Algorithmic trading strategies include: |
| VWAP |
Objective: Minimize slippage relative to the Volume-Weighted Average Price (VWAP) in the market over a user-specified time horizon.
Trading Style: Execute proportionately with expected market volume to spread the trade across the userspecified horizon.
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| With Volume |
Objective: Trade in proportion to actual market activity, targeting participation at a user-specified percentage of overall traded volume.
Trading Style: Track the participation target, reacting to actual activity but regulating actions to avoid information leakage and market impact.
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| Target Strike |
Objective: Minimize implementation shortfall (slippage relative to arrival price).
Trading Style: Calculate an optimal trade horizon to balance price impact against price risk and then spread the trade over this horizon, matching orders to expected liquidity.
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| TWAP |
Objective: Minimize slippage relative to the Time-Weighted Average Price (TWAP) in the market over a user-specified time horizon.
Trading Style: Execute evenly to spread the trade across the user-specified time horizon.
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| Target Close |
Objective: Control exposure to the closing auction and intelligently work the balance of the order into the close to mitigate market impact.
Trading Style: Send a slice to the closing auction then work the remaining shares over an optimal trade horizon, matching orders to expected liquidity.
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| Step |
Objective: Adjust aggressiveness dynamically based on price.
Trading Style: Participate at a target percentage of overall market volume, scaling aggressiveness based on where the stock is trading relative to a user-specified price threshold.
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| Aggressive Step |
Objective: Enhance core LMX algorithms with aggressive liquidity capture at a user-specified price.
Trading Style: Work order with choice of core LMX strategy, but take liquidity aggressively whenever stock is available at the user-specified trigger price.
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| Work and Pounce |
Objective: Enhance core LMX algorithms with opportunistic liquidity capture at a user-specified size and spread range.
Trading Style: Work order with choice of core LMX strategy, but execute aggressively whenever significant liquidity is available within a certain range of the current quote.
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| Hydra |
Objective: Maximize execution rates in dark liquidity pools.
Trading Style: Execute in dark venues, intelligently adjusting exposure whenever liquidity is discovered; opportunistically execute on traditional markets.
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| 10B-1 Corporate Buy Back |
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Objective: Strategy that adheres to all SEC rule 10b-1 provisions for corporations buying back their own stock.
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