Algorithmic Brokerage
Newedge provides clients with a range of exclusive algorithmic execution tools. The algorithms were designed by Newedge’s industry-recognized Research Group to help clients minimize the market impact of their orders on many of the leading global futures contracts under a variety of market conditions and trading day scenarios.
The algorithms are based on extensive testing and a comprehensive, historical market depth tick database on actively traded CME/CBOT, Eurex, Euronext Liffe, ICE and MX contracts. In addition to offering algorithmic executions, Newedge also utilizes the data to help address specific client queries on how best to work an order and to analyze how well a given algorithm has behaved after the trade has occurred.
Strategies
Newedge clients can request that their orders be worked utilizing either a VWAP or TWAP strategy with four different execution tactics ranging from aggressive to patient for each strategy. Brief descriptions of the strategies and execution tactics are:
- Volume Weighted Average Price (VWAP). VWAP seeks to match the volume weighted average price for a specified time period.
- Time Weighted Average Price (TWAP). TWAP slices an order evenly over time.
Execution
- VWAP/TWAP Type 1. Aggressive execution using market orders to achieve immediate fills.
- VWAP/TWAP Type 2. Slightly less aggressive tactic that pegs limit orders at a specified price over the bid or below the ask.
- VWAP/TWAP Type 3. Patient execution tactic that provides a “sticky” peg to the bid (if buying) or offer (if selling), allowing the client to be a provider of liquidity.
- VWAP/TWAP Type 4. Highly patient execution tactic functions like the Type 3 tactic with an added conversion to a historical value if the order slice is not filled within a specified time.
