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.
Destinations
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
2011.
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.