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.

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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

  • VWAP
  • TWAP
  • POV
  • SCALEPOV
  • BRISK
  • CLOSE
  • PROWLER

Execution Objective: Executes based 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

 

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:

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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.

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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

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    DISCLAIMERS

    Trading futures, options on futures, retail off-exchange foreign currency transactions (“Forex”), investing in managed futures and other alternative investments are complex and carry a risk of substantial losses. As such, they are not suitable for all investors. You should not rely on any of the information herein as a substitute for the exercise of your own skill and judgment in making such a decision on the appropriateness of such investments. Any mention of ‘funds’ within this site encompasses both privately offered fund and separately managed account investments.
    Past Performance is Not Necessarily Indicative of Future Results. The regulations of the CFTC require that prospective clients of a managed futures program (CTA) receive a disclosure document when they are solicited to enter into an agreement whereby the CTA will direct or guide the client’s commodity interest trading and that certain risk factors be highlighted. The disclosure document contains a complete description of the principal risk factors and each fee to be charged to your account by the CTA.  Use the following links to view the full terms of use and risk disclaimer and our privacy policy.