Goldman Sachs offers futures and options algorithms across derivatives markets in Japan, Hong Kong, Australia, Singapore, India and Korea. According to the bank, its algorithms are used by all client types and designed to capture the intricacies of each market in Asia – such as differences between lunch breaks and order queuing – while trying to achieve consistency in the way an algo trades across the regions in order to standardise and enhance the client trading experience.
Goldman Sachs Algorithmic Trading (GSAT) strategies comprise:
• Benchmark Matching: which attempts to minimise shortfall relative to VWAP by using sophisticated volume profiles, balancing between spread capture and volume-profile tracking, as well as achieve an average execution price benchmarked to TWAP.
• Participation: which simulates a ‘go-along’ order, targeting clients’ specified participation.
• Scheduling: which splits an order into smaller tranches, with the ability to specify size and time intervals.
• Contingency: an order type allowing the placement of a limit order contingent to a stop loss order.
• Smart DMA: which incorporates a variety of features such as the ability to activate an order at a specified time, simulate stop orders on exchanges that do not natively support this order type, split a large order into small sub-orders, allow an order to become a market order once the trigger price is reached and cancel an active order at a specified time.
The algorithms provide access to all order types supported by the individual exchange, including market, limit, stop, market on open, market on close, market in time and one cancels others orders.
Clients can access the full suite of algorithms via REDIPlus, Goldman Sachs’ proprietary execution management system, through a variety of external vendor platforms or client proprietary systems utilising FIX Protocol.
Clients can access both preand post-trade analytics across the full suite of Goldman Sachs’ products via REDIPlus and the GS360 web portal.
Customisation and future development
Clients have the ability to interact with a variety of parameters within each algorithm to make the order more or less aggressive, determine tranche size and randomise the timeframe within which the order should be working. Clients are also able to work with the bank’s electronic trading and technology teams to customise their own strategies.
In the next 12 months, Goldman Sachs plans to further simplify algo parameters, access and modification, continue the revamping of its coverage desk tools, alerts, and connect to new Asian trading venues.