EQUATOR strategies
EQUATOR comes pre-packaged with many different algo strategies, thus removing the burden of
a subscriber having to provide in-house algo development expertise.
This massively reduces the total cost of the EQUATOR algo execution solution compared with other
systems offering algo frameworks, rather than complete algo systems.
Some of our more popular algo strategies have been sorted into strategy groups.
Over the day strategies
VWAP
is the quantitatively back-tested algorithmic strategy which
executes against a VWAP benchmark. The VWAP strategy divides the
AlgoOrder into buckets, each with a pre-determined volume and launch time.
The bucket price is determined at launch time depending on the state of the market.
The bucket price may be subsequently adjusted until the bucket completes trading.
TWAP
places the same size buckets into the market at even intervals over the day.
SLICE
is similar to TWAP but uses a more-sophisticated price placement algorithm.
PERCOLATE
manages an order over the day without crossing spread – ideal for backfooting an order.
Auction strategies
OPEN
manages an order against an OPEN benchmark and generally executes
in the opening auction.
CLOSE
manages an order against an CLOSE benchmark and generally executes
in the closing auction.
Single strategies
SLAM
is an order-entry strategy which allows a user to execute an order immediately by crossing the spread.
SOLO
executes orders in one line over a pre-specified period.
Iceberg strategies
RELOAD
places regular buckets continuously into the market at the best price.
PRINCESS
reloads each bucket at the start of the queue – always first – which is a more intense reload because it will advance the price if the spread allows in order to remain in front of all market orders.
Liquidity seeking strategy
BARRAGE
regularly places buckets to seek liquidity to a price limit.
Stealth strategy
SNIPER
executes when volume appears across the spread to a price limit.
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