Chart 1: Distribution of Orders Across Algorithmic Trading Strategies and Volatility Conditions
Chart 2: Average Order Size Across Algorithmic Trading Strategies and Volatility Conditions
The analysis was limited to trades of Large Cap US stocks between 1/1/2015 and 12/31/2015 with order sizes under 1% MDV. A subset of clients, all of whom trade with multiple brokers, were included. Strategy classification was done qualitatively, based on broker definitions of algorithms. Orders reflect algo parent orders. Parameter changes do not constitute new orders; an order runs until it is cancelled or filled.
Refer to ITG Peer Analytics for information on available ITG Peer Group Database based analytics.