TORA’s algorithms post liquidity in one or more venues while adhering to certain minimum acceptable slice size requirements, dictated by both the venue and the higher level execution strategy. The algorithms prioritise venues based on both historical and real-time data, taking into account the instrument and the venue. The algorithms provide the ability to expose orders to alternative venues along trajectories such as TWAP and volume in-line.
Most broker internalisation engines in Japan and
Hong Kong and the Japanese proprietary trading systems. Also TORA’s own pool,
of deep, natural client liquidity – Crosspoint.
The routing logic prioritises venues based on
historical and real-time information about the quality and quantity of
liquidity for a given stock on each venue.
algorithms compute a price band based on the exponentially moving weighted
average trading price of the stock and restrict trading outside of that band to
prevent trading into price spikes.
The firm provides support for minimum acceptable
quantities on a per-order and per-client basis and for counterparty tiering on
per-order or per-client basis for destination venues that support it.
TORA performs regular toxicity analysis on all destination
venues and uses this as one of the parameters for venue prioritisation and
price spike protection.
A recent example of TORA’s customisation abilities
is the custom price spike protection logic and logic to dynamically alter
algorithm ‘aggressivity’ based on market conditions.
TORA currently has several initiatives underway
with Japanese domestic brokers and ISVs that will give the TORA SOR unique
access to an additional 15% of TSE liquidity.