Instinet Launches Next-Generation Algorithmic Suite in Asia-Pacific
Instinet, a global leader in electronic trading and agency-only brokerage, today announced the launch of its Execution Experts™ suite of algorithms in Asia. These next-generation, event-driven trading strategies are currently used by Instinet’s clients in North America and Europe, and have been specifically tailored for the Asia-Pacific markets.
Glenn Lesko, CEO for Instinet in Asia, said the algorithms represent the new breed of intelligent algorithmic trading strategies, which are now necessary in Asia. “Asia-Pacific markets have developed to a point that the simple algorithmic strategies historically employed here are no longer adequate,” he said. “Exchange speeds and liquidity access have improved dramatically, and new venues are competing with primary exchanges across the region. This brings both challenges and opportunities, and our Experts algorithms address them directly.”
According to Bryce Kelly, Head of Asia-Pacific Product Strategy, the Experts are built on a platform that allows the algorithms to dynamically adjust trading activity when market conditions change and engage with markets when signals dictate attractive times to trade. “To exemplify the benefits of this type of behavior, the Experts were very effective in helping our U.S. clients avoid trouble during the ‘Flash Crash’ in May.”
The TEN strategy is an example of the type of innovative solutions that Instinet can now provide with the new Experts platform. TEN represents a novel approach to benchmark trading, empowering traders to select a balance between Arrival, VWAP and Departure price benchmarks.
The Execution Experts suite in Asia-Pacific, which has been customised to address trading challenges specific to the region, consists of ten individual strategies:
• BlockPeg®: BlockPeg accesses liquidity with minimal impact on the spread by posting orders on the passive side of the market while crossing the spread for user specified quantities.
• Cobra: Cobra stealthily seeks hidden liquidity in both lit and dark venues to minimise signaling and market impact while maximizing shares traded.
• Dynamic Participation (DynaPart): The DynaPart strategy dynamically adjusts participation rates in response to price changes, increasing or decreasing target participation according to the selected trading style. The strategy also allows users to exclude dark and block liquidity from volume calculations.
• TEN: A multi-benchmark strategy, TEN allows users to balance tracking VWAP, Arrival and Departure price by assigning weights to each of the three benchmarks. TEN uses Dynamic Programming optimization to integrate Instinet’s price and volume prediction models into a robust benchmark strategy.
• Nighthawk®: Nighthawk seeks hidden liquidity, intelligently accessing dark-liquidity sources to execute orders with sophisticated price-modeling and allocation logic. Nighthawk logic is embedded in all strategies in the Experts suite.
• Implementation Shortfall (IS): IS balances opportunity cost and market impact to minimize arrival price shortfall.
• TargetClose: TargetClose minimizes slippage and impact versus the closing price. The TargetClose strategy allows users to trade outsized orders benchmarked to the close that otherwise might create undue pricing impact if sent with a Market on Close order.
• Participation: The Participation strategy trades a targeted percentage of market volume over a specified trading horizon. The Experts Participation utilizes volume prediction and advanced tactics to disguise its intentions.
• VWAP: VWAP targets the volume-weighted average price (VWAP) for a specified trading horizon. The VWAP strategy is best suited to relatively liquid orders that must be completed by a specified end time.
• TWAP: TWAP trades against the time-weighted average price (TWAP), spacing an order evenly across the specified time horizon.
The Execution Experts are available through Instinet’s Newport® 3 EMS (Execution Management System), a host of third-party EMS vendors and direct FIX connectivity.