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
