Societe Generale offers a range of futures algorithms including its liquidity seeking algorithm Eclipse, WVOL, VWAP, TWAP and an implementation shortfall algorithm. The algorithms access the listing venue only due to the concentration of the contracts the firm trades.
Societe Generale use a signals-based execution
model, which incorporates both statistical and fundamental signals. Around 35
signals are used with relative weighting rebalanced over time and depending on
the algorithm. These signals are driven by the future itself but also include
imbalance signals (mid-price prediction), auto-correlation signals (fair value
and relative value), liquidity signals (volatility and spread prediction) and
trade difficulty signals (market impact). These models have been developed over
10 years by the firm’s statistical arbitrage business.
The signals model offers the flexibility to
customise behaviour based on the objectives of a specific client. This means
that, supported by the firm’s pre- and post-trade analysis and significant
quant resources, the company is able to identify and deliver opportunities for
improved client execution performance.
Access to the product is via all major order
management and execution management system providers or via a direct FIX
The firm plans an expansion of its current offering
into new exchange venues globally and the implementation of cross-asset
algorithms, offering both future vs. stock or future vs. stock list.