Question of the Week - July 26th 2016

How do opportunistic algorithms behave at varying times of day?


Chart 1: Opportunistic Algorithms – Average Participation Rate by Time of Day 


Chart 2: Single Opportunistic Algorithm – Average Participation Rate by Time of Day and Urgency Setting 

  • We’ve touched upon algorithm behavior in myriad ways in previous posts, including number of venues used, performance in various conditions and others. We continue to delve into algorithm behavior in order to provide transparency and decision support to clients who employ these tools. Today we focus on one aspect of opportunistic algorithm behavior – participation rate - and how urgency parameters and time of day influence the algorithm’s conduct. Throughout the analysis, an order represents an algorithm placement which in most cases lasts only a few minutes, not the entire day.
  • The first chart shows how average participation rate ramps up throughout the morning before peaking around 3PM for opportunistic algorithms in aggregate. Orders trading in the afternoon, when volumes are lowest typically, demand more liquidity.
  • The second chart focuses on a single algorithm and how participation rates vary by urgency parameter. As expected, high urgency settings typically have higher participation rates while the distinction between medium and low is not as defined as one might expect.
  • The breadth of ITG’s algo peer universe allows us to compare behaviors of single algorithms or strategies to robust peer averages and to highlight similarities and differences that would not be apparent otherwise.


Two years of US transactions were included in the analysis, from Q1 2014 through Q4 2015.


Refer to ITG Peer Analytics for information on available Peer Related Analytics.

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