview (Linedata)

✔

Hong Kong

✔

Macgregor (ITG)

✔

Ireland

✔

Mixit

✔

Italy

✔

Neovest (JP Morgan)

✔

Japan

✔

Patsystems

✔

Korea

✔

Portware

✔

Netherlands

✔

Radical (ITG)

✔

Norway

✔

RediPlus (Goldman Sachs)

✔

Portugal

✔

RTS Realtime Systems

✔

Singapore

✔

Sophis

✔

South Africa

✔

SunGard Global Trading

✔

Spain

✔

Thomson Reuters

✔

Sweden

✔

Tradar

✔

Switzerland

✔

Tradeware (SS&C)

✔

Taiwan

✔

Trading Technologies

✔

Turquoise

✔

TradingScreen

✔

UK

✔

Triton (IYG)

✔

US

✔

UNX

✔

An A-TeamGroup Publication

Global All inquiries +1 212 357 4255 [email protected]

>> page 51

Profiles

parameters. Finally, clients can take advantage of the Navigator customised trading solution. Based on a number of pre-defined client-selected parameters, Navigator acts as a filter that routes a customer’s order flow to a range of specific Goldman

Sachs algorithms, selecting which strategy will give the client the best outcome given the order that they have to execute, their overall trading benchmark and their short/ medium or long-term alpha drift.

Description of Algorithms (con’t)

page

Synthetic Execution (SEA)

Synthetics – Uses stock-specific cost estimates based on liquidity and pricing parameters to offer pre-trade analysis for the optimal trading horizon. Allows for a range of aggressiveness in execution strategy.

Auto Cancel (AC)

Futures – Sets a specific time to automatically pull a working order from the market.

IntelliSea

Synthetics – Pseudo-market order type for synthetics that attempt to execute an order as aggressively as possible, given sufficient liquidity.

Iceberg (ICE)

Futures – Executes an order discreetly by sending smaller increments to the market.

Market-if-Touched (MIT)

Futures – Allows user to enter an order to buy (sell) that becomes a market order if and when the instrument trades, or is offered (bid), at the specified price or lower (higher).

OCO Stop Loss (OCO SL)

Futures – Combines a Stop order with a Limit order. If one order is sent to the exchange, the other is automatically cancelled (i.e.: entering a Buy limit below the current offer, along with a Stop order above the current offer).

Peg (PG)

Futures – Allows the customer to maintain a presence on the best bid (if buying) or offer (if selling) until order is completed, cancelled, or reaches the end of trading session. Users can choose the level of aggressiveness they wish to use to fill the order (Passive, Neutral, Aggressive).

Tick (TK)

Futures – Specifies price discretion based on user customized parameters. Allows user to pay up (down) when buying (selling) for specified number of ticks, if the parameters are met.

Time Activation (TA)

Futures – Sends a limit or market order to the exchange at a specific time.

Time Slice (TSLC)

Futures – Works an order over time according to user defined or auto-calculated tranche, time, and re-price parameters. The reprice function aggressively attempts to capture the bid/ask price spread when buying/selling.

52

An A-TeamGroup Publication

Profiles

HSBC

a cross asset class basis. With the recent rebuild of its FIX network, each of HSBC’s FIX connections is multiasset class from inception, thus reducing the need to connect multiple times to the same counterparty.

HSBC operates a singleinstance globally replicated order management and trading platform providing execution access into 102 equity exchanges. This provides 24-hour coverage for all equity orders including weekends for the Middle East. We can accept FIX orders for Equities (Care & Block, PTA, DMA, DSA) as well as for Futures (41 exchanges) and FX (100+ currency pairs) via a single connection.

We are able to manage customer orders using any combination of manual and automated intervention the clients or the transaction may require. When using our eEquities Desks, all client orders are automatically segregated from other activities thus ensuring information about transactions is managed

HSBC has a policy of connecting to all commercially established order routing networks on

Markets

page

Abu Dhabi

✔

Germany

✔

Singapore

✔

Australia

✔

Greece

✔

South Africa

✔

Austria

✔

Hong Kong

✔

South Korea

✔

Belgium

✔

Israel

✔

Spain

✔

Brazil

✔

Italy

✔

Sweden

✔

Canada

✔

Japan (Tokyo/Osaka)

✔

Switzerland (Virt-X, SWX)

✔

China

✔

Kuwait

✔

Taiwan

✔

Cyprus

✔

Netherlands

✔

Thailand

✔

Denmark

✔

Norway

✔

Turkey

✔

Dubai

✔

Poland

✔

UK

✔

Finland

✔

Portugal

✔

US

✔

France

✔

Saudi Arabia

✔

54

An A-TeamGroup Publication

within a controlled environment utilising strict Chinese Walls. The eEquities team retains the option, upon a client’s request, to access liquidity from other client trading teams. To help manage our best execution obligations, HSBC has created and deployed a Consistent Tolerance Model (CTM) to help understand when any transaction may have caused a potential breach of our best execution policy, using a wide and comprehensive set of quantitative inputs.

The bank’s single global platform enables this monitoring across any order irrespective of the regulatory regime it is executed within. HSBC focuses on developing core automated trading strategies that address the issues faced by our trading counterparts in an increasingly fragmented market environment, which includes a requirement to trade remotely on a fully contingent basis. We also leverage our local market access and knowledge by providing

Common Algorithms Close

3

DClose

3

Implementation Shortfall

3

Open

3

Percent of Volume

3

TWAP

3

VWAP

3

Department/Division eEquities Service or Product Program Trading (PTA) / Algorithmic Trading (DSA) / Remote Trading (DMA) / Quantitative & Indexation Strategies LaunchDate 2007 Number of Clients 800 Website www.hsbc.com Claimed Feature(s) • Total Anonymity • Ongoing adaptation ✦Globally Contingent Claimed Advantage(s) • Able to combine all eEquities products (PTA / DMA / DSA) with local custody focused on Emerging Markets. • Seamless STP enabled wholesale solution for Buy & Sell Side • Single anonymous eEquities relationship with a regional connection for global execution & settlement • Cash &/or SWAP basis across Program, DMA, DSA orders with HSBC providing either the Cash Custody or SWAP Special Facilities • DMA for UK Small & MidCap stocks • Internal SOR • Program Algos Asset Classes • Equities Contact Americas Leon Mcintyre [email protected] Asia Pacific Gavin Williamson [email protected]

Concepts DECS

Company Name HSBC Bank plc

Direct Execution & Custody Services for wholesale electronic trading solutions into Developed & Emerging Markets.

An A-TeamGroup Publication

EMEA and Global Kevin Bourne [email protected]

>> page 55

Profiles

execution capabilities across multiple Frontier Markets. With our extensive network of local Treasury teams we are able to provide single counterpart relationships and the best in local colour and market intelligence.

Interfaces

page

56

AFA

✔ Neovest (JP Morgan)

✔

Bloomberg

✔ NYFIX

✔

Charles River

✔ Peresys

✔

CMA

✔ Portware

✔

Currenex

✔ Reuters

✔

ESP

✔ RTS Realtime Systems

✔

Eze Castle (ConvergEx)

✔ Savvis

✔

EZX

✔ Saxo

✔

Fidessa

✔ SS&C

✔

Fidessa LatentZero

✔ Sungard

✔

Fixcity

✔ SunGard Global Trading

✔

Flextrade

✔ Tethys

✔

Forex Manage

✔ TNS

✔

Fundworks

✔ Tora

✔

Gate Lab

✔ Townsend

✔

GSET Connect

✔ TradeWare

✔

InfoReach

✔ Tradeweb

✔

IRESS

✔ Trading Screen

✔

Linedata

✔ Trading Technologies

✔

LSE

✔ Ullink

✔

Metabit

✔ UNX

✔

MIXIT

✔

An A-TeamGroup Publication

Driving change: Real time clearing At Cinnober, we help the most demanding g marketplaces benefit from change by building awesome solutions. We’ve already developed re the world’s fastest trading platform. Now we’re introducing the first true real time clearing system, based on the same platform that’s in use in several high transaction marketplaces.

T TRADExpress™ RealTime Clearing offers risk m management in real time with market leading lo latency, whether it’s cash or derivatives low a regardless of asset class. Now you can offer and b bilateral as well as multilateral clearing, swiftly im implement new instruments and use multiple ri algorithms in parallel. Talk about change. risk

To find out more, take a close look at www.cinnober.com With a passion for change.

Profiles

Instinet

Instinet is a wholly owned subsidiary of Nomura and acts as an agency broker in markets globally. The company operates a number

of front-end trading systems and crossing networks, and maintains smart-routing technology and a suite of algorithms. Among its

Description of Algorithms

page

Benchmark Strategies

The Instinet Execution Experts’ benchmark-driven algorithms use sophisticated price and liquidity discovery techniques in a riskcontrolled framework to achieve best execution. The benchmark strategies operate in a schedule-free environment, instead using a risk/return framework that enable them to behave more like human traders, constantly monitoring for attractive prices and liquidity. The benchmark strategies include VWAP, Participation, TWAP, IS and TargetClose.

Cobra (CBRA)

Cobra is a stealth, liquidity-seeking algorithm designed to minimize signalling and market impact while maximizing shares traded. Cobra opportunistically interacts with displayed volume, leveraging the Experts’ high speed analytics platform to identify attractive times to demand liquidity. It will also make extensive use of passive hidden orders combined with proprietary pegging logic to minimize signalling risk, and purposely alters its trading tactics to avoid predictable patterns that other market participants could exploit. Cobra’s Execution Style parameter (Passive, Normal, Aggressive and Super-Aggressive) allows users to control overall behaviour of the strategy, is it will adjust sizes and frequency of order submissions, and sensitivity to trading conditions.

Nighthawk (NTHK)

Leveraged by all algorithms within the Instinet Executions Experts suite, Nighthawk is an intelligent dark-liquidity aggregation strategy that incorporates sophisticated pricemodelling and allocation logic. Nighthawk, which sweeps over 20 dark liquidity venues using a strategy that is optimized for each venue and that dynamically allocating shares to the most active destinations, uses an array of sophisticated techniques to reduce adverse selection, signalling and potential gaming. Nighthawk prices submissions at the mid-point or better, and monitors short-term volatility to minimize the risk of providing liquidity at unattractive price levels.

Portfolio IS (PIS)

Portfolio IS is an arrival price strategy designed to minimize implementation shortfall for portfolio trades. The strategy maintains an optimal target velocity for each security, dynamically updated throughout the trade. Portfolio IS employs proprietary real-time risk and impact models, re-optimizing as portfolio composition changes. The embedded control framework ensures that the portfolio conforms to user-specified constraints. Additionally, by setting the Risk Tolerance parameter, users can control the balance between impact and opportunity risk, and can also set parameters including Cash Target, Spend/ Raise Constraint, Must Complete and Min/Max Part Rate.

58

An A-TeamGroup Publication

alternative trading system offerings are CBX in the US, JapanCrossing in Asia, and BlockMatch in Europe. Instinet runs a suite of algorithmic trading models

Common Algorithms Custom

3

Implementation Shortfall

3

Pairs

3

TWAP

3

VWAP

3

that combine parent Nomura’s former US algorithms with Instinet’s liquidity and market access. The first individual strategies to be developed within the Instinet Execution Experts framework are enhanced versions of Nighthawk and Cobra, previously Instinetbranded algorithms, and Portfolio IS, which was previously deployed at Nomura. Nighthawk, a dark liquidity aggregation algorithm

Company Name Instinet Department/Division Instinet Execution Experts Service or Product Direct Execution Services Launch Date January 2008 Number of Clients 1,200 Website www.instinet.com Claimed Feature(s) • Event-driven algorithmic trading environment • Unified risk/return framework • Sophisticated price and liquidity discovery • Modular architecture • Rapid customization and innovation

Advent

✔

Bloomberg

✔

Beauchamp (Linedata)

✔

Claimed Advantage(s) • While most firms offer one dark liquidity aggregation algorithm, all of Instinet’s can intelligently access dark liquidity. • One unified component-based framework allows Instinet to customize and develop algos sometimes in less than a day. • All algos are event-driven, rather than scheduledriven.

Charles River

✔

Special Facilities

Eze Castle (ConvergEx)

✔

Fidessa LatentZero

✔

FlexTrade

✔

Indata

✔

InfoReach

✔

ITG

✔

Neovest (JP Morgan)

✔

Longview (Linedata)

✔

Portware

✔

Sungard

✔

SunGard Global Trading

✔

Trading Screen

✔

Interfaces

An A-TeamGroup Publication

Asset Classes • Equities • Equities • Fixed Income Contact Asia Kym Graham Head of Sales, Asia [email protected] Europe Alexandra.Foster Head of Sales, Europe [email protected] US Tom Whelan Head of North American Product Sales [email protected]

>> page 59

Profiles

that reaches over 20 dark liquidity venues in the US, is leveraged by all algorithms in the suite, thereby ensuring that all Instinet algorithms search both dark and light liquidity. Cobra, which intelligently reduces market signalling and opportunistically accesses liquidity, now has the ability to access multiple dark pools in addition to ECNs and exchanges. Portfolio IS is an adaptive programme-trading strategy that utilises proprietary market impact and industry correlation models to balance market impact and opportunity cost while optimising dark-pool interaction for highercost trades. Access to the algorithms is via clients’ own EMS platforms, although customers can choose to connect directly with the platform using a FIX interface.

page

60

Markets Australia

✔

Austria

✔

Belgium

✔

Canada

✔

Czech Republic

✔

Denmark

✔

Finland

✔

France

✔

Germany

✔

Hong Kong

✔

Hungary

✔

India

✔

Italy

✔

Japan

✔

Mexico

✔

Netherlands

✔

Norway

✔

Poland

✔

Singapore

✔

South Africa

✔

South Korea

✔

Spain

✔

Sweden

✔

Switzerland

✔

Taiwan

✔

Thailand

✔

UK

✔

US

✔

An A-TeamGroup Publication

a-TeamINSIGHTreSearcH Performance and efficiency: How a managed Services approach can ease your market data Headache Market infrastructure is evolving at a pace that even the most technology-savvy financial institutions find challenging. New execution venues are popping up everywhere fragmenting liquidity and creating cross-dependencies between primary and derivative marketplaces. The move to fast markets and trading automation is cutting response times and increasing data volumes. Markets have shown a 70% increase in volume over the last year alone.

BacK To THe fUTUre: Historical data in High-frequency Trading The adoption of algorithmic trading by the mainstream has created a requirement for high-quality historical data for development, testing and maintenance of trading strategies. Key to success here is the quality of data. Nowhere is the adage ‘bad data in, bad data out’ more true than in the area of algorithmic and quantitative trading, where the use of highly granular tick and order book data is crucial to producing trading strategies that perform.

download these special reports for free now! www.a-teamgroup.com/et-research Want A-Team to write your next white paper? Contact: [email protected]

Profiles

Investment Technology Group (ITG)

Investment Technology Group (ITG) is a specialised agency brokerage and financial technology firm that partners with asset managers globally to provide integrated portfolio management, pretrade analysis, trade execution and post-trade evaluation. The firm combines agency brokerage with technology solutions, offering buy-side clients a range of capabilities from decision support and order generation to execution, performance

measurement, clearing and settlement. ITG Algorithms automate trade executions based on insights from pre- and post-trade analysis. The company’s algorithmic offering is geared towards single-stock and list-based trading to meet multiple objectives and trading styles. All automated strategies aim to reduce market impact and maximising execution quality, thereby improving overall trading performance.

Description of Algorithms

page

DarkEU

Provides access to multiple venues seeking out hidden liquidity with minimal information leakage and signalling risk.

ActiveEU

Actively works orders by looking at market conditions, targeting arrival price.

Active X

Aggressive version of Active, will be an active market participant until completion.

Opportunistic

Utilises stealth trading style and pounce logic to minimise market impact.

Float

Works passively to earn the spread.

Implementation Shortfall

Trades opportunistically minimising implementation shortfall to optimise execution.

Volume Participate

Participate in exchange traded volume at specified rate.

Close

Optimise executions into the close.

Raider

Spread and liquidity sensitive algorithm.

Flexible Participation

Never posts, opportunistically takes liquidity. Adapts participation rate according to the price of the stock.

Dynamic Implementation Shortfall

List-based strategy to manage portfolio trades with complex objectives and constraints.

62

An A-TeamGroup Publication

blocks of stock or small, illiquid names with no human intervention, eliminating information leakage and minimising market impact.

ITG was an early provider of crossing networks, launching its POSIT platform for institutional investors in 1987. POSIT enables traders to efficiently execute large

Markets

List and multi-destination dark strategies

Australia

✔

Austria

✔

Belgium

✔

Canada

✔

Denmark

✔ ✔

TWAP

3

VWAP

3

France

✔

Germany

✔

Greece

✔

Hong Kong

✔

Bloomberg

✔

Ireland

✔

Charles River

✔

Italy

✔

ESP

✔

Japan

✔

Eze Castle (ConvergEx)

✔

Netherlands

✔

Fidessa

✔

Norway

✔

Fidessa LatentZero

✔

Portugal

✔

Flextrade

✔

Singapore

✔

InfoReach

✔

South Africa

✔

ITG

✔

South Korea

✔

Linedata

✔

Spain

✔

Portware

✔

Sweden

✔

Radical (ITG)

✔

Switzerland

✔

REDIPlus (Goldman Sachs)

✔

Taiwan

✔

Trading Screen

✔

UK

✔

✔

US

✔

Triton (ITG)

An A-TeamGroup Publication

Service or Product ITG Algorithms

Number of Clients 300+

Finland

Interfaces

Department/Division Electronic Trading

Launch Date ITG in Europe was launched in 1998 & algorithms were introduced in 2004

Concepts

Common Algorithms

Company Name Investment Technology Group (ITG)

Website www.itg.com Claimed Feature(s) • Large choice of scheduled and participation-based algos. ✦Single stock and list options available. ✦Access to multiple liquidity destinations. ✦Unique access to POSIT - ITG’s own dark pool. Claimed Advantage(s) • Agency status means all algos are developed to benefit clients. • Agency status also ensures information leakage is minimised. • High degree of customisation is available. • Antigaming logic is built-in to protect users. • Dedicated algo support team. • Transparency - a report detailing where/ when trades were executed is provided Special Facilities • Access to POSIT • Integration with pre- and post-trade analytical products • EMS/OMS integration • Smart Order Routing • DMA • Agency only desk • Suite of market-leading algorithms • Regional customisation to suit local marketplace Asset Classes • Equities Contact Asia Pacific General Enquiries - Hong Kong +852 2846 3535 Europe General Enquiries - London +44 (0)20 7670 4014 US General Enquiries - New York +1 212 588 4000

page

63

Profiles

JP Morgan

J.P. Morgan’s algorithmic trading products are part of the Electronic Client Solutions (ECS) Group offering, which provides end-to-end execution capabilities across global markets. From research and execution, to clearing through settlement, our solutions offer a reliable, advanced platform designed to simplify and enhance our clients’ trading performance.

Bespoke technology, tailored to individual needs, enables clients to trade across different markets and a wide range of asset classes including Equities, Futures & Options, Fixed Income and FX. J.P. Morgan also provides access to liquidity on both single and multidealer platforms, including the Neovest broker-neutral EMS platform, which integrates direct market access (DMA)

Description of Algorithms

page

Aqua (AQUA)

Aqua is a rapid execution algorithm for liquid securities. It aims to help seek and extract liquidity when there is a need to execute quickly and decisively based upon a strong view. Utilises all available sources of ‘Dark Liquidity’ both internally and externally where appropriate.

Arid (ARID)

Arid is an implementation-shortfall algorithm designed specifically for less liquid securities. It will post liquidity discreetly, take liquidity of advantageous size or price and try to effect trades within the spread without moving the market. The behaviour of the algorithm is modified according to the characteristics of the security being traded and the urgency level set by the trader. Arid automatically participates in Dark liquidity venues.

Close (CL)

Aims to achieve the closing price for the current day. If expected liquidity is sufficient, your entire order will be placed into the closing auction. If not, the algorithm will work the order into the close starting as late as it can to complete the order with minimum impact.

Iceberg (ICE)

Iceberg will display an appropriate amount of your order to the exchange at your chosen limit price. Either specify your own display size or let the strategy choose.

Implementation Shortfall (IS)

IS helps you to target your chosen price benchmark (arrival, open or previous close). Will dynamically adjust the rate of execution of your order based upon size, your own view of the market and where the market is relative to your benchmark. IS automatically participates in dark liquidity venues.

Peg (PEG)

Peg is a passive algorithm that will allow you to join and track the best bid or offer automatically. PEG will place passive orders of discrete size, replenishing when filled, until your order is complete.

64

An A-TeamGroup Publication

and algorithmic management in a user-friendly, highly customisable application. Neovest was acquired, and became a wholly owned subsidiary of J.P. Morgan, in 2005. Access to all major publicly available liquidity venues is offered via the ECS platform of execution algorithmic strategies, including J.P. Morgan Lighthouse-X, its in-house crossing facility. Their offerings are bolstered by a robust infrastructure and our dedicated and experienced teams, providing access to J.P. Morgan’s global resources. ECS has specialist teams situated in New York, London, Hong Kong, Tokyo and Sydney, offering a ‘round the clock’ electronic execution service necessary

Common Algorithms

in today’s challenging market environment. We believe that technology and knowledge are the foundation for a successful partnership, and that is how the ECS group aims to deliver solutions to meet clients’ execution requirements. Incorporated within the product suit are the two leading algorithmic strategies, AQUA and ARID, each offering a comprehensive approach to sourcing liquidity and delivering superior execution performance. AQUA is a rapid execution strategy for liquid securities,

Advent

✔

Bloomberg

✔

Charles River

✔

Eze Castle (ConvergEx)

✔

Fidessa

✔

FlexTrade

✔

3

ITG

✔

Iceberg

3

Linedata Longview

✔

Implementation Shortfall

3

Neovest (JP Morgan)

✔

Peg

3

Portware

✔

Percent of Volume

3

RediPlus (Goldman Sachs)

✔

TWAP

3

Reuters

✔

Sungard Global Trading

✔

TraderForce

✔

3

An A-TeamGroup Publication

Department/Division Investment Banking Service or Product Electronic Client Solutions Website www.jpmorgan.com Claimed Feature(s) • Robust architecture • Highly customisable connectivity solutions • Global multi-asset class electronic trading platform • Bespoke algorithmic strategy customisations Claimed Advantage(s) • Industry recognised client service model. • Dedicated specialist electronic sales trading team Special Facilities • JP Morgan Lighthouse • Smart Order Routing • Dark Pool Access • Industry leading pre- and posttrade analytics • Industry leading pre- and post-trade analytics Asset Classes • Global Equities • Global Futures & Options • Global FX • Global Credit

Interfaces

Close

VWAP

Company Name JP Morgan

Contact Asia Michael Green +852 2800 8989 [email protected] EMEA Richard Naylor +44 (0) 20 7779 3207 [email protected] Scott Bradley +44 (0) 20 7325 3189 [email protected] North America Andrew Grayson +1 212 622 2924 [email protected] David Conner +1 212 622 4854 [email protected]

>> page 65

Profiles

opportunistically seeking liquidity and executing decisively upon a strong view. This is Important when targeting excess alpha in the investment decision. ARID is an implementationshortfall based strategy for less liquid stocks, which executes

discreetly and intelligently when it is especially important to avoid signalling in the market. The powerful combination of solid, intuitive execution strategies allied with proactive and responsive trade consultation from the service desks makes for an altogether bespoke trading experience.

Markets

page

66

Argentina

✔

Malaysia

✔

Australia

✔

Mexico

✔

Austria

✔

Netherlands

✔

Belgium

✔

New Zealand

✔

Brazil

✔

Norway

✔

Canada

✔

Pakistan

✔

Chile

✔

Peru

✔

China

✔

Poland

✔

Czech Republic

✔

Portugal

✔

Denmark

✔

Russia

✔

Finland

✔

Singapore

✔

France

✔

South Africa

✔

Germany

✔

Spain

✔

Hong Kong

✔

Sri Lanka

✔

Hungary

✔

Sweden

✔

India

✔

Switzerland

✔

Indonesia

✔

Taiwan

✔

Ireland

✔

Thailand

✔

Israel

✔

Turkey

✔

Italy

✔

UK

✔

Japan

✔

US

✔

Luxembourg

✔

Venezuela

✔

An A-TeamGroup Publication

A-TEAMINSIGHTREsEARch connecting to Today’s Fast Markets Low latency connectivity has enjoyed a resurgence of interest as high-performance trading architectures become a reality. Early interest in the low-latency ‘vision’ may have been interrupted by the global financial crisis, but no matter: low latency is back, and providing the catalyst for the explosion in high frequency trading. High-speed connectivity for electronic trading and market data delivery is a reality and it’s here to stay.

Machine Readable News and Algorithmic Trading It may have been a long time coming, but it appears that machine-readable news’ time has come. With today’s emphasis on fast, automated and event-driven markets, the ability to tap events and apply them to computer-based models seems obvious. But until relatively recently, the idea of electronically capturing news–or text-based information–for use in automated processes has been the stuff of science fiction.

Download these special reports for FREE now! www.a-teamgroup.com/et-research Interested in participating in the series? Contact: [email protected]

Profiles

Knight

Knight’s EdgeTrade Algorithmic Trading Strategies offers a comprehensive suite of algorithms that help buy and sell-side clients source liquidity while seeking best execution in a fragmented marketplace. The firm’s suite of algorithmic trading strategies – which include smart order execution (FAN, Covert, Sumo, Oasis and Pairs), and benchmark and participation algorithms (VWAP, TWAP, Arrival Price, Smart Vtrack) – was developed using the collective experience of its quantitative professionals, in-depth feedback from clients,

and Knight’s liquidity. All algorithms are geared towards helping clients achieve their specific trading objectives. Knight is currently expanding its electronic and algorithmic offering in Europe. With the emergence of numerous MTFs, tools that source liquidity in an increasingly fragmented market have become an essential technology for the trader. Based on the success of FAN in the US, EdgeTrade has reengineered and customised its smart order execution technology for the European microstructure landscape.

Description of Algorithms

page

Oasis

Unique and focused smart order execution algorithm that is tailored specifically to source small- and mid-cap liquidity. Powered by FAN technology.

Covert (COV)

Sweep & probe ATSs. Rest (post) intelligently in dark-pools. Ability to IOC.

FAN (FAN)

Sweep and probe dark pools and public markets for liquidity. Simultaneously rest and intelligently circulate shares throughout dark pools (and back to ATSs and public markets). Ability to IOC.

Smart VTrack (SVT)

Aggressive volume tracking algorithm driven by FAN. When in-line with participation parameters, strategy intelligently seeks to match public market volume by participating in displayed and non-displayed markets. Powered by FAN technology.

Sumo (SUMO)

Time urgent. Uses real-time and historical liquidity measures to determine speed in completing an order. Powered by FAN technology

Pairs Trading

Knight Direct – These new capabilities allows client to monitor spread market conditions as well as execute and interact with Pairs strategies. Powered by FAN.

10b-18 (BYBK)

Monitors trade quotes in real-time to ensure compliance with time and price conditions for issuer stock repurchases with the use of algorithms (VWAP, TWAP, Arrival Price, Smart VTrack)

Target Close (TC)

Algorithmically target closing price using historical and real time execution data. Powered by FAN.

68

An A-TeamGroup Publication

FAN is the algorithmic solution that accesses actionable liquidity in an adaptive and efficient way. It provides a range of features parameterized by price, urgency and anonymity, allowing the trader to have control over the order as it executes. Using

Common Algorithms Arrival Price

3

Custom

3

TWAP

3

VWAP

3

Interfaces

this smart order execution technology can also result in significant price improvement. With numerous market destinations, it is imperative that buy- and sell-side traders have liquidity-sourcing technology that adapts dynamically to executions wherever they are occurring in real time, providing efficient and cost-effective trade execution while maintaining market anonymity.

Markets

Aegis Athena

✔

Austria

✔

Bloomberg

✔

Belgium

✔

Charles River

✔

Canada

✔

ESP

✔

Denmark

✔

Eze Castle (ConvergEx)

✔

Finland

✔

Fidessa

✔

France

✔

Fidessa LatentZero

✔

Germany

✔

Flextrade

✔

Iceland

✔

InfoReach

✔

Ireland

✔

MFN

✔

Italy

✔

Mixit

✔

Netherlands

✔

Moxy

✔

Norway

✔

Neovest (JP Morgan)

✔

Portugal

✔

Nyfix

✔

Sweden

✔

Nyfix Network

✔

Switzerland

✔

SunGard Global Trading

✔

UK

✔

Triton (ITG)

✔

US

✔

An A-TeamGroup Publication

Company Name Knight Department/Division Knight Direct LLC Service or Product EdgeTrade Algorithmic Suite Launch Date 2004 (common benchmarks), 2005 (smart order execution) Number of Clients 2600+ Website www.knight.com Claimed Feature(s) • Agency-Only • Adaptive Algorithms • Anonymous • Customizable • Access to Knight’s Unique Liquidity Claimed Advantage(s) • Sourcing and aggregation of disparate liquidity (dark/displayed, active/passive) • Reduce information leakage • Reduce transaction costs • Adapts to real-time trading to efficiently seek out liquidity Special Facilities • Knight Direct EMS • FIX 4.0-4.2 • Agency-Only Desk • Broad OMS integration Asset Classes • Equities Contact Europe Bradley Duke +44 (0)20 7997 2200 [email protected] US Joe Wald +1 212 479 2335 [email protected] [email protected]

page

69

Profiles

Morgan Stanley

Morgan Stanley Electronic Trading (MSET) provides the complete spectrum of services, from pre-trade analytics and execution, to post-trade execution performance analysis and commission management. It offers a comprehensive algorithmic trading suite and various direct market access (DMA) strategies, including smart order routing technology and a dark liquidity pool aggregator. Clients can connect either via FIX, using a proprietary front-end or a third-party vendor, or via Morgan Stanley’s Passport

execution management system. The firm’s global product offering provides access to trade portfolios, single stocks, ETFs, options, futures, swaps and foreign exchange. MSET algorithms measure execution performance versus their selected benchmark, and provide quality financial engineering reflecting an in-depth understanding of market structure. The algorithms have been designed to offer controls and options that will assist in the execution of several industry-standard order objectives.

Description of Algorithms

page

NightOwlSM

NightOwl is a liquidity-seeking algorithm that seamlessly navigates select dark pools and public markets while balancing certainty of execution against signalling risk and market impact.

Pairs Trader

Pairs Trader is designed to give traders the ability to quickly and effortlessly trade two stocks based on a function of the spread. It can readily be used in merger arbitrage, relative value arbitrage or for simple intra-sector plays

Arrival Price - Mid Point

The Arrival price mid-point algorithm minimize execution short fall relative to the midpoint of the bid/ask at the time of order entry based upon an acceptable level of risk and impact. The strategy will dynamically respond to real time changes in liquidity, volatility and spread.

MSPORT

The objective of Morgan Stanley’s Portfolio Algorithms (MSPORT) is to balance market impact and execution risk at the portfolio level by taking into account correlations between assets. Portfolio Algorithm - MS PORT offers traders improved performance by reducing the variance of execution costs. These algorithms are uniquely able to seek risk neutrality and manage cash balances, using over 70 different metrics to evaluate risk.

70

An A-TeamGroup Publication

Company Name Morgan Stanley

Although the underlying mathematics and numerical techniques of the algorithms are complex and subtle, the goal of each algorithm is to provide tools that offer intuitive control and visibility. Focusing on more innovative strategies demanded by clients (e.g. NightOwl) has helped accelerate the growth in algorithm usage. This volume interacts with Morgan Stanley’s liquidity pools, allowing improved order matching with minimal market impact.

Department/Division Electronic Trading Service or Product Morgan Stanley Electronic Trading (MSET) LaunchDate 1999 Number of Clients 2500+ Website www.morganstanley.com

Concepts Customized Solutions

Beyond traditional strategies, we provide customized solutions to the trader. Our execution consultants work with traders to develop, implement and analyze the customized solutions.

Claimed Feature(s) • Manage performance against benchmark targets • Adjust automatically for seasonal volume differences (e.g., expiration days, quarter end). • Respond in real time to changes in volumes, bid-ask spreads, volatility and a variety of other market factors • Benefit from enhanced crossing opportunities in MS Pool. • Access all available exchanges, ECNs and MTFs simultaneously through Morgan Stanley’s Smart Order Routing Technology. • Benefit from dedicated account coverage with first-class support and service. • Maintain full control of the execution process with the ability to monitor performance and impose volume and price constraints. • Receive real-time execution reports into your OMS or Passport

Common Algorithms Close

3

Price React

3

Target Percent of Volume

3

TWAP

3

Volume Dispense

3

VWAP

3

An A-TeamGroup Publication

>> page 71

A-TEAMINSIGHTREsEARch Trading Beyond the horizon In 2010, financial markets participants will continue to expand their trading activities as liquiadity increasingly becomes fragmented, seeking alpha in new markets, best execution in dark pools, arbitrage opportunities across the order book and by implementing high frequency and complex, multi-leg, cross asset class strategies. This briefing explains the drivers for fragmentation and multi-market trading and the evolving landscape of market access.

New Approaches to Modern Trading Room Design In today’s financial markets, trading firms face constant pressures in a fiercely competitive environment. Providing best execution and superlative customer service is fundamental to attracting order flow. Running trading operations efficiently is also an imperative, to minimise costs internally and to offer best value to customers. Despite the increase in recent years of automated and algorithmic trading, the human touch is as important as ever in financial trading. Traders bring a wealth of experience to the art of trading, even when it is driven by computer-generated indicators. Their experience and relationships are vital to seeking out liquidity and efficient execution.

Download these special reports for FREE now! www.a-teamgroup.com/et-research Want A-Team to write your next white paper? Contact: [email protected]

Interfaces

Markets

Bloomberg

✔

Australia

✔

Brass (SunGard)

✔

Austria

✔

Charles River

✔

Belgium

✔

Decalog (SunGard)

✔

Brazil

✔

Eze Castle (ConvergEx)

✔

Canada

✔

Fidessa

✔

Denmark

✔

Fidessa LatentZero

✔

Finland

✔

Flextrade

✔

France

✔

Inforeach

✔

Germany

✔

Instinet

✔

Greece

✔

Longview (Linedata)

✔

Hong Kong

✔

Macgregor (ITG)

✔

India

✔

Moxy

✔

Ireland

✔

Neonet

✔

Italy

✔

Neovest (JP Morgan)

✔

Japan

✔

Paladyne

✔

Mexico

✔

Portware

✔

Netherlands

✔

Proprietary

✔

Norway

✔

Radical (ITG)

✔

Portugal

✔

RealTick (Townsend Analytics) ✔

Singapore

✔

Reuters

✔

South Africa

✔

SunGard Global Trading

✔

South Korea

✔

Tethys

✔

Spain

✔

Tora

✔

Sweden

✔

Trading Screen

✔

Switzerland

✔

Triton (ITG)

✔

UK

✔

US

✔

An A-TeamGroup Publication

Claimed Advantage(s) • Transparency - We provide full clarity on how your order was routed and where it was traded • Anonymity - We do not leak information about your order in our routing infrastructure nor in our dark liquidity pools. • Standards - We work with regulators and industry leaders to create standards for tabulating and advertising traded volumes • Trading Consultancy - Our execution consultants are dedicated to guiding you through the entire life of your trade • Trust – It’s your order. It’s your information. Your trade is none of our business. Special Facilities • MS Analytics • Smart Order Routing • Internal Dark Pool • EMS Asset Classes • Equities • Futures • Options • Swaps • FX • ETF’s Contact Asia – Japan Electronic Trading Desk +81 3 5424 5709 [email protected] Asia - Non Japan Electronic Trading Desk +854 2848 8222 [email protected] Europe Electronic Trading Desk +44 20 7425 3222 [email protected] US Electronic Trading Desk 212-761-8653 or 877-761-6738 [email protected]

page

73

Profiles

Nomura

Nomura is basing its algorithmic trading offerings on its ModelEx algorithmic suite across Equities and Futures. The strategies are

available to clients directly, and have an established track record of competitive execution performance, having been acquired

Description of Algorithms

page

Portfolio Strike

A custom implementation shortfall strategy specifically for portfolios where the user specifies the trading urgency, the target delta neutrality, price and/or volume constraints of the overall portfolio and its constituent stocks. Trading this strategy provides access to Nomura’s proprietary statistical models and ensures portfolios are traded dynamically and re-adjusted to take into account real-time market conditions

Reload

Aims to grab liquidity available at a given price placing quotes on the order book if the price is not in limit. Places orders onto the order book at the given price and size. If they hit another quote and fill completely, sends a new order, otherwise waits for other participants to fill order before sending next one.

Active IS

An aggressive participation strategy that aims to trade volume at arrival price, whilst also opportunistically taking advantage of any price improvements (compared to this arrival price) by sweeping the order book at specific quote thresholds, where possible. This trading style can be accompanied with a passive trading phase determined by user-specified settings.

Ratio Pairs

Works a basket of pairs of stocks (or futures) based on price targets. Trades the basket using Nomura’s proprietary signals to capture the positions with minimal market impact but with adapting urgency to achieve the inventory at an optimal ratio.

Risk Arb Pairs

Looks to work a pair focusing on achieving or bettering the target ratio as quickly as possible. Scans market data to complete an order as quickly as possible within the ratio specified. A highly customisable strategy that is suitable for Relative Value and Merger / Acquisition deals.

Guaranteed Strike (GStrike)

Represents an electronic guaranteed capital provision from Nomura. Trades are executed immediately against the strike benchmark, for a universe in excess of 1,000 stocks. GStrike is designed to immediately execute a trade at the touch. This service allows a client to trade at ‘touch’ for given quantities; however, greater sizes are offered at a price outside touch.

Float

Places orders on the passive side of the order book, reloading each time the order completely fills. The strategy moves with the quote to stay at the most competitive order book level.

Float and Pounce

Looks to trade passively unless well priced liquidity appears, when the strategy will grab as much as possible. Places orders passively at an appropriate size, then sweeps the book if the (con’t) >> specified size is available at limit price or better.

74

An A-TeamGroup Publication

with Nomura’s takeover of Lehman Brothers’ EMEA Equities and Investment Banking operations, and its retention of over 95% of senior management and staff as well as related technology and intellectual property in the process. ModelEx uses the heritage Lehman Electronic Trading infrastructure while benefiting from key product enhancements, which have been implemented at each stage of the execution process. The ModelEx algorithmic suite contains strategies that respond rapidly to individual client trading characteristics, such as limit price or participation rate changes. ModelEx seeks to optimise execution quality by directly improving price performance and preventing information leakage.

Crossing and rapid access to alternate dark venues continues to be an integral part of the platform. Market impact is minimised through the use of dynamic volume and volatility profiling, proprietary alpha signals in the child order placement engine and intelligent smart order routing logic. Through a number of proprietary systems and dedicated service teams, Nomura is able to monitor and support client orders from order entry, through execution to order completion and transaction settlement. The infrastructure can be configured to support clients’ needs and is robust and scalable. In light of Europe’s increasingly fragmented market place, smart order

Common Algorithms Implementation Shortfall

3

Target Close

3

Target Open

3

TWAP

3

VWAP

3

With Volume

3

An A-TeamGroup Publication

Company Name Nomura Department/Division Electronic Trading Services Service or Product ModelExTM Launch Date Re-launched in Jan 2009, following the acquisition of Lehman Brothers and the retention of all Lehman heritage technology Number of Clients N/A Website www.nomuranow.com Claimed Feature(s) • Nomura’s ModelExTM algorithmic suite has a strong performance track record • Global reach with market access to nearly 40 trading venues in 25 countries • Connectivity to over 30 vendors and the capacity to support in-house client solutions • All ModelExTM strategies utilise Nomura’s advanced smart order routing engine to efficiently capture lit and dark liquidity • Robust, scalable, low-latency infrastructure Claimed Advantage(s) • SOR engine with dynamic posting logic which considers short term alpha indicators in the decision making process • Frequent recalibration and research of model indicators coupled with an intraday volume prediction model enhances performance • First Investment Bank to register dark pool as MTF • NX dark pool built with well formed price discovery checks and robust anti-gaming logic Special Facilities • NXTM (Registered MTF) • Smart Order Routing Asset Classes • Equities • Futures

>> page 75

Profiles

Description of Algorithms (con’t) Hide and Pounce

Aims to capture all the liquidity at a given price or better. It waits until the order book shows a given amount of shares at a specified price or better and then takes all the shares at that price or better.

Smart Dark

The Smart Dark algorithm designed to execute within Nomura’s dark pool (NXTM) and other dark-only venues by floating either the whole order quantity immediately or via gradual amounts over a user-specified trade time horizon

Step

Looks to work the order, adjusting aggressiveness dynamically based on price. Targets a certain percentage of overall market volume. Adjusts the participation rate based on a user specified trigger price or price relative to an index, future or other stock.

Custom

Nomura can construct custom execution strategies for its clients. Clients can adapt available ModelEx strategies to suit their needs or request a hybrid of several strategies. All custom strategies are flexible and proprietary giving the client complete control over the execution process.

Futures

ModelEx allows users to trade in Futures using Core strategies such as VWAP, TWAP and With Volume.

Markets

page

76

Australia

✔

Netherlands

✔

Austria

✔

Norway

✔

BATS Europe

✔

NYSE Euronext Arca MTF

✔

Belgium

✔

NYSE Euronext SmartPool

✔

Chi-X

✔

Poland

✔

Czech Republic

✔

Portugal

✔

Denmark

✔

Singapore

✔

Finland

✔

South Africa

✔

France

✔

Spain

✔

Germany

✔

Sweden

✔

Greece

✔

Switzerland (SIX, SWX)

✔

Hong Kong

✔

SWX Swiss Block

✔

Hungary

✔

Taiwan

✔

India

✔

Turquoise (London Stock Exchange)

✔

Italy

✔

UK

✔

Japan

✔

US

✔

Nasdaq OMX

✔

An A-TeamGroup Publication

routing continues to be important when trying to achieve the best possible execution. Nomura believes access to liquidity in both dark and lit venues continues to be paramount on the agenda of their clients. Thus Nomura’s

advanced and dynamic smart order routing logic underpins all aspects of its ModelEx algorithmic suite.

Contact Global Adam Toms MD, Head of Market Access Group +44 (0)20 7103 5485 [email protected] Paul Marchington MD, Head of Liquid Markets Origination +44 (0)20 7102 8511 [email protected]

Interfaces Autex

✔

Bloomberg

✔

BT Radianz

✔

Charles River

✔

Eze Castle (ConvergEx)

✔

Fidessa

✔

Fidessa LatentZero

✔

Flextrade

✔

Instinet

✔

ITG

✔

Linedata

✔

Newport 3 (Instinet)

✔

NYSE Technologies

✔

Options IT

✔

Peresys

✔

Portware

✔

RealTick (Townsend Analytics)

✔

Reuters

✔

SunGard Global Trading

✔

Trading Screen

✔

Triton (ITG)

✔

Ullink

✔

An A-TeamGroup Publication

page

77

Profiles

Numis Securities

Numis Securities is an independent investment banking and broking group focusing on high-quality London-quoted mid- and small-cap companies. With widely rated research and execution services, Numis Securities has been rated in the top two in the Extel survey for small capitalisation U.K. stocks in the last three years. Actively trading in nearly 400 stocks with expanding coverage into new sectors, Numis operates a research department that covers a wide variety of different industries. Numis’s Alternative Execution Desk offers algorithmic, DMA and portfolio trading services, dynamic algorithmic and SOR technology, and inhouse quantitative based pre-/intra-/post-trade

support tools. The firm cites last-mover advantage in its development of algorithms that trade off stock specific curves, leveraging Smart Order Routing and DMA technology to deliver clients highly customisable adaptive strategies. The Sherpa SOR aims to deliver intelligent routing to locate the best price and optimum liquidity. Numis AED aims to minimise execution shortfall and maximise liquidity aggregation. Numis Securities offers a full front-to-back algorithmic and portfolio trading service. With access to multiple liquidity sources, and midcap trading expertise Numis Securities aims to provide a top-tier execution service, and offers a proprietary impact cost model to allow its algorithms to re-optimise on a real-time basis.

Description of Algorithms Smart Order Routing (Sherpa)

page

78

Intuitively learning cutting edge SOR identifies where the intraday fragmentation and liquidity diverges from the historic norm. This is no ‘Dumb Order Router’ based on a basic MTF rotation doctrine. By dynamically identifying the location of liquidity, our SOR can not only locate the best price but also the deepest liquidity. Most firms cut costs by only looking at Level 1 order book structure. By looking into the depth of the order book, we can assure best execution in its purest form. Order book fragmentation changes on an intraday basis. Sherpa can identify this intraday fragmentation and intelligently direct child orders to this venue. An A-TeamGroup Publication

Additionally, the company operates a web-based pre-, intra- and post-trade analytics offering with fully interactive advice available from the designated trading desk.

Markets

Common Algorithms

Company Name Numis Securities

Arrival Price

3

Manage the Close

3

Department/Division Equities

Market On Close

3

Pairs

3

Pegging

3

Percent of Volume

3

Scaling

3

Target Volume

3

TWAP

3

VWAP

3

Austria

3

Belgium

3

Canada

3

Denmark

3

Finland

3

AutEx (Thomson Reuters) 3

France

3

Bloomberg

3

Germany

3

BT Radianz

3

Greece

3

Charles River

3

Ireland

3

Eze Castle (ConvergEx)

3

Italy

3

Fidessa LatentZero

3

Netherlands

Interfaces

3

Flextrade

3

Norway

3

InfoReach

3

Poland

3

ITG

3

Portugal

3

NYSE Technologies

3

South Africa

3

Portware

3

Spain

3

Thomson Reuters

3

Sweden

3

SunGard Global Trading 3

Switzerland

3

Swift

3

Turkey

3

TNS

3

US

3

TradeWare

3

UK

3

Trading Screen

3

An A-TeamGroup Publication

Service or Product Numis Alternative Execution Launch Date January 2009 Website www.numiscorp.com Claimed Feature(s) • Our algorithms trade off stock-specific curves, not generic sector volume/vol/ bid-ask curves • Leveraging our last-mover advantage, we are able to focus on micromarket structure, smart limit placement as well smart order routing • Our extensive in house quantitative research has allowed us to identify correlations, dispersions and nearest neighbours • Our algorithms are able to dynamically adjust intraday to shocks making them robust enough to stand up to high volatility days • We use ‘garbage in, garbage out’ doctrine. All our algos are backed by a meticulously maintained factor database. Claimed Advantage(s) • Our algorithms score each stocks daily profile based upon divergence from the norm in terms of price, volatility, volume, etc • Fully customisable strategies • Tight business-to-IT alignment facilitates the creation of customised and bespoke strategies ad hoc • Intuitively, the algorithms will adjust their trading strategy by the dynamic intraday change of these variables. • Exhaustive quantitative back testing covering stock-specific factors including Market Cap, Sector, Volume, Price and Volatility Special Facilities • DMA • Smart Order Routing • DSA Asset Classes • Equities Contact Europe Richard Bateson (Head of Alternative Execution) +44 (0)20-7260-1379 [email protected] Switchboard +44 (0)20-7260-1000 [email protected] U.S. Switchboard +1-212-277-7300 [email protected]

page

79

Profiles

Royal Bank of Scotland

DMA and DSA are a fundamental offering within the Equity Execution Services (EES) group at RBS. EES is dedicated to providing a global service in portfolio and electronic trading, as well as Delta 1 products such as ETFs, swaps and certificates. In addition to providing execution and structuring, we have a team of sophisticated quant and index analysts who provide value-added input to our clients in a solutionsbased approach which complements our existing equities franchise. EES operates as a single

Description of Algorithms Chameleon

Dark Only

page

80

Utilises RBS’s proprietary short-term alpha model to search for and trade liquidity across all available execution venues (both lit and dark) to complete the order with minimum information leakage/ market impact using IOC and non-displayed order types. Trades exclusively on dark venues and order books supporting hidden order types. The entire order is placed on each venue in turn based on historical liquidity patterns, with any remaining balance split across available venues. Orders will be redirected to any venue(s) showing signs of activity.

global team and platform. This provides us with the flexibility to offer our clients a customised 24 hour service. We demand the most advanced technology and best-in-class execution. This we achieve through superior execution risk management (while still providing valueadded trading calls) and in maximising our participation across all available liquidity (both lit and dark pools). EES is one half of a combined group known as Equity Delta 1 and Financing (EDF). This team represents one of three value centres within the Equities business alongside Core Equities and Equity Derivatives. Together with Equity Finance and Collateral Trading (EFCT), we represent an ideal

Common Algorithms Implementation Shortfall

3

Inline

3

Market on Close

3

Peg

3

Target Price

3

TWAP

3

VWAP

3

An A-TeamGroup Publication

partner to all our clients be they long only mutuals and pensions, hedge funds, insurance companies, sovereign wealth and private banks. We leverage our quant alpha, good quality execution,

Interfaces

comprehensive liquidity access and structuring expertise, coupled with stock borrow/loan, yield enhancement, financing and synthetic prime brokerage capabilities to service our client’s needs.

Markets

Bloomberg

✔

Austria

✔

Charles River

✔

BATS Europe

✔

Eze Castle (ConvergEx)

✔

Belgium

✔

EZX

✔

Chi-X Europe

✔

Fidessa

✔

Czech Republic

✔

Fidessa LatentZero

✔

Denmark

✔

Flextrade

✔

France

✔

GlobalLink

✔

Germany

✔

Inforeach

✔

Hong Kong

✔

ITG

✔

Japan

✔

Linedata Longview

✔

Nasdaq OMX

✔

LSE

✔

Netherlands

✔

Neovest (JP Morgan)

✔

Portugal

✔

Portware

✔

Singapore

✔

RediPlus (Goldman Sachs)

✔

SmartPool (NYSE)

✔

SunGard Global Trading

✔

South Korea

✔

Thinkfolio

✔

Spain

✔

Thomson Reuters

✔

Sweden

✔

Tora

✔

Swiss Block

✔

Tradeware

✔

Switzerland

✔

Tradeweb

✔

Taiwan

✔

Trading Screen

✔

Turquoise (LSE)

✔

Ullink

✔

UK

✔

An A-TeamGroup Publication

Company Name Royal Bank of Scotland Department/Division Equity Delta 1 & Financing Service or Product Electronic Trading Website www.rbsm.com/edf Claimed Feature(s) • Execution venue transparency • Proprietary short-term alpha model • Proprietary SOR • Access to all main execution venues, lit and dark • Integrated with all main vendors • Get Done and Get Done In Dark Claimed Advantage(s) • Analytics • Client focus dedicated service desk, close interaction with clients to fine tune strategies • Inhouse IP • Flexibility - Quant teams constantly analysing performance to improve strategy behaviour Special Facilities • DMA • Smart Order Routing • STP Asset Classes • Equities Contact Asia Andrew Freyre-Sanders +852-2700-5134 [email protected] / [email protected] Europe Alan Kasket +44-207-678-6092 [email protected] / ees@rbs. com U.S. Tony Huck +1-203-897-7030 [email protected] / [email protected]

page

81

Profiles

Sanford C. Bernstein

Sanford C. Bernstein and its affiliates provide global highquality fundamental research, strategy, un-conflicted execution and brokerage services to institutional clients, as well as equity capital markets services to corporate issuers. Bernstein has offices in New York, Los Angeles, London, Stockholm and Hong Kong, facilitating equity execution in more than 40 countries

Description of Algorithms

page

CashFall

Portfolio level implementation shortfall, aggression defined by the user.

In Line

Intelligent scaling in a non-linear manner attempting to beat the strike price, varying levels of aggression.

Ninja

Opportunistic liquidity aggregation maximising access to both dark and visible liquidity while controlling the level of information disseminated to the market, no orders are posted to the order book. Aggression is user-defined.

Shadow

Passive Liquidity Aggregation utilising multiple dark venues and Bernstein’s own agency-only liquidity pool, will not access displayed liquidity.

Would or Work

Two-stage customised executions, aggressive within a narrow range of the strike price, if the stock moves away then work with volume.

Participate

Executes order at user-specific level of market volume with the option to vary aggression based on price movement.

Price Capture

Implementation shortfall with varying levels of aggression.

Passive

Designed to execute liquid orders that are a low percentage of average daily volume. A patient strategy, Passive will spread the orders over a longer period with the aim of seeking an optimal execution level.

82

worldwide. Execution services include sector trading, portfolio trading, algorithmic trading, direct market access and US listed options. Bernstein is consistently among the most highly ranked independent sell-side research teams, according to industry surveys conducted by thirdparty organisations. Bernstein provides bottom-up coverage and portfolio strategies supported by sophisticated quantitative tools. Bernstein is dedicated to maximising client trading performance through the pursuit of best-in-class execution. Sanford C. Bernstein Ltd. is a wholly owned subsidiary of AllianceBernstein LP, which is listed on the New York Stock Exchange.

Common Algorithms Close

3

Participate

3

Price Capture (Implementation Shortfall)

3

Smart DMA

3

TMX (Time Slice)

3

VWAP

3

An A-TeamGroup Publication

Concepts Unique Aggression Parameter

Cash Balance

Company Name Sanford C. Bernstein

Many of the Bernstein trading strategies are available with Bernstein’s unique aggression parameter. Userdefined, the aggression parameter allows the algorithm to determine optimum level of interaction with the market incorporating the trader’s view, individual stocklevel characteristics and current market dynamics. Proprietary modelling of short-term alpha and the dynamic use of all available forms of dark and hidden liquidity ensures execution strategies are reactive to current market conditions, maximising performance while limiting risk and signalling to the market. Many of the Bernstein single-stock algorithms can now be linked with similar strategies for the purpose of cash balancing across two or more orders.

Interfaces Bloomberg

3

Linedata Longview

3

Charles River

3

Neonet

3

Eze Castle (ConvergEx)

3

Portware

3

Fidessa

3

RealTick (Townsend Analytics)

3

Fidessa LatentZero

3

RediPlus (Goldman Sachs)

3

Flextrade

3

Trading Screen

3

ITG

3

Triton (ITG)

3

Markets Australia

3

Hong Kong

3

Portugal

3

Austria

3

Indonesia

3

Singapore

3

Belgium

3

Ireland

3

South Africa

3

Canada

3

Italy

3

Spain

3

Czech Republic 3

Japan

3

Sweden

3

Denmark

3

Malaysia

3

Switzerland

3

Finland

3

Netherlands

3

Turkey

3

France

3

New Zealand

3

UK

3

Germany

3

Philippines

3

US

3

Greece

3

Poland

3

An A-TeamGroup Publication

Department/Division Portfolio and Algorithmic Trading Service or Product Portfolio and Algorithmic Trading Launch Date US 2001, Europe 2008 Number of Clients >500 Website www.bernsteinresearch.com Claimed Feature(s) • Execution monitoring and advice provided by experienced traders with many years’ experience. • Unique liquidity management and routing. • Sophisticated short-term alpha modelling. • A dedicated quantitative team to focus on performance and customisation of strategies. Claimed Advantage(s) • Uncompromised equity execution, operating only on an unconflicted basis with no preference to internal liquidity. • Advanced execution monitoring to ensure quality and transparency of execution. • Robust, reliable infrastructure with multiple routes to market. • Our responsiveness to any client requests is what we are most proud of. Special Facilities • DMA • Smart DMA Asset Classes • Equities Contact Europe Europe Desk +44 (0)20-7170-0555 [email protected] US US Desk +1-212-823-2896 [email protected]

page

83

Profiles

Societe Generale

Societe Generale’s electronic trading activities are managed within its Global Equities and Flow department, part of the SG Corporate & Investment Banking division. Societe Generale is a leading player in the equity derivatives market globally, with two-thirds of the overall structured products business in Europe. Societe Generale offers Electronic Services in equities, fixed income and FX, and will shortly be introducing equity futures and options. The electronic trading team claims to gain competitive advantage from the deep quantitative

engineering skills of the bank adapted for client trading. Within the Global Equities and Flow department, the cash equities brokerage offers two separate capabilities: research and execution. Execution consists of sales trading, where Societe Generale acts as facilitator, offering high-touch trading, crossing and liquidity for buyers and sellers for block trades; programme trading; and electronic trading, through direct access to liquidity pools. Approximately 85% of GEDS’s programme

Description of Algorithms

page

Eclipse

This strategy is an aggressive liquidity seeking strategy that executes quickly up to the limit price. Designed to work in stealth mode, it will only hit bids and never quotes, thus avoiding signalling risks. Prioritises Alpha-X and dark pools. Aggression levels and percentage of volume limits are fully customisable.

Would

Adjusts trading participation dynamically during favourable price movements. User can select to Cut or Run position by increasing or decreasing participation when market price is favourable versus the selected benchmark. Uses a curve to adjust participation rates so that participation adjusts smoothly within minimal impact.

Pairs Trading

Pairs Trading is a programme trading algorithm designed to trade multiple contingent orders. The user can select ratios, spreads and also set up formulas. A dedicated support desk is available to help with the use of Pairs Trading strategies and provide switch ideas.

84

An A-TeamGroup Publication

trading is executed through algorithms, with traders monitoring baskets to ensure that only appropriate trades are processed through its models, which offer consistent access to all available markets. The group’s algorithms have been developed to incorporate the financial engineering models generated by its statistical arbitrage business over a decade of trading. A major advantage is that the algorithms can access the internalisation engine known as AlphaX, which crosses only client natural liquidity and principal flows generated off the

Common Algorithms

Company Name Societe Generale

Implementation Shortfall

3

Market on Close

Department/Division Global Equity Flow (GEF)

3

Market on Open

3

Peg

3

Strict With Volume

3

VWAP

3

With Volume

3

back of facilitation and risk portfolio trading. The algorithms make comprehensive use of market price indicators, monitoring them in real time and reacting to movements in the sector, index, volatility, spreads and other key statistical indicators. Smart routers

Interfaces Bloomberg

3

Portware

3

Charles River

3

RediPlus (Goldman Sachs)

3

Eze Castle (ConvergEx) 3

SunGard Global Trading

3

Fidessa

3

Thomson Reuters

3

Fidessa LatentZero

3

Tora

3

FlexTrade

3

TradeWare

3

InfoReach

3

Tradeweb

3

ITG

3

TradingScreen

3

Linedata Longview

3

Ullink

3

Newport (Instinet)

3

An A-TeamGroup Publication

Service or Product Global Execution Services Website www.sgcib.com www.execution.socgen.com Claimed Feature(s) • Global coverage and 24x5 coverage (four trading desks). • Advanced algorithms developed using highly quantitative trading techniques based on statistical relative valuation. • Access to Alpha-X crossing engine providing internal liquidity pool. Claimed Advantage(s) • Substantial liquidity via SG’s large market share and the Alpha-X crossing engine. • Simple, easy-to-understand algorithms with outstanding performance and high levels of customisation available. • Ability to ‘Store and Forward’ overnight orders for remote regions (e.g. US into Asia/ Pacific). • Up-to-date reliable technology. Special Facilities • ‘Eclipse’ algorithm providing aggressive liquidity-seeking strategy utilising all pockets of liquidity. • ‘Easy to Cross’ mechanism allows automated block crossing of algorithmic trading order if liquidity appears in Alpha-X. • ‘Would’ algorithm accelerates or decelerates trading participation depending on client selections. • Direct Capital Access offering in 2,000+ European names. • Smart Order Routing functions built into the algorithms allows intelligent and dynamic selection of venues. • Specialisations on Latin America and India algos. Asset Classes • Equities • Equity Derivatives (2010) • Fixed Income • FX

>> page 85

MORE JINGLE JANGLE. LESS JITTER.

CASE STUDY #04 INTERNATIONAL INVESTMENT BANK OBJECTIVE Diagnose excessive latency in critical exchange trading application causing off market pricing and trade rejections SOLUTION n Implement network traffic recorders to analyse traffic flow n Install application monitoring, system monitoring and network traffic analysers to correlate relevant metrics n Demonstrate latency being introduced in API between vendor components n Facilitate code review between vendors to determine cause of latency n Recommend application code changes to remediate problem RESULTS 300% increase in performance following implementation

citihub.com 86

page

An A-TeamGroup Publication

are used in Europe and North America. The bank believes clients are growing weary of the arms race

among sell-side algorithmic model providers and aims to keep things simple.

Contact Asia ES Sales Desk, Hong Kong +852-2166-5100 Europe ES Sales Desk, London +44 (0)20-7762-5400

Markets

ES Sales Desk, Paris +33-1-5898-1700

Argentina

3

Greece

3

Pakistan

3

Australia

3

Hong Kong

3

Peru

3

Austria

3

Hungary

3

Philippines

3

BATS

3

India

3

Poland

3

Belgium

3

Indonesia

3

Portugal

3

BlocSec

3

Ireland

3

Singapore

3

Brazil

3

Israel

3

South Africa

3

Canada

3

Italy

3

South Korea

3

Chi X

3

Japan

3

Spain

3

Chile

3

Japan Crossing 3

Sri Lanka

3

China

3

Jordan

3

Sweden

3

Columbia

3

Malaysia

3

Switzerland

3

Czech Republic

3

Mexico

3

Taiwan

3

Denmark

3

Morocco

3

Thailand

3

Egypt

3

NASDAQ OMX

3

Turkey

3

Finland

3

Netherlands

3

Turquoise

3

France

3

New Zealand

3

UK

3

Germany

3

Norway

3

US

An A-TeamGroup Publication

North America ES Sales Desk, New York +1- 212-278-5100

page

87

Profiles

Thomas Weisel Partners

Thomas Weisel Partners specialises in the growth sectors of the economy, with deep domain expertise in consumer, energy, health care, internet, media & telecom, mining and technology.

suite of electronic trading solutions. Whether it is smart Direct Market Access (DMA), algorithms, portfolio trading, listed options execution, or custom products, WES offers a full array of services.

Weisel Execution Services (WES) has a comprehensive

Coupled with our execution products, WES also offers

Description of Algorithms

page

SMID

This is a passive strategy designed to reduce market impact in low liquidity stocks. It utilises adaptive scheduling driven by real-time trade events to exploit liquidity and continuous price monitoring to avoid market impact.

Spy

This strategy only seeks liquidity from alternative trading systems, proprietary dark pools and hidden liquidity from displayed markets. Based on the level of aggressiveness, the order will be appropriately distributed between these venues.

Camo

This strategy aggressively but opportunistically pursues liquidity without posting in displayed markets. Based on factors such as price movement, trading intensity, market depth and volatility, it optimises the trading rate and order placement strategy in either a passive, neutral or aggressive mode. Very high participation is to be expected.

AP

This strategy minimises shortfall (from the arrival price) by trying to achieve a trade-off between market impact and opportunity costs. If liquidity is not an issue, the strategy attempts to complete all orders as quickly as possible before prices have a chance to move. If liquidity is a problem, the strategy analyses the trades with respect to liquidity, spread, volatility, etc., in order to come up with an optimal trajectory that manages the trade-off between impact cost (paying up for liquidity) and opportunity cost (prices moving away from benchmark).

GID

This is our most aggressive strategy, which is designed to complete. This strategy’s primary intent is to soak up liquidity to the client’s limit, without posting to displayed markets. Minimising market impact is a secondary objective. An extremely high participation rate is to be expected. GID behaves as an optimised DMA strategy.

Hybrid

This strategy is designed to dynamically split the client order based on duration, order size and user defined parameters in to two strategies chosen by user, in order to follow the bell curve of the stock being traded.

88

An A-TeamGroup Publication

Company Name Thomas Weisel Partners LLC

Arrangements (CCA) supported by web-based access to all account information and top-tier customer service.

clients solutions to their commission management needs, including Commission Sharing Arrangements (CSA) and Client Commission

Department/Division Weisel Execution Services (WES) Service or Product Algos, DMA, Options and Portfolio Trading Launch Date August 2004

Concepts Adaptive Algorithms

Website www.thomasweiselpartners.com

TWP’s algo engine switches in real time between adaptive algos based on changing market conditions. Based on price and volume momentum, spread behaviour, trading velocity, volatility, buy-sell imbalances, etc. Our highly adaptive algos (AP, Camo, SMID, GID) can dynamically change their execution characteristics.

Interfaces

Claimed Feature(s) • Fully customisable algorithms. • TWP has reengineered all applicable algorithms to incorporate Spy, our dark pool aggregator Claimed Advantage(s) • Fully adaptive algorithms. • All adaptive algos (CAMO, AP, SMID, GID) can dynamically morph into each other, based on market conditions. • User-defined Hybrid strategy.

Common Algorithms

Bloomberg

3

Closing Price

3

Charles River

3

Custom

3

ESP

3

Pairs

3

Eze Castle (ConvergEx)

3

SmartDMA

3

Fidessa Latent Zero

3

TWAP

3

InfoReach

3

VOLP

3

ITG

3

VWAP

3

ITG Triton

3

Linedata Longview

3

Neovest (JP Morgan)

3

Portware

3

RealTick (Townsend Analytics) 3 RediPlus (Townsend Analytics) 3

Special Facilities • Smart DMA Asset Classes • Options • Equities Contact North America Switchboard +1 (888) 394-4897 Email [email protected]

Markets Canada

3

US

3

ThinkorSwim

An A-TeamGroup Publication

page

89

Profiles

UBS

UBS Direct Execution is UBS’s global institutional electronic trading business. Direct Execution offers direct market access (DMA), a suite of advanced algorithmic trading strategies, the UBS Pinpoint execution management system and the UBS Fusion web-

based analytics platform. Launched in 2007, UBS Fusion provides clients with a flexible set of pre-, at-, and post-trade analytics and tools, including Real-Time TCA. Additionally, UBS provides access to its own UBS Price Improvement Network

Description of Algorithms

page

TapNow

A very aggressive liquidity-seeking strategy that aggregates liquidity across displayed markets and non-displayed venues.

Tap

Simultaneously seeks liquidity in both displayed and non-displayed markets, based on your Urgency setting and parameters.

Pairs

Executes two stocks simultaneously, while monitoring prices for each and trading only when the target spread can be achieved.

Perimeter

Enables trading outside of regular US market hours: pre-open, post-close, in auctions and imbalances. Available from 7:30am-5:30pm

Custom

All strategies may be customized so the behaviour meets the client’s preferred trading style or unique objectives. We also build bespoke custom algorithms to suit client’s specific needs.

Options Delta Adjust

Executes a limit order based on a function of delta related to the reference price.

Options TWAP

Releases orders into the market at an even pace over a specified period of time, with a parameter for delta to manage deviation.

Options Trigger

Places contingent order based on price movements around your reference price.

Options Scale Trigger

Places contingent order based on price movements around your minimum and maximum reference prices.

Futures VWAP

Seeks a volume-weighted average series of executions for your order.

Futures TWAP

Releases orders into the market at an even pace over a specified period of time.

Futures Float

Floats orders in the market, in reference to the spread in a contract.

Futures Hidden

Holds your order until y our desired price is available, then sends waves of Immediate or Cancel (IOC) orders to the market to participate at that price.

90

An A-TeamGroup Publication

(PIN) liquidity pool, as well as connectivity to markets worldwide. With access to over 130 exchanges and alternative liquidity venues, UBS trades equities in each region of the globe. Headquartered in Zurich and Basel, Switzerland, UBS is a global firm providing services to private, corporate and institutional clients. Its strategy is to focus on international wealth management and the Swiss banking business alongside its global expertise in investment banking and asset management. In Switzerland, UBS is the market leader in retail and commercial banking. UBS is present in all major financial centres worldwide and has offices in over 50 countries. Its shares are listed on the SIX Swiss Exchange, the New York

Company Name UBS Investment Bank

Stock Exchange (NYSE) and the Tokyo Stock Exchange (TSE).

Department/Division UBS Direct Execution Service or Product UBS DMA, Algorithmic Trading, UBS Fusion and UBS Pinpoint Website www.ubs.com/directexecution Claimed Feature(s) • High-capacity, state-of-the-art technology that is faster and smarter. • Innovative algorithms that think like a trader. • Analytics that deliver precision and transparency in real time. • Access to quality liquidity in more than 130 markets worldwide • Portfolio, single stock, options, futures, FX and cross-asset trading capabilities all on the same platform.

Common Algorithms At Close

3

At Open

3

Float

3

Hidden

3

Implementation Shortfall

3

Price Inline

3

TWAP

3

Volume Inline

3

VWAP

3

Concepts Strategies That Think Like a Trader

We’ve created a suite of highly self-adaptive algorithms that not only seek liquidity and price improvement, but also use advanced logic to safeguard your order from gaming and negative selection.

An A-TeamGroup Publication

Claimed Advantage(s) • Trading experts on call to provide execution consulting and market expertise in major markets around the world. • Completely confidential order and execution information both inside and outside UBS. • Efficient access to deep, diverse liquidity, both displayed and non-displayed, around the globe. • Agility, flexibility, and customisation of algorithms, analytics and execution management systems. Special Facilities • Smart Order Routing • Direct Market Access (DMA) with smart order routing. • HV (High Volume) DMA. • Broker Execution Services. • Advanced analytics via UBS Fusion, including Real-Time TCA. • UBS Pinpoint, our cross-asset EMS. Asset Classes • Portfolio and single-stock Equities • Futures • Options • FX

>> page 91

Profiles

Markets

page

Aqua ATS

✔

Greece

✔

NYSE Arca Europe

✔

ATD

✔

Hong Kong

✔

Poland

✔

Australia

✔

Hungary

✔

Portugal

✔

Austria

✔

India

✔

Sigma X

✔

BATS Europe

✔

Instinet CBX and Intraday

✔

Singapore

✔

BIDS

✔

Ireland

✔

SmartPool

✔

Block Cross (US)

✔

ISE

✔

South Africa

✔

Bloomberg Tradebook

✔

Italy

✔

South Korea

✔

BNY Vortex

✔

Japan

✔

Spain

✔

Burgundy

✔

JapanNext

✔

Sweden

✔

Canada

✔

Kabu.com

✔

Switzerland

✔

Chi X

✔

Knight Link

✔

SWX Swiss Block

✔

Chi-Delta

✔

Knight Match

✔

Taiwan

✔

Czech Republic

✔

LavaFlow

✔

Thailand

✔

Denmark

✔

LeveL

✔

Track ECN

✔

DirectEdge (EDGA/EDGX)

✔

Malaysia

✔

Turkey

✔

Euro Millenium

✔

MatchNow

✔

Turquoise

✔

Fidelity CrossStream

✔

Millenium

✔

UK

✔

Finland

✔

MS Pool

✔

US

✔

France

✔

NASDAQ OMX Europe

✔

✔

Netherlands

✔

UBS PIN (US, Europe, Japan, Hong Kong and Australia)

✔

Germany Getco

✔

Norway

✔

XIM

✔

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An A-TeamGroup Publication

Interfaces

Contact

Advent

✔

AFA

✔

Bloomberg

✔

Charles River

✔

ESP

✔

Eze Castle (ConvergEx)

✔

EZX

✔

Fidessa

✔

Fidessa LatentZero

✔

Flextrade

✔

InfoReach

✔

Instinet

✔

ITG

✔

ITG Triton

✔

Knight Direct

✔

Lava (Citi)

✔

Linedata Longview

✔

Liquidity Book

✔

Metabit

✔

Mixit

✔

Neovest (JP Morgan)

✔

Nirvana

✔

NRI

✔

Paladyne

✔

Portware

✔

RealTick (Townsend Analytics)

✔

Tethys

✔

Thomson Reuters (RTEX)

✔

ThinkorSwim

✔

Tora

✔

Trading Screen

✔

UNX

✔

Visual Trader

✔

An A-TeamGroup Publication

Americas Trading Desk +1-800-563-8018 or +1-203-7191750 Asia Trading Desk +852-2971-8334 Australia Trading Desk +612-9324-2017 Europe Trading Desk +44 (0)20-7568-8313 Japan Trading Desk +81-3-5208-7249

page

93

page

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An A-TeamGroup Publication

profiles Directory An A-TeamGroup Publication

page

95

Directory of services

Fidessa group

One Old Jewry London EC2R 8DN Tel +44 (0)20 7105 1000 Web www.fidessa.com

Fidessa group supplies multi-asset trading, portfolio analysis, compliance, market data and connectivity solutions for financial markets participants. Fidessa’s products are used by over 85% of tier-one, global financial institutions, across both the buy-side and sell-side. Fidessa’s network carries $640billion of flow a month between 2,400 buy-sides and 530 brokers across 130 markets worldwide. Headquartered in London and with operations across Europe, North America, Asia and the Middle East, Fidessa supports over 25,000 users across 850 clients, serving major investment banks and asset managers through to niche brokers and hedge funds. Fidessa group is listed on the London Stock Exchange.

NYSE Technologies NYSE Technologies provides comprehensive transaction, data and infrastructure services and managed solutions for buy-side, sell-side and exWeb www.nyse.com/technologies change communities that require next-generation performance and expertise for mission critical and value-added client services.

page

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An A-TeamGroup Publication

SunGard Global Trading 25 Canada Square, London E14 5LQ, United Kingdom Contact David Morgan, Marketing Director, Trading and Client Connectivity Tel +44 (0)20 8081 2000 Email [email protected] Web www.sungard.com/ globaltrading

SunGard’s Global Trading business provides a comprehensive range of advanced trading solutions from the front to the back office, across all listed asset classes. We offer global market coverage with access to over 130 liquidity pools, comprehensive FIX connectivity, and a liquidity management suite encompassing order management, advanced execution and smart routing. Our complementary risk management, clearing, settlement and market data solutions combine to deliver an integrated and flexible STP platform. www.sungard.com/globaltrading.

Sybase Inc. One Sybase Drive Dublin, CA 94568 Tel +1 925 236 5000 Web www.sybase.com

Sybase offers highly secure, high-availability software solutions that meet the trading industry’s needs for intensive transaction processing, advanced analytics and modelling. These solutions capitalize on cuttingedge technological advances, such as grid computing and complex-event processing, to allow financial services firms to gain a competitive edge in capital markets. Today, Sybase customers include more than 1,700 of the world’s largest financial institutions, while our technology powers 90 percent of the world’s securities firms and 60 percent of its banks. Every day, tens of millions of Wall Street trades run on Sybase technology.

An A-TeamGroup Publication

page

97

Directory of services

A-TeamGroup About A-Team Group A-Team Group, founded in 2001, provides a range of global online news, in-depth research reports, and events focused on the business of financial information technology. A-Team Group serves its global client base of IT and data professionals within financial institutions, technology and information suppliers, consultants and industry utilities with insight into the business of electronic trading, market data, low latency, reference data, risk management and the impact of regulation upon these industry segments. Our flagship news service is A-Team Insight, which delivers insight for Financial Technology Executives on the stories, trends and topics that matter to you, by leveraging our team of industry experts and our extensive network of contacts. A-Team Insight is delivered via regular updates on our website, in a monthly PDF digest format and with a quarterly printed magazine A-Team IQ. Find out if you qualify for a complimentary subscription and sign up for a free 30-day trial at: www.A-TeamGroup.com/complimentary-access. A-Team Group’s research division provides industry professionals with focused and indepth research offerings to better understand the specific uses of data and technology in today’s trading and investment processes across the financial enterprise from front to back office. These include a series of topical white papers, survey-based research reports and focused directories (eg: algorithmic trading, valuations and alternative trading systems directories). Many of A-Team’s research publications are available for free at: www.A-TeamGroup.com/site/research. A-Team offers custom research solutions, commissioned by clients seeking answers to specific questions for in-house product development or marketing, or looking to support their marketing activities, promote thought leadership and generate sales leads. Find out how our custom research solutions can boost your marketing campaigns by contacting A-Team Group. A-Team Group’s events division produces a series of Insight Exchange events annually. These events combine A-Team’s expertise in financial markets IT with thought leadership from world-class technology innovators and practical experience from financial market practitioners. For a schedule and more information, visit: www.A-TeamGroup. com/InsightExchange. A-Team also partners with customers to produce custom physical and webinar events. For more information about A-Team Group, visit www.A-TeamGroup.com.

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An A-TeamGroup Publication

AIM Software Established in 1998, AIM Software is one of the leading providers of reference data management and risk management solutions for financial marGonzagagasse 16 kets, with offices in Austria, Switzerland, the US, Hong Kong and Japan. 1010 Vienna AIM Software is active in the major financial centres based on its service Austria support partner network and supports more than 100 references in Assets and in the Post Credit Crunch World Contact JosefPricing Sommeregger 15 countries. Supported by the company’s expertise in the areas of referTel +43 1 5124652 ence data management, risk management and financial instrument pricFax +43 1 51246520 The issue of mis-pricing assets has hit the ing, the creation of futurefactor proof software solutions is the cornerstone of Email [email protected] mainstream. as a contributing in the Fidessa LatentZero is a leading provider ofIdentified solutions to Software’s business mission. currentAIM financial crisis, addressing the need for accurate Web www.aimsoftware.com

The complete office OTCfront Valuations solution, whatever way you look at it A-TeAmGroup ReseARch RepoRT

the buy-side. Our products are used by over 200 customers and timely valuations is now high on the agenda for many to help asset managers and hedgeinstitutions funds and improve regulatorsfund alike. performance, enhance trading efficiency, reduce the cost of Find out how changing regulatory compliance management and automate thetheprocessing of landscape is likely to impact your business, and how you can best tackle Aleri OTC derivatives.

the challenge of valuations, with A-Team Group’s in-depth research report OTC

Valuations: Pricing Assets in the Post Credit Crunch World. LatentZero is an integrated front office suite of products Aleri is a leading provider of high performance event processing technol­ covering portfolio management, order and execution • Learn different approachesStreaming to valuations and their pros and ogy.about Aleri’s superior Platform iscons backed by the company’s deep management and compliance management, all asset • Understand across which regulations and accounting initiatives will impact on your background and knowledge gained over 20 years of supporting mission current approach to valuations, and why classes. critical applications for the world’s largest banks and close to • Find out howbanking your peers are tackling the valuations challenge, including 2 Prudential Plaza, 41st floor sourcing of data and models, budgets, and more, with the findings from our LatentZero available via the SaaS 10 model, years ofdelivered pioneering research in the field of event processing. The Aleri Chicago,isILalso 60601 comprehensive practitioner survey fromContact Fidessa’s data centres with Platform a fully managed Joeown Brereton was designed from the ground up to provide the most robust end-to-end service yielding substantial reductions available ininsight theinto the Tel 312.540.7337 Armingarchitecture you with invaluable for the rapid implementation of mission critical aptotalEmail cost of ownership. changing business of valuations, A-Team Group’s [email protected]

plications within the most demanding environments. To enable companies

in-depth report OTC Valuations: Pricing Assets in

Order before

Web www.aleri.com toCredit quickly build applications A standalone, hosted EMS Workstation can also and be cost-effectively April 30, 2009 and that can successfully the Post Crunch World is an essential read receive a 40% for anyone involvedand inASP valuations. analyze actsolution, on large amounts of fast moving data, the Aleri Streamdeployed. This is delivered as a broker neutral discount when you and provides market data, connectivity tradingcombines for ingand Platform real-time analysis, persistence, high-performance Order now and quote DIRECTORY to secure quote: DIRECTORY global equities and listed derivatives, and can receive orders processing data– sets, open language options, high-availability conyour special price of £495of forlarge the full report a from and send executions to any third party OMS via discount of 40% off the list priceFIX. if you order by stream operators, and built-in security features. figurations, programmable April 30, 2009.

Aleriare is asupported global company headquartered in Chicago. For more information, Fidessa LatentZero’s front office solutions by www.aleri.com. connectivity to the DMA, algorithmic, visit program and care Order Form across 134 order execution destinations of over 530 brokers markets worldwide, via the proven Name Fidessa Express network, Job Title CounterpartyLink as well as numerous ATSs for equities, fixed income and FX. Ltd Company For more information, contact: Director of Sales Martyn Hodges Tel: +44 (0)20 7096 8444 [email protected]

Email Phone Number

CounterpartyLink, Ltd. provides global legal entity data, collected and Invoice maintained with processes designed to be consistent with the stringent 148 Leadenhall Street, standards driven by today’s risk management and regulatory compliance London, EC3V 4QT requirements including MiFID. Detailed information on legal entities, Tel +44 20 7645 8352 including corporations, funds, is collected in centres To Contacts get a clear view today of how front governments Call and Europe: +44 (0)20 7105 1000 Martin Cole – Head of around the world, using primary sources and registration documents. Sales & Marketing, James Redfern Documentary sources are captured electronically and +1 linked617 to the235 data 1003 office and compliance North America: – Head of Distributor Relations solutions from in the database, providing an audit trail back to all sources used. CounterWeb www.CounterpartyLink.com Fidessa LatentZero can benefit partyLink your employs rigorous, documented procedures to collect Asia: +852 2500 9500and verify all data and continually updates the information for corporate actions and business: other events. Email: [email protected] Payment Method: Credit Card

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Or visit: www.fidessa.compage 99

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Directory of services

AIM Software Established in 1998, AIM Software is one of the leading providers of reference data management and risk management solutions for financial marGonzagagasse 16 kets, with offices in Austria, Switzerland, the US, Hong Kong and Japan. Global 1010 Market Vienna Data • exchanGe SolutionS • Global connectivity • colocation • traDinG SolutionS AIM Software is active in the major financial centres based on its service Austria support partner network and supports more than 100 references in Assets and in the Post Credit Crunch World Contact JosefPricing Sommeregger 15 countries. Supported by the company’s expertise in the areas of referTel +43 1 5124652 ence data management, risk management and financial instrument pricFax +43 1 51246520 The issue of mis-pricing assets has hit the ing, theIdentified creation of future proof software solutions is the cornerstone of Email [email protected] mainstream. as a contributing factor in the Software’s business mission. currentAIM financial crisis, addressing the need for accurate Web www.aimsoftware.com

OTC Valuations

A-TeAmGroup ReseARch RepoRT

NYSE TECHNOLOGIES. TOGETHER WE POWER THE EXCHANGING WORLD. and timely valuations is now high on the agenda for many institutions and regulators alike.

Find out how the changing regulatory landscape is likely to impact your business, and how you can best tackle the challenge of valuations, with A-Team Group’s in-depth research report OTC Valuations: Pricing Assets in the Post Credit Crunch World.

Aleri

Aleri is a leading provider of high performance event processing technol­ by the company’s deep background and knowledge gained over 20 years of supporting mission current approach to valuations, and why critical applications for the world’s largest banks and close to • Find out howbanking your peers are tackling the valuations challenge, including 2 Prudential Plaza, 41st floor sourcing of data and models, budgets, and more, with the findings from our 10 years of pioneering research in the field of event processing. The Aleri Chicago, IL 60601 comprehensive practitioner survey Contact Joe Brereton Platform was designed from the ground up to provide the most robust Tel 312.540.7337 Armingarchitecture you with invaluable insight into the available for the rapid implementation of mission critical apbusiness of valuations, A-Team Group’s Email [email protected] changing plications within the most demanding environments. To enable companies Order before in-depth report OTC Valuations: Pricing Assets in Web www.aleri.com toCredit quickly build applications April 30, 2009 and that can successfully the Post Crunchand Worldcost-effectively is an essential read receive a 40% for anyone involved in valuations. analyze and act on large amounts of fast moving data, the Aleri Streamdiscount when you ing Platform combines real-time analysis, persistence, high-performance Order now and quote DIRECTORY to secure quote: DIRECTORY processing data– sets, open language options, high-availability conyour special price of £495of forlarge the full report a discount of 40% off the list price if you order by stream operators, and built-in security features. figurations, programmable April 30, 2009. Aleri is a global company headquartered in Chicago. For more information, visit www.aleri.com. Order Form

For more information, contact: Director of Sales Martyn Hodges Tel: +44 (0)20 7096 8444 [email protected]

• Learn different approachesStreaming to valuations and their pros and ogy.about Aleri’s superior Platform iscons backed • Understand which regulations and accounting initiatives will impact on your

Name Job Title Company Email Phone Number

CounterpartyLink Ltd

CounterpartyLink, Ltd. provides global legal entity data, collected and Invoice maintained with processes designed to be consistent with the stringent 148 Leadenhall Street, standards driven by today’s risk management and regulatory compliance London, EC3V 4QT requirements including MiFID. Detailed information on legal entities, Tel +44 20 7645 8352 including corporations, governments and funds, is collected in centres Contacts Martin Cole – Head of around the world, using primary sources and registration documents. Sales & Marketing, James Redfern Documentary sources are captured electronically and linked to the data – Head of Distributor Relations in the database, providing an audit trail back to all sources used. CounterWeb www.CounterpartyLink.com partyLink employs rigorous, documented procedures to collect and verify all data and continually updates the information for corporate actions and ©2010 NYSE Euronext. All rights reserved. NYSE Euronext and its affiliates do not recommend or make any representation as to possible benefits from any securities, other events. futures, investments, or third-party products or services. Investors should undertake their own due diligence regarding their securities and investment practices. This Payment Method: Credit Card

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