Canadian brokerage Macquarie is going to offer SunGard’s Fox River algorithms to Canadian investors who wish to trade inter-listed securities in the U.S and Canada. It already offers the algos directly to U.S.-based investors now.
The suite of six algorithms covers the Canadian equities market, helping customers trade inter-listed equities and reach a broader pool of liquidity. Traders can trade in one currency and settle in another, providing access to traditional and non-traditional trading venues in the U.S. and Canada with the simplicity of settling in a single currency, according to Paul Daley, head of product development at SunGard’s Fox River.
"Initially we’re not offering them to Canadian investors, but to U.S. customers who are trading in Canada," Daley said. "Our U.S. customers that trade in other countries requested algos for the Canadian marketplace."
Canadian investors will also get the algorithms in the near future, he added.
Daley said the algorithms will be offered via a Canadian broker-dealer, but declined further comment on what firm would establish SunGard Fox River’s presence. However, sources told Traders magazine that SunGard’s Fox River would be using Macquarie as its Canadian broker outlet.
"They (SunGard) are going to be using Macquarie, which is focused on strategic growth here in Canada," said Renee Colyer, chief executive at Forefactor, a Canadian research firm. "They are grabbing market share up here and are an excellent choice of broker."
A Canadian buysider with knowledge of the algos and arrangement confirmed to Traders Magazine that Macquarie was Sungard’s choice , but he declined to be named.
Macquarie declined to comment when contacted.
According to Canada’s trading rules, algorithms must be offered through a broker-dealer registered in the country. SunGard’s Fox River is not registered there. Sungard’s Daley did tell Traders Magazine a public announcement and agreement with a broker could be expected within the next month or so.
Colyer added that according to her research, six percent of Canadian buysiders are now using Macquarie for their electronic trading needs. Two years ago, she said, the broker was hardly mentioned at all.
According to SunGard’s Daley, there will be six algorithms being offered at the outset; VWAP, TWAP, Alpha – a type of implementation shortfall algo, a stealth liquidity seeker named Blaster, a percentage of volume algorithm and Pyramid – which allows clients to adjust the aggressiveness of the algo over the life of the trade.
"These range from basic to the more advanced," Daley said. "All of the algos have a forward-looking component that allows them to form an opinion during the life of a trade. The algo then makes a judgment while the order is being filled and adjusts its strategy real-time. The algo will ask itself, ‘Is this a good time or price to do the trade right now? Or should it wait?’"
The algos are brand new and not modified versions of ones available in the U.S., Daley added. They have been in beta usage with select clients since February.
Forefactor’s Colyer added the algorithms are being sought by "a significant number of users, according to her own research and conversations.
"It’s refreshing that a new foreign dealer has worked hard to come up with a way to understand the Canadian markets and trade them from an electronic perspective," Colyer said. "These are not U.S. transplanted algos but tailored to our markets and are highly sophisticated. I believe they will change the landscape significantly."
