Algorithmic Trading

 
Alpha-generating or impact- reducing algorithms are part of any trading strategy. At Quod Financial, our goal is to grow your trading through a wide range of easily customisable strategies and tools in order to provide control. Quod Algos take data-driven decisions in real-time to reposition orders, in order to achieve the best outcomes.

Liquidity Seeking Algos

This class of algorithms is designed to find liquidity in a fragmented market, by implementing complex execution strategies. Different behaviour to seek liquidity in Lit, Dark, LPs/Venues, as well as internal pool is provided. With over 150+ parameters, a trader can manage the algorithm, with native support for most common order types, phase management, and risk management for anti-gaming, run-away algorithms and price variations. The algorithm increases its intelligence by gathering the data and statistical analysis on liquidity, historic performance, time of day, volatility, hit ratio, preferences, last look, latency, rejects etc.

Trading and Execution Algos

Trading and Execution Algorithms are designed to achieve a specified trading or execution objective including market impact or generating alpha. Examples of this are: low market impact strategies. TWAP, VWAP, Participation/PoV, Arrival Price, Last Look Smoothed or Pair Trading (Alpha).

These can be defined and customised by Quod or the client. As with all our Algos, every decision is clearly outlined and utilises real-time market information to adjust behaviour.

Automation / Workflow Algos

Algorithms are the building block of automation. Using the suite of our algorithms, together with the OMS and Routing mechanisms, allows a powerful automation process, which is transparent, provides control and is data-driven.

 

Algo Category Description
Custom Any Builds client side algos or uses our native algo API for customising this menu and building your own. Over 150 parameters and unlimited logical decisions give you complete customisation of your strategies
Adaptive TWAP Execution A slicing algorithm that submits equal size slices over a certain timeframe. Maximum participation rate can also be taken into account
Adaptive VWAP Execution A benchmarking algorithm that slices an order according to the historical volume reparation over a certain time horizon. Every slice benefits from the adaptive execution that takes into account the current market conditions and the aggressivity of the algorithm.
Participation Volume (PoV) Execution To execute a given percentage of visible liquidity in the market (for instance no more than 30%) in order to limit market impact
Arrival Price / Implementation Shortfall Execution An algorithm that regularly adapts its participation based on estimated market impact in order to remain within a given price band. Participation is increased when the probability of high market impact is low and decreased when the probability is high. Adaptation of the participation is based both on historical behaviour and real-time data
Random Distribution Iceberg Execution A slicing algorithm which randomly sends child orders onto the market, so it is not initially being recognised as a child order
Adaptive Liquidity Seeking Liquidity Seeking An algorithm which reacts to market events such as market data, execution and a set of other criteria to dynamically update the decision tree to seek liquidity on lit and dark venues.
Statistical Adaptive Liquidity Seeking Liquidity seeking A liquidity seeking algorithm which integrates real-time / near-time statistical analysis to enrich the adaptive decision making process
Pair Trading Trading A neutral trading strategy enabling traders to profit from virtually any market conditions including uptrend, downtrend or sideways movement
Pegged Order Trading An order to the bid or ask with, or without an offset. The display quantity will float with the bid or ask, up to the ultimate limit price of the order.
Synthetic Stop Trading A limit sell order for a given instrument which is managed by the system and triggered by falling price
Synthetic Take Profit Trading A limit sell order for a given instrument which is managed by the system and triggered by raising the price
Synthetic time-in-force Trading A Good-Till-Date (GTD) or Good Till-Cancel (GTC) order type which is held away from the market and able to execute on a range of venues meeting the trade criteria
Trailing Stop Trading A Stop-loss order which the stop loss price is set to some fixed percentage below the market price. The market price rises, the stop loss price rises proportionally
Synthetic OTO Trading Triggers an order when another order is fully filled
Synthetic OCO Trading Cancels an order when another one is fully filled
Timed Order Trading Releases the order at a specific time to the exchange for execution
Sniping Trading Takes a set of predefined triggers such as the bid/offer trigger price and quantity/child order slice to hunt for liquidity
Pegged Order - with price Trading An enhanced pegged order that pegs to the BBO using an offset (in ticks or price) as defined by the users. Additional conditions such as limit price, min/max quantity or a-would-price (which for buy and Above which for sell) are available to hunt for liquidity
On-Close Auctions / On-Open Auctions Trading Balance impact and dispersion of the orders into and during the closing/opening auction. The algorithm phase management detects different market phases, with distinct parameters (e.g. move intra-day from trading to an intra-day auction phase)
Auto-hedging Trading Cross-asset class rule-driven autohedger based on position and real-time market data (greeks, delta, vega) for single trades or accrued positions.

Algorithmic Trading

Alpha-generating or impact- reducing algorithms are part of any trading strategy. At Quod Financial, our goal is to grow your trading through a wide range of easily customisable strategies and tools which/in order to provide control. Quod Algos take data-driven decisions in real-time to reposition orders, in order to achieve the best outcomes.
Liquidity Seeking Algos

This class of algorithms is designed to find liquidity in a fragmented market, by implementing complex execution strategies. Different behaviour to seek liquidity in Lit, Dark, LPs/Venues, as well as internal pool is provided. With over 150+ parameters, a trader can manage the algorithm, with native support for most common order types; phase management; and risk management for anti-gaming, run-away algorithms and price variations. The algorithm increases its intelligence by gathering the data and statistical analysis on liquidity, historic performance, time of day, volatility, hit ratio, preferences, last look, latency, rejects etc.

Trading and Execution Algos

Trading and Execution Algorithms are designed to achieve a specified trading or execution objective including market impact or generating alpha. Examples of this are:

low market impact strategies. TWAP, VWAP, Participation/PoV, Arrival Price, Last Look Smoothed or Pair Trading (Alpha).

These can be defined and customised by Quod or the client. As with all our Algos, every decision is clearly outlined and utilises real-time market information to adjust behaviour.

Automation / Workflow Algos

Algorithms are the building block of automation. Using the suite of our algorithms, together with the OMS and Routing mechanisms, allows a powerful automation process, which is transparent, provides control and is data-driven.

Algo Category Description
Custom Any Builds client side algos or uses our native algo API for customising this menu and building your own. Over 150 parameters and unlimited logical decisions give you complete customisation of your strategies
Adaptive TWAP Execution A slicing algorithm that submits equal size slices over a certain timeframe. Maximum participation rate can also be taken into account
Adaptive VWAP Execution A benchmarking algorithm that slices an order according to the historical volume reparation over a certain time horizon. Every slice benefits from the adaptive execution that takes into account the current market conditions and the aggressivity of the algorithm.
Participation Volume (PoV) Execution To execute a given percentage of visible liquidity in the market (for instance no more than 30%) in order to limit market impact
Arrival Price / Implementation Shortfall Execution An algorithm that regularly adapts its participation based on estimated market impact in order to remain within a given price band. Participation is increased when the probability of high market impact is low and decreased when the probability is high. Adaptation of the participation is based both on historical behaviour and real-time data
Random Distribution Iceberg Execution A slicing algorithm which randomly sends child orders onto the market, so it is not initially being recognised as a child order
Adaptive Liquidity Seeking Liquidity Seeking An algorithm which reacts to market events such as market data, execution and a set of other criteria to dynamically update the decision tree to seek liquidity on lit and dark venues.
Statistical Adaptive Liquidity Seeking Liquidity seeking A liquidity seeking algorithm which integrates real-time / near-time statistical analysis to enrich the adaptive decision making process
Pair Trading Trading A neutral trading strategy enabling traders to profit from virtually any market conditions including uptrend, downtrend or sideways movement
Pegged Order Trading An order to the bid or ask with, or without an offset. The display quantity will float with the bid or ask, up to the ultimate limit price of the order.
Synthetic Stop Trading A limit sell order for a given instrument which is managed by the system and triggered by falling price
Synthetic Take Profit Trading A limit sell order for a given instrument which is managed by the system and triggered by raising the price
Synthetic time-in-force Trading A Good-Till-Date (GTD) or Good Till-Cancel (GTC) order type which is held away from the market and able to execute on a range of venues meeting the trade criteria
Trailing Stop Trading A Stop-loss order which the stop loss price is set to some fixed percentage below the market price. The market price rises, the stop loss price rises proportionally
Synthetic OTO Trading Triggers an order when another order is fully filled
Synthetic OCO Trading Cancels an order when another one is fully filled
Timed Order Trading Releases the order at a specific time to the exchange for execution
Sniping Trading Takes a set of predefined triggers such as the bid/offer trigger price and quantity/child order slice to hunt for liquidity
Pegged Order - with price Trading An enhanced pegged order that pegs to the BBO using an offset (in ticks or price) as defined by the users. Additional conditions such as limit price, min/max quantity or a-would-price (which for buy and Above which for sell) are available to hunt for liquidity
On-Close Auctions / On-Open Auctions Trading Balance impact and dispersion of the orders into and during the closing/opening auction. The algorithm phase management detects different market phases, with distinct parameters (e.g. move intra-day from trading to an intra-day auction phase)
Auto-hedging Trading Cross-asset class rule-driven autohedger based on position and real-time market data (greeks, delta, vega) for single trades or accrued positions.