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UBS offers VWAP, TWAP, volume inline, price inline,
pairs, implementation shortfall, liquidity-seeking strategies called Tap,
TapNow and Swoop, float, hidden DMA, open and close strategies and bespoke
UBS algorithms are designed and developed in house.
Teams are organised regionally, providing local market expertise, but managed
globally to deliver a consistent offering.
Performance is measured in real time, allowing the
algorithms and smart order router to adjust to market conditions. Frequent
performance reviews drive research into new strategies.
UBS offers its Fusion transaction analytical tools,
which provide single-order and portfolio functionality via automated reports
and a real-time web portal.
The bank offers
in-depth reviews of performance, offering analysis and recommendations to
clients on how use algos more effectively.
The Quant on Demand and UBS’s iPad application Studio
allows clients to develop and deploy custom algorithmic solutions.
Clients can access UBS algorithms through its
Pinpoint execution management system (EMS), third-party EMSs, or via a FIX
UBS continuously evaluates connectivity to venues
and orders are posted across multiple lit and dark venues. UBS employs
anti-gaming and anti-negative selection measures to safeguard client orders.
When sending orders to venues, weighting is determined by factors such as order
size, historical fill rate and quality. Orders are sent with limit prices and
minimum fill sizes based on historical quality and the urgency of the order.
Algorithms that have
the discretion to seek dark liquidity do so depending on multiple factors,
including eligibility and client preference.
UBS continues to develop new strategies and its
algorithmic development team is constantly monitoring existing strategies to
ensure optimal performance as market structure and venues continue to evolve.
The firm is developing more client-tailored and custom
modifications for its strategies.