Barclays’ suite of algorithms includes
benchmark-driven algorithms VWAP, TWAP, with volume, implementation shortfall
and target close. Trader-defined algorithms include the Hydra dark liquidity
algorithm, Rapid, Spread Trader and Portfolio Target Strike.
Barclays’ algorithms react to real-time market
information to maximise liquidity and minimise information leakage. Research at
the symbol-by-venue level produces predictive liquidity models that are
superior to the one-size-fits-all approach of traditional algorithms.
Anti-gaming features are built in to all Barclays algorithms to ensure clients’
orders are protected, including parallel order processing.
algorithms and features can be customised and Barclays offers end-to-end order
protection and electronic sales trading support to all client orders. Barclays
also offers a post-trade analytics framework to analyse client trading across
multiple brokers to enhance TCA.
Barclays algorithms are available from widely used
order management and execution management systems. Clients can also connect
directly via FIX from a proprietary execution system.
Barclays algorithms are integrated with the Dynamic
Router, the firm’s proprietary smart order router. This routes orders based on
real-time market data to venues with the highest probability of filling the
order to avoid information leakage. The Dynamic Router has access to all major
US exchanges, electronic communication networks and dark pools.
Barclays is rolling out its equity algorithms in
Asia Pacific and will introduce a capital commitment feature to its algorithms
which will automatically facilitate the last portion of a client’s algorithmic
order. This feature combines Barclays algorithms with the firm’s risk
facilitation capability, providing clients with a new way to transfer market
Conditional Orders is a dark block feature of Barclays’ US
alternative trading system, Barclays LX, designed to maximise the liquidity
available to a client’s order by over-exposing the order quantity without