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Question of the Week - July 12th 2016

How does usage vary across Algo Strategies?

 

Chart : Average Usage Statistics by Algo Strategy 

  • Measuring algorithmic trading performance is an increasingly hot topic as electronic trading becomes more prevalent. In order to accurately measure the performance of any strategy, we first need to understand how they’re used and the different conditions under which they operate. We highlight some differences in usage between four of the most frequently used strategy groups for US Large Cap trading.
  • On average, traders placed the largest orders into opportunistic algos: 0.97% MDV. Dark orders were smallest at 0.22% MDV. IS and scheduled orders were around twice as large as dark orders.
  • Limits were used most frequently when trading via dark algos where 91% of orders had limits. Scheduled strategies were used with limits least often; only 8% of orders were limit orders.
  • Placement times vary by strategy as well. IS orders are placed most frequently in the morning. Dark and opportunistic orders spike in the morning and around the close, mirroring typical volume profiles throughout the day. Scheduled orders are most frequently placed leading into the close.

 

US Large Cap transactions from 1/1/2015 through 12/31/2015 were included in the analysis. Placements without valid execution prices were excluded along with those that were placed outside of continuous trading hours. Scheduled strategies include VWAP, TWAP, and volume participation strategies.

 

Refer to ITG Peer Analytics for information on available ITG Peer Group Database based analytics.

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