Macquarie’s algorithmic suite includes dark,
dynamic, iceberg, implementation shortfall, market on close, market on open,
multipeg, peg, price inline, price weighted participation, reverse inline,
Sniper, Stealth, Step, TWAP, Stoploss, Volinline and VWAP.
The firm’s algorithms are designed for best
execution across a variety of client benchmarks. Macquarie also has a number of
algorithms that have been engineered to create minimal impact when seeking
liquidity, through various inline or more aggressive points in time with
Stealth and Sniper strategies.
The firm’s algorithms have an array of customisable
options to suit clients, who are frequently consulted to provide the best
solutions for them. Macquarie has a full support staff and development team for
its algorithms with experienced desks across Australia, Hong Kong, Singapore
and India, who provide real-time advisory to ensure best execution and constant
improvement across its suite of algorithms. Post-trade data is provided to any
client who requires it and can be tailored to a client’s needs or benchmarks
and can be provided in an automated fashion.
Clients can access Macquarie’s algorithms via any
order or execution management system, which communicates via FIX.
The firm’s algorithms route orders to a number of
dark pools and alternative trading venues via a smart order router (SOR).
Macquarie will seek to expand its dark pool and SOR
access in Asia to more markets and extend its current market footprint to
beyond 10 markets in addition to launching new algorithms, customisation and
risk management options.