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Question of the Week - Mar 1st 2016

How many venues do orders receive fills from across various algorithmic trading strategies?

 

Chart 1:  Distribution of Orders by Number of Venues Across Algorithmic Trading Stratgies 

 

Chart 2:  Distribution of Orders by Number of Venues and Order Size for Scheduled Strategies  

  • Algorithmic trading strategies are an essential tool in many traders’ workflows; however, most of the time, there’s very little insight into the behavior of these tools. We aim to elucidate a segment of algo behavior here, namely, the number of venues from which each order receives fills.
  • The proportion of orders with fills from a single venue varies across strategies. Under 30% of scheduled strategy orders were filled on a single venue whereas 45% of IS orders were filled on only one venue.
  • Intuitively, the proportion of orders with fills from over ten venues increases with increasing order size. We chart the results for scheduled strategies above but observed similar patterns for other strategies.

 

The analysis was limited to market orders for Large Cap US stocks between 7/1/2015 and 12/31/2015. Only algorithms used by a statistically significant number of clients were included. Strategy classification was done qualitatively, based on broker defintions of algos. 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.

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