Morgan Stanley
Geographies and asset classes
Listed
futures – inclusive of equities, fixed income and commodities – are offered globally.
Trading strategies and benchmarks
A range of
clients use the algos – those actively trading futures as part of their strategy,
to those using it as a hedging tool. Order types include Market/ Limit/Stop
Market/Stop Limit, as well as Market/Limit on Close/Open. Benchmarks include
VWAP, TWAP, Arrival Price.
Access and functionality
Morgan
Stanley’s algorithms are offered through Passport, the firm’s 24×6, multi-asset
class platform, in which clients can trade cash equities, futures, and FX, both
through DMA and algorithmic channels. Morgan Stanley also offers algorithmic trading
through FIX, Bloomberg and various vendor GUIs.
Algorithms
are fully customisable on a per client basis. Algorithm Manager gives users
dynamic control over the execution of their individual orders based on several
different factors, including time, filled quantity, price and liquidity. For
example, you can switch to a volume inline algo if the market falls a certain percent.
Pre- and post-trade reporting
Morgan
Stanley Analytics (MSA) provides pre-trade analytics, detailed order entry, order
flow management, and post execution performance measurement. MSA can set up candidate
baskets, slice an index, construct optimized hedges, view predicted trading costs
and analyse costs by drilling down into different markets, sectors and individual
names. For post-trade performance attribution and
assessment, MSA provides post-trade reports analyzing trade performance through
graphical representation of actual trade prices and volume alongside market
activity. MSA assesses overall trade performance with clear benchmark
comparisons, and single-name performance with individual contributions to return.
Post-trade reports also analyse execution venues.
Future developments
Opportunistic
and custom strategies such as Futures Owl, an opportunistic algorithm using
historic and real time order book information
to seek liquidity in the futures markets. Volatility enhancements with more customisation,
depending on market conditions.