The J.P. Morgan suite of algorithms range from well
known strategies such as VWAP, TWAP, percentage of volume (POV), implementation
shortfall and close to more tactical ones like Ladder (changing POV rates based
on price), Peg (trading the order in appropriate sizes on the passive side of
the book) and a collection of pairs algos. J.P. Morgan has an opportunistic
algo called Aqua, constructed to work orders while tracking market data and
running real time quantitative models to cheaply grab price liquidity in both
lit and dark venues when it appears.
A significant number of clients have bespoke custom
strategies produced for them.
J.P. Morgan algorithms all have quantitative models
incorporated to manage everything from routing decisions to profile prediction.
Models are rigorously constructed and regularly back-tested. Strategies have
broad geographic and venue coverage and use a customisation framework to test,
deliver and rapidly roll out bespoke algos.
J.P. Morgan offers dedicated consultancy team of
product experts and quantitative researchers and a recently released analytics
platform that offers model analysis, pre-trade reporting and TCA of all trading
of equities, futures and options.
The bank’s algorithms can be access through all
major trading systems and directly via a published FIX API.
J.P. Morgan uses proprietary routing logic to
ensure best execution. The firm shares statistics with clients regarding the
performance of its smart order router.
J.P. Morgan plans to complete the rollout of its
algorithm framework into other asset classes, including futures and options in
particular. The firm also plans to launch an advanced suite of portfolio and
basket trading strategies and expand into new markets.