Execution Strategies

This page describes the execution strategies that are currently available through Studio's EMS, both via the UI and API.

SOR

Smart Order Routing (SOR) is an automated process designed to optimize the execution of equity trades by intelligently routing orders to multiple exchanges, electronic communication networks (ECNs), and other liquidity sources. The goal of an SOR is to achieve the best possible execution for each trade, considering factors such as price, speed, and market impact.

The SOR continuously monitors real-time market data from various trading venues to assess the current state of the market, including available liquidity, bid-ask spreads, and depth of market. Based on the analysis of the order and market data, the SOR determines the best execution strategy. This strategy may involve splitting the order into smaller parts and routing them to different venues to minimize market impact and achieve the best possible price.

The SOR dynamically adapts its routing strategy based on changing market conditions. If a venue's liquidity decreases or prices become less favorable, the SOR can adjust its routing decisions in real-time.

VWAP

VWAP is calculated by taking the average price of trades throughout the day, weighted by the volume of shares traded at each price. This gives a benchmark price that reflects both the average price and volume of trading activity for a particular security over a specified time period.

The Equity VWAP algorithm aims to execute trades in a way that minimizes the deviation of the executed prices from the VWAP benchmark. This algorithm typically operates by slicing a large order into smaller orders and executing them gradually over time, based on market conditions and volume profiles, in order to closely track the VWAP.

Throughout the trading period, the algorithm continuously monitors market conditions, such as price movements, volume fluctuations, and liquidity.

TWAP

Schedule-based Algorithm targeting the Time Weighted Average Price by executing trades evenly over a specified time horizon.

AP

Optimize the tradeoff between market impact and execution using urgency settings that trade within volume participation bands

DARK

Intelligently accesses Dark, Grey, and Hidden liquidity across a wide spectrum of venues and order types.
Strategy also optimizes the use of Conditional and Exchange Order Types (e.g. Nasdaq MELO and IEX D-Peg)

POV

Schedule-based Algorithm that targets the user specified Percentage of Volume benchmark.

Prioritizes achieving POV, while optimizing real time events along with forecasting trajectories for execution
quality and impact.

DMA