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1、Vision Financial Markets - Futures, Securities & Options | Brokerage, Clearing & Technologyfile:/C|/.s/Administrator/桌面/Vision Financial Markets - Futures, Securities & Options Brokerage, Clearing & Technology.htm2011-2-16 13:48:04Algo Execution StrategiesVWAPVWAP minimizes slippage against the Volu
2、me-Weighted Average Price (VWAP) over a user-specified time horizon. The strategy executes proportionately with expected volume across the specified horizon, monitoring proprietary short-term indicators to optimize order placement.For eligible securities, VWAP can execute a Buyback trade while abidi
3、ng by SEC Rule 10b-18 guidelines.VWAP Example“Sell 120,000 shares from 10 AM to 3 PM with a $22.00 limit. Try to match the VWAP over this interval and dont be more than 10% of the volume.“With VolumeWith Volume participates at a specified percentage of actual volume in the market. The strategy monit
4、ors shortterm indicators to opportunistically lead or lag the target rate. It also reacts carefully to block prints or flurries of activity to control market impact and information leakage. Configurable dark access is also available from the strategy.With Volume Example“Buy 100,000 shares with a $31
5、.50 top from 10 AM to 3 PM. Work the order at about 25% of the volume.“TWAPTWAP minimizes slippage against the Time-Weighted Average Price (TWAP) in the market over a user- specified time horizon. The strategy executes evenly across the specified horizon, monitoring proprietary short-term indicators
6、 to optimize order placement. Configurable dark access is also available from the strategy.TWAP Example“Buy 60,000 shares with an $11 top. Spread it evenly from 10 AM to 3 PM.“Vision Financial Markets - Futures, Securities & Options | Brokerage, Clearing & Technologyfile:/C|/.s/Administrator/桌面/Visi
7、on Financial Markets - Futures, Securities & Options Brokerage, Clearing & Technology.htm2011-2-16 13:48:04Target StrikeTarget Strike minimizes implementation shortfall (slippage against the arrival price). The strategy calculates an optimal trade horizon to balance price impact against price risk a
8、nd then trades over this horizon, matching orders to expected liquidity. Configurable dark access is also available from the strategy.Target Strike Example“Buy 56,000 shares with a $14 top, working the order at neutral urgency. Start trading at 10 AM and be done by 3 PM at the latest.“Target CloseTa
9、rget Close intelligently works the order into the close to minimize market impact. The strategy first submits a slice of the order into the closing auction. It then calculates an optimal start time to work the remaining shares, matching orders to projected liquidity. For NYSE-listed securities, Targ
10、et Close will also react to published auction imbalances.Target Close Example“Sell 100,000 shares into the close with a $35 top. Put half into the auction and work the balance in the market, consuming about 10% of overall volume during the trade. Dont start trading before 3:30 PM.“StepStep dynamical
11、ly adjusts aggressiveness based on price. The strategy participates at a percentage of overall stock volume, scaling aggressiveness based on where the stock is trading relative to a user-specified trigger price. Configurable dark access is also available from the strategy.Step ExampleVision Financia
12、l Markets - Futures, Securities & Options | Brokerage, Clearing & Technologyfile:/C|/.s/Administrator/桌面/Vision Financial Markets - Futures, Securities & Options Brokerage, Clearing & Technology.htm2011-2-16 13:48:04“Buy 100,000 KR with a $30 top. Be 10% of the volume, scaling up to 30% whenever the
13、 stock is trading below $29.75.“Aggressive StepAggressive Step augments our set of core algorithms with a Get It Done option at a user-specified price. The strategy works the order with your choice of algorithm but executes aggressively whenever stock is available at the specified trigger price (or
14、better). Configurable dark access is also available from the strategy.Aggressive Step Example“Buy 100,000 IP with a $30 top. Work order with a 10% participation rate, aggressively taking any stock offered at $29.75 or less.“Work and PounceWork and Pounce enhances our set of core algorithms with an o
15、pportunistic liquidity sweep. The strategy works the order with your choice of algorithm but sweeps liquidity whenever size is available within a specified range. The strategy continuously monitors all relevant order books to watch for liquidity opportunities. Configurable dark access is also availa
16、ble from the strategy.Work and Pounce Example“Buy 100,000 KR, but execute across the spread whenever at least 5000 shares are available within 2 cents of the bid. Dont send discretionary orders more than once in any 30 second interval.“LMX HydraVision Financial Markets - Futures, Securities & Options | Brokerage, Clearing & Technologyfile:/C|/.s/Administrator/桌面/Vision Financial Markets - Futures, Securities & Options Brokerage, Clearing & Technology.htm2011-2
