Use algos? How does a broker or buysider know which one is best for his needs?
Liquidnet is about to help. The block trading venue now is offering traders a new system that ranks the performance of algorithms. According to Liquidnet, the new model is designed to navigate trading market conditions and deliver data-driven insight for better executions in real-time.
So how does it work? [IMGGCAP(1)]
In order to rank algorithms, the new technology takes into consideration the following methodologies:
– Order characteristics
– Trading objectives
– Market conditions
– Performance targets
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“Today’s markets have become increasingly complex and our members have said that many of the basic algo offerings have become commoditized. The only way to truly capture a performance advantage is by choosing the right strategy based on the conditions of the stock and market at the time of execution,” said Rob Laible, global head of Liquidnet’s execution & quantitative services group.
The model is built to complement Liquidnet’s recently-launched suite of next generation algorithms.
The system ranks Liquidnet’s Next Gen Algos for three key execution objectives: performance, fill rate, and an optimal combination of the two.
The trader is presented with a set of ranked algo strategies and then decides the course of action, gaining immediate insight into the market factors that influenced each strategy’s ranking and how we helped them achieve best execution on that trade.
