The Tradetech Daily

Credit Agricole Cheuvreux

Credit Agricole Cheuvreux

CA Cheuvreux''s SOR accepts execution policies by clients, which allows it to fully customise the SOR functions for each client. For example, the list of trading venues to be addressed, as well as the trading logic for aggressive and passive orders, can be customised in collaboration with execution consultants.

Access and algorithmic integration

The SOR can be accessed via

any of CA Cheuvreux”s

algorithmic strategies, or via

direct market access.


The SOR is available in the

US and Europe. It currently

provides access to over 100

global execution venues. As

per CA Cheuvreux”s

execution policy, it assesses

all different execution venues

available, to identify those

that will enable it to

consistently obtain the best

possible result for executing

client orders. The broker

expects to connect to a

number of new venues in


Order types and client reporting

The SOR supports limit and

market orders. If needed, the

market orders are translated

into “marketable” orders, as is

the case for Chi-X, to avoid a

“peg to the primary best

opposite” effect. Time in

force options supported are:

good-for-day; good-till-date;

and fill and kill. In the US

and Canada, the SOR also

accepts immediate-or-cancel,

good-till-cancelled and stop

order types.

Every execution is

automatically monitored for

quality and best execution

and CA Cheuvreux provides

clients with detailed pre- and

post-trade execution reports

Data feeds

The SOR bases routing

decisions on both real-time

and historical market data.

Routing logic

The router is based on

multiple indicators including

market depth (visible and

estimated hidden), expected

fill rate per venue, expected

price improvement, estimated temporary market impact,

venue latency, bid/ask spread,

intra-day volatility, average

trade size and stock viscosity.

It uses heat maps and can

route orders dynamically

based on real-time data. All

elements of the SOR routing

logic are customisable per

client via CA Cheuvreux”s

execution consultants. The

infrastructure and software is

fully redundant in a “no

single point of failure” model.

The firm”s Crossfire

algorithm has been developed

to interact with lit, grey and

dark liquidity (or any

combination thereof) that

uses on-the-fly statistical

estimates to rebalance prices

and quantities on a list of

specified trading destinations.

Future plans

With mergers and

acquisitions in both the

regulated market and

multilateral trading facility

spaces and with MiFID II

coming up, CA Cheuvreux

expects the SOR area to be

very dynamic over the next

12-18 months.