RCM-X Algos

Our advanced Execution Algorithms and Transaction Cost Analysis (TCA) services quantify and help reduce the uncertain costs of trading in an ever-changing market.

Advanced Algorithmic Execution Strategies

A full suite of execution algorithms built by a team of practitioners with broad experience in quantitative asset management, trading technology, and implementing low latency strategies
Advanced, contract specific volume forecasts to account for liquidity differences across the futures curve
Low latency feedhandling & colocation improve order priority and fill rates, avoiding losing ground on pricing accuracy to high frequency traders
Production orders continuously mirrored to a tick-by-tick simulation environment, to monitor alignment of research and development with real life fill quality

Algorithms

Core Suite of RCM-X Algo Strategies

Execution Objective

Executes based on an expected volume-based schedule

Key Features
  • Utilizes historical volume profiles to execute at scheduled intervals while
    seeking to minimize slippage against the volume weighted average price
  • Volume profiles take into account product specific days to expiry and
    seasonality effects
  • Attempts to utilize short term signals to dynamically capture the spread
    or cross take advantage of favorable prices

Execution Objective

Execute at a consistent rate over a defined time-based schedule

Key Features
  • Executes evenly across a user defined time based interval
  • Attempts to utilize short term signals to optimize execution performance
  • Utilizes anti-gaming features

Execution Objective

Executes at a consistent percentage rate in line with the market

Key Features
  • Executes evenly as a percentage of volume traded in the market
  • Attempts to passively collect the spread but will cross when required to stay in line with define participation rate
  • Utilizes anti-gaming features

Execution Objective

Dynamically adjusts target participation rate as a function of real-time market conditions relative to a chosen benchmark

Key Features
  • Executes as a percentage of volume traded in the market within a range as defined by the min and max participation rates
  • Trade more or less aggressively based on market conditions
  • Attempts to passively collect the spread but will cross when required to stay in line with define participation rate
  • Utilizes anti-gaming features

Execution Objective

Minimize risk adjusted slippage relative to arrival price, while also balancing slippage against order completion risk at the limit price

Key Features
  • Leverages short-term signals to opportunistically reduce execution slippage
  • Dynamically balances between working child orders passively, or crossing the spread
  • Takes into account exchange matching engine logic
  • Utilizes anti-gaming logic
  • User will have the option to enable logic that will attempt to complete the order at the defined limit price

Execution Objective

Specifically designed to execute into the close

Key Features
  • Utilizes historical volume profiles while seeking to minimize slippage to the closing / settlement price
  • Picks up passive liquidity on the onset and looks to aggress and actively participate in most active periods of the close

Execution Objective

Tactically execute a parent order utilizing synthetic child orders to minimize footprint, total size and price objectives

Key Features
  • Works passively priced orders by placing synthetic child orders with several configuration options available including:
    • Randomized iceberg orders
    • Order pegging
    • Multi-level order posting
    • Sniping
  • Utilizes anti-gaming features

Intelligence Matters. Speed Matters.

RCM-X’s intelligent order placement techniques improve passive fill rates. When combined
with our high-speed child order placement capabilities, your orders get to the exchange faster than competing orders, meaning better fill prices and less missed opportunities for your trades.

Bespoke Algorithms

RCM-X actively engages with clients to understand their execution objectives and preferences. This allows us to provide valuable guidance on algorithm and parameter selection, but for strategic clients with unique execution objectives whose needs go beyond the functionality of our standard algo suite, RCM-X stands ready to implement client-specific customization. Because of RCM-X’s experience in trading, and our proprietary technology stack, we’re able to offer this tailored approached in a time efficient and cost-effective manner.

To learn more about Bespoke Algorithmic Execution Strategies, contact us.

Product & Exchange List

Exchange Product Exchange Code Product Type
CME - CME Australian Dollar 6A FX
British Pound 6B FX
Canadian Dollar 6C FX
Euro 6E FX
Yen 6J FX
Mexican Peso 6M FX
New Zealand Dollar 6N FX
Swiss Franc 6S FX
Bitcoin BTC FX
Eurodollar GE Interest Rate
Feeder Cattle GF Livestock
Lean Hogs HE Livestock
Live Cattle LE Livestock
E-mini S&P MidCap 400 EMD Equity Index
E-mini S&P 500 ES Equity Index
Yen-denominated Nikkei 225 NIY Equity Index
Dollar-denominated Nikkei 225 NKD Equity Index
E-mini Nasdaq 100 NQ Equity Index
E-mini Russell 2000 RTY Equity Index
CME - NYMEX Brent Crude Oil BZ Energy
Crude Oil CL Energy
NY Harbor ULSD Heating Oil HO Energy
Henry Hub Natural Gas NG Energy
Palladium PA Metals
Platinum PL Metals
RBOB Gasoline RB Energy
CME - CBOT Kansas City HRW Wheat KE Agriculture
Ultra 10-Year Note TN Interest Rate
Ultra Treasury Bond UB Interest Rate
E-mini Dow ($5) YM Equity Index
Treasury Bond ZB Interest Rate
Corn ZC Agriculture
5-Year Note ZF Interest Rate
Soybean Oil ZL Agriculture
Soybean Meal ZM Agriculture
10-Year Note ZN Interest Rate
30 Day Fed Funds ZQ Interest Rate
Soybeans ZS Agriculture
2-Year Note ZT Interest Rate
Chicago SRW Wheat ZW Agriculture
CME - COMEX Silver SI Metals
Gold GC Metals
Copper  HG Metals
MGEX Minneapolis HRS Wheat MWE Agriculture
ICE EU Commodities Brent Crude Oil BRN Energy
EUA ECF Energy
Low Sulphur Gasoil G Energy
UK Feed Wheat T Agriculture
Heating Oil UHO Energy
ICE New York Harbor (RBOB) Gasoline UHU Energy
WTI Crude Oil WBS Energy
ICE Futures US Cocoa CC Softs
Cotton No.2 CT Softs
Coffee KC Softs
Sugar No.11 SB Softs
FCOJ-A OJ Softs
MSCI EAFE MFS Equity Index
MSCI Emerging Markets MME Equity Index
US Dollar Index DX FX
ICE EU Financials Euribor I Interest Rate
Short Sterling L Interest Rate
Long Gilt R Interest Rate
Euro Swiss Franc S Interest Rate
FTSE 100 Z Equity Index
ICE Canada Canola RS Agriculture
Euronext Milling Wheat EBM Agriculture
Corn EMA Agriculture
Rapeseed ECO Agriculture
CFE VIX VX Volatility

Why RCM-X?

Built by Traders

RCM's algorithms are built by data scientists with extensive trading experience

Scientific and Quantitative Approach

A scientific approach to measuring, defining, and reducing your execution costs

Market Microstructure and Co-location

Built utilizing a proprietary high performance C++ technology stack and advanced orderbook logic

Access RCM-X Algos

RCM-X is platform and bank neutral.

We seamlessly integrate into your existing workflow and are already certified across the majority of leading EMS / OMS front-end trading applications including:

Trading Technologies
CQG
EMSX
Fidessa
Portware

Interested in RCM-X Execution Algorithms and Transaction Cost Analysis?