Barclays Capital (BarCap) offers algorithms for futures trading in Asian countries including Hong Kong, Korea, India, Malaysia, New Zealand, Japan, Australia and Taiwan. The bank says futures algorithms are popular among hedge fund clients and prop desks, for both hedging and alpha generation. BarCap’s algos have been adapted from other regions to comply with domestic nuances.
BarCap offers the following algorithmic strategies and tools:
• Participate: which distributes orders in line with actual market volumes at a specified participation rate.
• Arrival price: which works in conjunction with Participate by allowing users to specify two different participation rates; an offside and an onside rate.
• Escalate: an extension of the arrival price algorithm, which dynamically adjusts participation rate.
• Invert Limit: which allows the price limit to be inverted so that the algorithm acts like a stop.
• TWAP: which operates by parsing out the order quantity equally across the instructed time frame.
• BARX Spread Trader: synthetically works multileg strategies, intracommodity spreads and basket trades across futures, options and fixed income markets.
• One Cancels Others: which operates by working two separate orders in the market and cancelling one of the orders when the other is filled.
• Stop+: which allows the deployment of trailing stops that can track an active market and attempt to capture maximum positive direction.
• Smart order routing: for when there is a need to trade similar contracts in different exchange venues simultaneously.
• Pegs: which enable an order to be attached to a moving bid or offer at an offset level that is set by the user.
• BARX Icebergs: which only shows a fraction of a resting order’s size to the market.
• Time Functions: which offers clients the capacity to set release times and cancel times for orders.
• Greyhound: which allows orders to be worked with a tick by taking account of the bid/offer size at a particular level and deciding on its execution plan.
• Mass Order Exchange Tool (MOET): which is used when there may be a struggle with exchange gateway sizes. MOET takes large orders and slices them into orders sized for immediate execution.
The algorithms can be accessed via BarCap’s BARX trading platform. There are currently no pre- and post-trade analysis tools.
Customisation and future development
Clients can modify parameters to set how aggressive the execution plan will be, as well as start times and participation rates.
Performance enhancements and new algos will be introduced based on client demand.