**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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