Algorithmic Trading
SIP PRIME BROKERAGE SERVICES GROUP, through its trading platform offers prime clients numerous agency algorithms as follows:
Ambush™ (AMB)
The Ambush algorithm is best used for orders where both time and information leakage are critical. Ambush utilizes sophisticated order placement techniques and allows traders to choose their urgency based on aggressive, neutral and passive settings. A high percentage of interval volume is to be expected.
Razor (R)
The Razor cuts orders into slices based on available liquidity in names where liquidity may be difficult to predict. Designed for optimizing results on small and mid–cap stocks. Razor will accelerate its “liquidity blades” to capture hidden liquidity.
Volume Weighted Average Price (VWAP)
The VWAP utilizes smart order placement in conjunction with sophisticated methods of predicting volume for individual securities. Delivers an average execution price in line with the VWAP benchmark while minimizing impact to the VWAP itself.
Target Volume (TVOL)
The TVOL determines completion time of the order and price based on market “ticks” or volume. This strategy provides excellent support for a busy trading desk by effectively working orders in line with market volume, and frees up the trading time to focus on the big picture.
Market Call (MC)
The MC facilitates your specific market call on a stock. Implements your market call, ranging from passive to aggressive, over a flexible execution time frame.
Time Weighted Average Price (TWAP)
The TWAP aims to evenly distribute an order over user–specified duration dynamically balancing adverse selection and market impact in real time. Typically utilized for liquid tickers, generating many small and frequent orders.
Arrival Price (AP)
The AP is a “master-balancer” of the key variables associated with “implementation shortfall”: market impact, volatility, volume, spread, time and return. The strike for an AP order is the midpoint of the bid/ask spread at the time of its arrival. AP will determine the optimal execution time frame for each order as it works to the arrival price benchmark.
Departure Price™ (DP)
The DP balances the joint effect of market impact and price volatility with respect to the departure price. The order normally arrives during the expected completion day, and the strategy optimizes the trading curve between the arrival and end of trade time. DP is designed for any stock where your target price is the departure price or better.
In addition to the standard agency algorithms available on our trading application, SIP Prime trading staff through numerous partnerships offers addition “best efforts” and “guaranteed”
algorithms.
* Jefferies & Co. Inc., clears and settle trades for SIP Prime, A Division of Securities & Investment Planning Company