Algorithm & Trading Strategies
Our Algorithm Trading Solutions suite of algorithms is adept at integrating trade urgency while minimizing market impact. We locate liquidity through a dynamic approach that trades more passively or aggressively based on urgency, real time price/volume activity and the client’s benchmark.
TradeTrek engineers and traders consult with each institutional client to develop the optimal trading strategy for their portfolio. The TradeTrek approach to trade execution provides consistent performance across market capitalization and volatility variance.
PATS - If you are a “liquidity provider,” you may never want to reach across the market. The PATS algorithm is an excellent choice for contrarians wanting passive executions or capturing spread cost.
TRACER VWAP - If you are neither a “liquidity taker nor liquidity provider,” you can use TRACER VWAP to track the Volume Weighted Average Price over multiple days while minimizing market impact. The goal of order completion is relaxed.
VWAP - If you are neither a “liquidity taker nor liquidity provider,” you can use VWAP to fully execute orders while tracking the Volume Weighted Average Price over a given time period. Order will be completed for time period specified.
TWAP+ - If you are neither a “liquidity taker nor liquidity provider,” your main goal is to have the order spread out evenly over time. TWAP+ goes beyond typical time slicing and incorporates TradeTrek randomization and volume participation features. The result is an algorithm that conforms to the client’s need to trade over a specified time period using smart order placement.
Implementation Shortfall (IS) - If your goal is to minimize the average shortfall, IS creates a real-time transaction cost efficient frontier, providing a decision matrix on trade urgency and order placement. The IS decision matrix optimizes the trade-off between spread cost and market impact relative to delay cost.
GAATS - If you are a “liquidity taker,” you may reach across the market in an attempt to maintain the target participation rate. You can use GAATS to execute trades quickly with minimal market impact. The strategy matches a targeted fixed execution rate with the observed volume for the duration of the trade.
TIC - If your goal is to optimize trade introduction into the close, you can use Trade Into Close to minimize MOC impact.
HEAT - If you are an aggressive “liquidity taker,” you may aggressively reach across the market in an attempt to execute the order quickly. HEAT uses the same features and factors as the GAATS, however, the primary factor targeted is order completion. If a liquidity opportunity is observed in the market, the algorithm will greatly exceed the participation rate.
CUSTOM - If you have a specific need, we can customize an existing algorithm.
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