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 and colocation improve order priority and fill rates, avoiding losing ground on pricing accuracy to high-frequency traders
Production orders are 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

Execute with expected liquidity, such as during settlement windows to mimic TAS

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 and take advantage of favorable prices

Execution Objective

Execute evenly across time with intelligent sizing and distribution

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

Execute in line with market activity to target a rate or in illiquid markets

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 defined participation rate
  • Utilizes anti-gaming features

Execution Objective

Execute within a target range dependent on market conditions

Key Features
  • Execute 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 defined participation rate
  • Utilizes anti-gaming features

Execution Objective

Execute targeting arrival price and enhance physical basis trades

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

Execute intelligently into settlement or market 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

Execute iceberg-style with additional anti-gaming and liquidity capture features

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. 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 approach in a time-efficient and cost-effective manner.

To learn more about bespoke algorithmic execution strategies, contact us.

Product & Exchange List

ASX

CFE

CME

EEX

Eurex

Euronext

HKEX

ICE

ICE_L

IDEM

JPX

LME

MEFF

MGEX

MX

SGX

ASX

Exchange Product Exchange Code Product Type
ASX SPI 200 AP Equity Index
ASX 3-Year Bond YT Interest Rate
ASX 10-Year Bond XT Interest Rate
ASX 90-Day Bank Bill IR Interest Rate
ASX NZ 90-Day Bank Bill BB Interest Rate

CFE

Exchange Product Exchange Code Product Type
CFE VIX VX Volatility

CME

Exchange Product Exchange Code Product Type
CME E-Mini S&P MidCap 400 EMD Equity Index
CME E-Mini S&P 500 ES Equity Index
CME Yen-denominated Nikkei 225 NIY Equity Index
CME Dollar-denominated Nikkei 225 NKD Equity Index
CME E-Mini Nasdaq 100 NQ Equity Index
CME E-Mini Russell 2000 RTY Equity Index
CME E-Micro Russell 2000 M2K Equity Index
CME E-Micro Bitcoin MBT FX
CME E-Micro S&P 500 MES Equity Index
CME E-Micro Nasdaq 100 MNQ Equity Index
CME Australian Dollar 6A FX
CME British Pound 6B FX
CME Canadian Dollar 6C FX
CME Euro 6E FX
CME Yen 6J FX
CME Brazilian Real 6L FX
CME Mexican Peso 6M FX
CME New Zealand Dollar 6N FX
CME South African Rand 6Z FX
CME Swiss Franc 6S FX
CME Bitcoin BTC FX
CME USD/Offshore RMB (CNH) CNH FX
CME Ethereum ETH FX
CME Eurodollar GE Interest Rate
CME One-Month SOFR SR1 Interest Rate
CME Three-Month SOFR SR3 Interest Rate
CME Feeder Cattle GF Livestock
CME Lean Hogs HE Livestock
CME Live Cattle LE Livestock
CME Class III Milk DC Dairy
CME Random Length Lumber LBS Agriculture
CME Brent Crude Oil BZ Energy
CME Crude Oil CL Energy
CME Natural Gas (Henry Hub) Last-day Financial Futures HH Energy
CME NY Harbor ULSD Heating Oil HO Energy
CME Natural Gas (Henry Hub) Penultimate Financial Futures HP Energy
CME E-Micro WTI Crude Oil MCL Energy
CME Henry Hub Natural Gas Futures NG Energy
CME RBOB Gasoline Futures RB Energy
CME WTI - Brent Spread CL-BZ Energy
CME Heating Oil - Brent Spread HO-BZ Energy
CME Heating Oil - WTI Spread HO-CL Energy
CME Henry Hub Penultimate Financial Futures - Last-day Financial Spread HP-HH Energy
CME Henry Hub Penultimate Financial Futures - Natural Gas Futures Spread HP-NG Energy
CME Henry Hub Natural Gas Futures - Last-day Financial Spread NG-HH Energy
CME RBOB - Brent Spread RB-BZ Energy
CME RBOB - Crude Spread RB-CL Energy
CME RBOB - Heating Oil Spread RB-HO Energy
CME Palladium Futures PA Metal
CME Platinum Futures PL Metal
CME Kansas City HRW Wheat KE Agriculture
CME Corn ZC Agriculture
CME Soybean Meal ZM Agriculture
CME Soybean Oil ZL Agriculture
CME Rough Rice ZR Agriculture
CME Soybeans ZS Agriculture
CME Chicago SRW Wheat ZW Agriculture
CME Soy Crush SOM Agriculture
CME E-Mini Dow ($5) YM Equity Index
CME E-Micro Dow MYM Equity Index
CME Ultra 10-Year Note TN Interest Rate
CME Ultra Treasury Bond UB Interest Rate
CME Treasury Bond ZB Interest Rate
CME 5-Year Note ZF Interest Rate
CME 2-Year Note ZT Interest Rate
CME 10-Year Note ZN Interest Rate
CME 30 Day Fed Funds ZQ Interest Rate
CME Silver SI Metal
CME Gold GC Metal
CME Copper HG Metal

EEX

Exchange Product Exchange Code Product Type
EEX EUA Futures (FEUA) EUA Energy
EEX EEX German Power Bs M Ftr DEBM Energy
EEX EEX German Power Bs Y Ftr DEBY Energy

Eurex

Exchange Product Exchange Code Product Type
Eurex DAX FDAX Equity Index
Eurex Mini DAX FDXM Equity Index
Eurex EURO STOXX Banks FESB Equity Index
Eurex EURO STOXX FESX Equity Index
Eurex EURO STOXX 50 Dividend FEXD Equity Index
Eurex SMI Futures FSMI Equity Index
Eurex STOXX Europe 600 FXXP Equity Index
Eurex Euro Stoxx Basic Resources FESS Equity Index
Eurex Euro Stoxx Chemicals FESC Equity Index
Eurex Euro Stoxx Construction & Materials FESN Equity Index
Eurex Euro Stoxx Products & Services FESK Equity Index
Eurex Euro Stoxx Energy FESJ Equity Index
Eurex Euro Stoxx Financial Services FESF Equity Index
Eurex Euro Stoxx Food & Beverage FESO Equity Index
Eurex Euro Stoxx Food, Beverage, & Tobacco FESW Equity Index
Eurex Euro Stoxx Health Care FESH Equity Index
Eurex Euro Stoxx Industrial Goods & Services FESG Equity Index
Eurex Euro Stoxx Insurance FESI Equity Index
Eurex Euro Stoxx Media FESM Equity Index
Eurex Euro Stoxx Oil & Gas FESE Equity Index
Eurex Euro Stoxx Personal & Household Goods FESZ Equity Index
Eurex Euro Stoxx Personal Care, Drug & Grocery Stores FESP Equity Index
Eurex Euro Stoxx Real Estate FESL Equity Index
Eurex Euro Stoxx Retail FESR Equity Index
Eurex Euro Stoxx Technology FESY Equity Index
Eurex Euro Stoxx Telecommunications FEST Equity Index
Eurex Euro Stoxx Travel & Leisure FESV Equity Index
Eurex Euro Stoxx Utilities FESU Equity Index
Eurex Stoxx Europe 600 Automobiles & Parts FSTA Equity Index
Eurex Stoxx Europe 600 Banks FSTB Equity Index
Eurex Stoxx Europe 600 Basic Resources FSTS Equity Index
Eurex Stoxx Europe 600 Chemicals FSTC Equity Index
Eurex Stoxx Europe 600 Construction & Materials FSTN Equity Index
Eurex Stoxx Europe 600 Products & Services FSTQ Equity Index
Eurex Stoxx Europe 600 Energy FSTJ Equity Index
Eurex Stoxx Europe 600 Financial Services FSTF Equity Index
Eurex Stoxx Europe 600 Food & Beverage FSTO Equity Index
Eurex Stoxx Europe 600 Food, Beverage, & Tobacco FSTW Equity Index
Eurex Stoxx Europe 600 Health Care FSTH Equity Index
Eurex Stoxx Europe 600 Industrial Goods & Services FSTG Equity Index
Eurex Stoxx Europe 600 Insurance FSTI Equity Index
Eurex Stoxx Europe 600 Media FSTM Equity Index
Eurex Stoxx Europe 600 Oil & Gas FSTE Equity Index
Eurex Stoxx Europe 600 Personal & Household Goods FSTZ Equity Index
Eurex Stoxx Europe 600 Personal Care, Drug & Grocery Stores FSTP Equity Index
Eurex Stoxx Europe 600 Real Estate FSTL Equity Index
Eurex Stoxx Europe 600 Retail FSTR Equity Index
Eurex Stoxx Europe 600 Technology FSTY Equity Index
Eurex Stoxx Europe 600 Telecommunications FSTT Equity Index
Eurex Stoxx Europe 600 Travel & Leisure FSTV Equity Index
Eurex Stoxx Europe 600 Utilities FSTU Equity Index
Eurex Long Term BTP FBTP Rates
Eurex Short Term BTP FBTS Rates
Eurex Buxl FGBX Rates
Eurex Bund FGBL Rates
Eurex Bobl FGBM Rates
Eurex Schatz FGBS Rates
Eurex Euro OAT FOAT Rates
Eurex VSTOXX FVS Volatility

Euronext

Exchange Product Exchange Code Product Type
Euronext Milling Wheat EBM Agriculture
Euronext Rapeseed ECO Agriculture
Euronext Corn EMA Agriculture
Euronext AEX kFTI Equity Index
Euronext CAC 40 jFCE Equity Index

HKEX

Exchange Product Exchange Code Product Type
HKEX Hang Seng China Enterprise Index HHI Equity Index
HKEX Hang Seng Index HSI Equity Index
HKEX Mini Hang Seng Enterprise Index MCH Equity Index
HKEX Mini Hang Seng Index MHI Equity Index
HKEX MSCI China A50 MCA Equity Index
HKEX Hang Seng Tech Index HTI Equity Index
HKEX USD/CNH CUS FX

ICE

Exchange Product Exchange Code Product Type
ICE UK Feed Wheat T Agriculture
ICE Brent Crude Oil BRN Energy
ICE EUA ECF Energy
ICE Low Sulphur Gasoil G Energy
ICE UK Natural Gas GWM Energy
ICE Dutch TTF TFM Energy
ICE Heating Oil UHO Energy
ICE ICE New York Harbor (RBOB) Gasoline UHU Energy
ICE WTI Crude Oil WBS Energy
ICE London Cocoa C Softs
ICE Robusta Coffee RC Softs
ICE White Sugar W Softs
ICE Gasoil-Brent Spread G-BRN Energy
ICE Heating Oil-Brent Spread UHO-BRN Energy
ICE Heating Oil-Gasoil Spread UHO-G Energy
ICE RBOB-Brent Spread UHU-BRN Energy
ICE Crude-Brent Spread WBS-BRN Energy
ICE Canola RS Agriculture
ICE MSCI EAFE MFS Equity Index
ICE MSCI Emerging Markets MME Equity Index
ICE US Dollar Index DX FX
ICE Cocoa CC Softs
ICE Cotton No.2 CT Softs
ICE Coffee KC Softs
ICE Sugar No.11 SB Softs
ICE FCOJ-A OJ Softs

ICE_L

Exchange Product Exchange Code Product Type
ICE_L Euribor I Interest Rate
ICE_L Long Gilt R Interest Rate
ICE_L FTSE 100 Z Interest Rate
ICE_L SARON SA3 Interest Rate
ICE_L SONIA SO3 Interest Rate

IDEM

Exchange Product Exchange Code Product Type
IDEM FTSE MIB FIB Equity Index

JPX

Exchange Product Exchange Code Product Type
JPX Crude Oil DBAI Energy
JPX JPX-Nikkei 400 Index 400 Equity Index
JPX Mini TOPIX Index TPXM Equity Index
JPX Nikkei 225 225 Equity Index
JPX Nikkei 225 mini 225M Equity Index
JPX TOPIX Index TPX Equity Index
JPX 10-Year Japanese Govt. Bond JBL Interest Rate
JPX Gold GLD Metals

LME

Exchange Product Exchange Code Product Type
LME Aluminum AH Metal
LME Copper CA Metal
LME Nickel NI Metal
LME Lead PB Metal
LME Tin SN Metal
LME Zinc ZS Metal

MEFF

Exchange Product Exchange Code Product Type
MEFF IBEX 35 FIE Equity Index

MGEX

Exchange Product Exchange Code Product Type
MGEX Minneapolis HRS Wheat MWE Agriculture

MX

Exchange Product Exchange Code Product Type
MX Mini S&P 60 SXF Equity Index
MX 3-Month Canadian BAX BAX Interest Rate
MX 5-Year Canadian Bond CGF Interest Rate
MX 10-Year Canadian Bond CGB Interest Rate
MX 2-Year Canadian Bond CGZ Interest Rate

SGX

Exchange Product Exchange Code Product Type
SGX FTSE China A50 Index CN Equity Index
SGX CNX Nifty Fifty Index IN Equity Index
SGX Nikkei 225 Index NK Equity Index
SGX MSCI Singapore Index SGP Equity Index
SGX FTSE Taiwan Index TWN Equity Index
SGX INR/USD IU FX
SGX KRW/USD KU FX
SGX USD/CNH UC FX
SGX TSI Iron Ore CFR China 62% FEF Metal
SGX TSR20 Rubber TF Softs

Why RCM-X?

Built by Traders

RCM-X'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 Colocation

Built utilizing a proprietary high-performance C++ technology stack and advanced order book 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 and OMS front-end trading applications, including:

Trading Technologies
CQG
EMSX
Fidessa
Portware

Interested in RCM-X execution algorithms and transaction cost analysis?