Chart 1: Distribution of Orders by Number of Venues Across Algo Providers
Chart 2: Average IS Cost by Number of Venues Across Algo Providers
The analysis was limited to market orders for Large Cap US stocks between 1/1/2015 and 12/31/2015 with order sizes under 0.25% MDV. Only algorithms used by a statistically significant number of clients were included. Top and bottom 1% of orders by IS cost were excluded from performance statistics. Orders reflect algo orders. Parameter changes constitute new orders; an order runs until it is cancelled, corrected or filled.
Refer to ITG Peer Analytics for information on available ITG Peer Group Database based analytics.