Given the recent volatility how are you approaching sell side algo usage?

Posted By Steve On Sunday, August 21st, 2011 With 0 Comments

Some sell side algorithms slice their orders based on historical volatility (i.e. VWAP). Generally, they use a 30 day history skewed to the more recent days such as yesterday or last week when considering when and how to slice an order.

Given the recent global volatility in markets we wanted to see how sell side algorithms were being used by the buy side and find out if they were changing algorithm strategies, moving away from algos altogether or seeking guaranteed prices in alternatives.

Question:
Given the recent volatility how are you approaching sell side algo usage?
Purpose:
We wanted to have a better understanding how the buy-side was using or changing their algorithm usage in unusually volatile market conditions.
Results:
Given the recent volatility how are you approaching sell side algo usage?
No change – broker algos are performing well 28.6%
Using different algos 21.4%
Stopped trading until volatility resides 21.4%
Relying more on dealers and high-touch trading 14.3%
Using more alternative trading venues 14.3%
According to our poll results more than 70% of respondents changed the way they they use algorithms when trading under these conditions. It would be interesting to know what brokers the “No Change” voters are using.
Poll results are published in the Weekly Bulletin. Please sign up here.

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