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
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 and 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 defined 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 defined 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
