Futures Algorithms

DURATION STRATEGIES

VWAP     

Works an order over time, in line with the expected market volume (21-day average of rolling front month), attempting to meet or exceed the volume weighted average price over that time frame. Useful on large size over long durations.

TWAP

Works on order over time, in equal proportions, attempting to meet or exceed the time weighted average price over that time frame. Useful on moderate size and durations.

MicroSlice

Works an order over time, in equal proportions, attempting to aggressively execute a portion of the order every second until complete. Useful when targeting cash opens or closes.

LIQUIDITY STRATEGIES

POV

Works an order over time, in line with total exchange traded volume, at a rate specified by the client (Target %). Useful when optimal duration is unknown and real time participation is required.

IS - Implementation Shortfall

Uses market impact estimates, based on historical statistics, to schedule a trade in order to minimize implementation shortfall. Useful on large orders when optimal duration is unknown and impact is a concern.

Ambush

Discretely probes the market with IOC orders for swift execution and minimal impact. Useful on large orders when urgency is high and impact is of paramount concern.