Chart 1: Average Behavior Statistics by Algo Strategy
Chart 2: Spread Capture and Venue Type Distributions by Algo Strategy
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 Peer Related Analytics.