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.

Low latency feedhandling & colocation improve order priority and fill rates, avoiding losing ground on pricing accuracy to high frequency traders.

Advanced, contract specific volume forecasts to account for liquidity differences across the futures curve.

Production orders continuously mirrored to a tick-by-tick simulation environment, to monitor alignment of research and development with real life fill quality.

Intelligence Matters. Speed Matters.

Our intelligent order placement techniques improve passive fill rates, and when combined

with RCM-X’s high-speed child order placement capabilities to get to the exchange faster than competing

orders it means better fill prices and less missed opportunities for your trades

ALGORITHMS

Core Suite of RCM-X Algo Strategies

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Execution Objective: Execute at a steady rate over the duration of the order

Key Features

Executes evenly across a user defined time interval

Attempts to utilize short term signals to optimize execution performance and capture passive fills when appropriate

Utilizes anti-gaming features and takes into account product matching engine characteristics

PROWLER
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VWAP
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Execution Objective: Executes aiming to blend in with forecasted volume patterns

Key Features

Utilizes volume forecasts, incorporating days to expiry and product specific seasonalities, aiming to track volume weighted average price and reduce market impact

Attempts to utilize short term signals to optimize execution performance and capture passive fills when appropriate

Utilizes anti-gaming features and takes into account product matching engine characteristics

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Execution Objective: Executes in line with current market activity,
targeting a max percentage of volume

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 keep up with the specified participation rate

Utilizes anti-gaming features and takes into account product matching engine characteristics

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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

Modulate participation rate for aggressive/passive in the money behavior

Attempts to passively collect the spread but will cross when required to keep up with the specified participation rate

Utilizes anti-gaming features and takes into account product matching engine characteristics

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Execution Objective: Opportunistically minimize risk adjusted slippage
relative to arrival price; while balancing slippage against ordercompletion risk at the limit price.

Key Features

Leverages short-term signals to opportunistically reduce execution slippage relative to arrival price

Dynamically balances between capturing the spread passively and crossing the spread

Utilizes anti-gaming logic and takes into account exchange matching engine logic

The option to enable logic that will attempt to complete the order at the defined limit price

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Execution Objective: Aims to minimize risk-adjusted slippage relative to the order end time,
such as executing into the close.​

Key Features

Utilizes historical volume profiles to balance minimizing slippage vs price risk against the closing / settlement price

Attempts to utilize short term signals to optimize execution performance and capture passive fills when appropriate

Utilizes anti-gaming features and takes into account product matching engine characteristics

BRISK
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Execution Objective: Sources liquidity with stealth,
blending techniques such as randomized iceberg, pegging, and sniping.

Key Features

Randomized Iceberg - Randomize quantities posted on passively priced child orders, randomize replenishment time for anti-gaming

Pegging - Initiate most aggressive posted order to passive side of the order book, with the option to post at multiple price levels

Sniping - Take out large quote sizes that show up within parent order limit price on opposite side of the market with IOC/Fill-And-Kill orders. Snipe while posting, or snipe while showing nothing

Lower visibility than exchange native icebergs, more functionality and opportunity for price improvement than simple synthetic icebergs

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Bespoke Algorithms

 

RCM-X actively engages with clients to understand their execution objectives and preferences in order to provide valuable guidance on algorithm and parameter selection. But for strategic client’s with unique execution objectives who’s needs go beyond the functionality of our standard algo suite, RCM-X stands ready to implement client-specific customization. And 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:

PRODUCT & EXCHANGE LIST

EXCHANGE

PRODUCT

EXCHANGE CODE

PRODUCT TYPE

CME - CMEAustralian Dollar6AFX
CME - CMEBritish Pound6BFX
CME - CMECanadian Dollar6CFX
CME - CMEEuro6EFX
CME - CMEYen6JFX
CME - CMEMexican Peso6MFX
CME - CMENew Zealand Dollar6NFX
CME - CMESwiss Franc6SFX
CME - CMEBitcoinBTCFX
CME - CMEEurodollarGEInterest Rate
CME - CMEFeeder CattleGFLivestock
CME - CMELean HogsHELivestock
CME - CMELive CattleLELivestock
CME - CMEE-mini S&P MidCap 400EMDEquity Index
CME - CMEE-mini S&P 500ESEquity Index
CME - CMEYen-denominated Nikkei 225NIYEquity Index
CME - CMEDollar-denominated Nikkei 225NKDEquity Index
CME - CMEE-mini Nasdaq 100NQEquity Index
CME - CMEE-mini Russell 2000RTYEquity Index
CME - NYMEXBrent Crude OilBZEnergy
CME - NYMEXCrude OilCLEnergy
CME - NYMEXNY Harbor ULSD Heating OilHOEnergy
CME - NYMEXHenry Hub Natural GasNGEnergy
CME - NYMEXPalladiumPAMetals
CME - NYMEXPlatinumPLMetals
CME - NYMEXRBOB GasolineRBEnergy
CME - CBOTKansas City HRW WheatKEAgriculture
CME - CBOTUltra 10-Year NoteTNInterest Rate
CME - CBOTUltra Treasury BondUBInterest Rate
CME - CBOTE-mini Dow ($5)YMEquity Index
CME - CBOTTreasury BondZBInterest Rate
CME - CBOTCornZCAgriculture
CME - CBOT5-Year NoteZFInterest Rate
CME - CBOTSoybean OilZLAgriculture
CME - CBOTSoybean MealZMAgriculture
CME - CBOT10-Year NoteZNInterest Rate
CME - CBOT30 Day Fed FundsZQInterest Rate
CME - CBOTSoybeansZSAgriculture
CME - CBOT2-Year NoteZTInterest Rate
CME - CBOTChicago SRW WheatZWAgriculture
CME - COMEXSilverSIMetals
CME - COMEXGoldGCMetals
CME - COMEXCopper HGMetals
MGEXMinneapolis HRS WheatMWEAgriculture
ICE EU CommoditiesBrent Crude OilBRNEnergy
ICE EU CommoditiesEUAECFEnergy
ICE EU CommoditiesLow Sulphur GasoilGEnergy
ICE EU CommoditiesUK Feed WheatTAgriculture
ICE EU CommoditiesHeating OilUHOEnergy
ICE EU CommoditiesICE New York Harbor (RBOB) GasolineUHUEnergy
ICE EU CommoditiesWTI Crude OilWBSEnergy
ICE Futures USCocoaCCSofts
ICE Futures USCotton No.2CTSofts
ICE Futures USCoffeeKCSofts
ICE Futures USSugar No.11SBSofts
ICE Futures USFCOJ-AOJSofts
ICE Futures USMSCI EAFEMFSEquity Index
ICE Futures USMSCI Emerging MarketsMMEEquity Index
ICE Futures USUS Dollar IndexDXFX
ICE EU FinancialsEuriborIInterest Rate
ICE EU FinancialsShort SterlingLInterest Rate
ICE EU FinancialsLong GiltRInterest Rate
ICE EU FinancialsEuro Swiss FrancSInterest Rate
ICE EU FinancialsFTSE 100ZEquity Index
ICE CanadaCanolaRSAgriculture
EuronextMilling WheatEBMAgriculture
EuronextCornEMAAgriculture
EuronextRapeseedECOAgriculture
CFEVIXVXVolatility

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:

RCM-X also offers FIX API connectivity

INTERESTED? TRY OUR DEMO

    Algo DemoSoftware DemoBoth