RCM-X BLOG

Algos 101: VWAP

This is the second post in our Algo Execution Educational 101 Series to help those interested in algorithmic execution understand how different types of algorithms work and the execution issues they’re intended to solve. This week we’re focusing on the VWAP algo. Strategy Name:   VWAP VWAP stands for Volume Weighted Average Price, and similar to how a TWAP enters […]

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Algos 101: TWAP

With automated trading and algorithmic execution strategies accounting for 85% of equities trading, its no secret algos have become a useful implementation tools in Futures markets. Algos have a lot going on from TWAP vs brISK, to implementation and slippage cost; and that’s just the tip of the ICEBERG. So what better way to educate […]

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Participation, Opportunistic, & Liquidity Based Execution Algorithms

Today’s top firms know there’s more to alpha than just higher trading profits. There’s also minimizing trading costs when implementing your investment strategies.  Aside from fixed costs like brokerage and exchange fees, the somewhat hidden costs of execution slippage can erode your alpha and impact overall performance.  Not being able to get filled at the […]

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THE PANDEMIC STOLE MY LIQUIDITY

Liquidity dislocations during the pandemic Over the course of the last few weeks we’ve experienced unprecedented moves in our markets, with major indices like the Nasdaq falling -28% from its highs, only to recover by advancing +31%. Meanwhile, the sudden and sharp decline in demand for oil resulted in never before seen price movements including […]

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DO EXECUTION ALGOS WORK IN EXTREME VOLATILITY?

  The VIX has spiked to its highest level since 2008. The stock market has had the fastest bear market correction ever.  Oil fell 33% in overnight markets, in one night. We’re seeing 6% moves in the S&P in the matter of 14 minutes. Suffice it to say, things have been volatile and spreads are widening. We’re quants […]

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THE EQUATION OF AN ALGO

  Trade idea testing + trade order execution + trade size generation = algo??? That’s one way to look at it, and indeed we have a whole in-house team dedicated to building algos to do some of these pieces every day with our RCM-X team. While the difference between an alpha generating algo and an execution […]

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QUANTS, ALGOS, AND AI

  A recent graphic by Tractica shows that over $7.5 Billion dollars is forecasted to be spent on Algorithmic trading strategy improvement via AI in the next 10 years. Wow! That’s a lot of quants in the world’s payroll. What exactly is a quant?  How do algorithms (algos) fit in? And what does Artificial Intelligence […]

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WHY USE AUTOMATED EXECUTION ALGORITHMS? HERE’S WHY.

  We’ve been talking a lot about quants and algos recently – like this whitepaper, this blog, and this blog – which only strengthens the thought that, though necessary, quants and algos can be confusing. Even for us, who happen to share coffee and donuts with a whole in-house team of quants dedicated to working on that stuff all […]

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THE NEW AI –> AT, ARTIFICIAL TRADING

  One of the best follows on non-financial Twitter is Salesforce.com’s Chief Digital Evangelist: Vala Ashsfar. He comes up with inspiring lists highlighting what it means to be a good mentor, what money can’t buy (happy home, manners, etc.), and companies founded by immigrants (Apple, Google, Amazon to name a few). Not to mention his […]

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PLAYING JEOPARDY LIKE A QUANT

  If you haven’t heard yet, 35 year old James Holzhauer has been killing it on Jeopardy of late. Per fivethirtyeight.com: Holzhauer has played this game like no one has ever played it before — large bets coupled with expert navigation of the game board. He has now [won 19] games with his total winnings sitting […]

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