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
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.