New Product Features in 2022
(External + VWAP/TWAP/Participation)
Ability to combine “external” executions with “internal” Quod AI/ML algorithms. The latter can manage two quantities simultaneously: an internal “benchmark” quantity managed and sent in lit pools, and an “external” quantity sent to an external broker using their own logic.
The goal is to source as much liquidity as possible combining external strategy alongside standard internal lit execution. Quantities and prices are adjusted dynamically as progress is made, using real-time and predictive analytics to balance the quantities.
New Custom Calculated Columns in all blotters
As a trader, I want to view in a blotter a relative or calculated value on data that is available. This could be:
- Date or Value relative to another
- Alternative format such as increased or decreased decimals
- Deviation from benchmark
- Cumulative quantity of various values
- Flag or Text field for values that match a formula
These new values can be easily introduced using custom columns with simple scripting language.
Temporary Code Two Factor Authentication
Multi-Venue VWAP Curve Construction
Execution Strategy Auction Volume Percentage Prediction
Ability to trade during auctions at a target participation rate against a theoretical auction volume. It allows early entry of auction slices and frequent order amendments, increasing in frequency towards the expected uncross. To enable an optimal queue management on amendments, the algorithm sends new orders rather than increasing the volume on existing orders, removing orders on a “last-in-first-out” basis. Many parameters are available to customise the behaviour during an auction phase, in particular the ability to send a Would price to trade aggressively in the last moments of the auction at a user-defined favourable price.