Algo Execution Strategies
VWAP
VWAP minimizes slippage against the Volume-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 abiding 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 don’t be more than 10% of the volume."
With Volume
With Volume participates at a specified percentage of actual volume in the market. The strategy monitors 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 $31.50 top from 10 AM to 3 PM. Work the order at about 25% of the volume."
TWAP
TWAP 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 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."
Target Strike
Target Strike minimizes implementation shortfall (slippage against the arrival price). The strategy calculates an optimal trade horizon to balance price impact against price risk and 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 Close
Target 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, Target 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. Don’t start trading before 3:30 PM."
Step
Step dynamically 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 Example
"Buy 100,000 KR with a $30 top. Be 10% of the volume, scaling up to 30% whenever the stock is trading below $29.75."
Aggressive Step
Aggressive 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 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 Pounce
Work and Pounce enhances our set of core algorithms with an opportunistic 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 available 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. Don’t send discretionary orders more than once in any 30 second interval."
LMX Hydra
LMX Hydra sources liquidity from multiple dark market venues. In addition, LMX Hydra gives you the choice of working your order in traditional "displayed" markets at your level of urgency. As an advanced extension of the popular Work and Pounce strategy, LMX Hydra distributes shares across dark books and ECNs to source liquidity, intelligently adjusting exposure whenever hidden shares are discovered. At your choice, LMX Hydra will also cross the spread in traditional markets in order to complete the trade.
Dark venues accessible to LMX Hydra include Lehman Liquidity Cross (LX), Instinet CBX, LeveL, BIDS, Fidelity CrossStream, Millennium and more.
LMX Hydra Example
"Buy 100,000 KR. Search dark books and ECNs for hidden liquidity. Use conventional markets as necessary to keep the trade moving."
Rapid
The Rapid strategy is designed to get your order done. It aggressively takes liquidity any time stock is available within your threshold price. When the stock moves away from the threshold price, Rapid will work your order at a high urgency in both traditional and dark venues.
Rapid Example
"Buy 100,000 KR with a $30 top. Take available liquidity within 500 bps of the Arrival Price. When the stock moves above 500 bps from the Arrival Price, work in dark pools and regular markets. Never post out loud."
Options Work and Pounce
Options Work and Pounce executes by opportunistically reacting to available liquidity in the markets. The algorithm manages the order with your choice of work strategy and executes across the spread whenever size is available within your specified range. The strategy continuously monitors the aggregate size of all options exchanges to watch for liquidity opportunities.
Options Work and Pounce Example
"Buy 10,000 KO calls with a 3.30 top by pegging the bid, but execute across the spread whenever at least 300 contracts are available within a nickel of the bid. Work the order only when the underlying stock is trading within 10 cents of the current market."
