Agency broker ICAP Equities, a division of interdealer broker ICAP, has launched ALX, an algorithmic trading platform for equities, and has started connecting clients. The firm expects to complete the rollout in Q1 this year.
The platform, which includes a range of execution algorithms, was developed in conjunction with Arctic Lake Systems, a provider of execution technology and algorithmic strategies. The suite comprises: inline with volume; VWAP; TWAP; target close; target open; implementation shortfall and liquidity seeking algorithms.
It will initially be available in developed Europe – the Nordic countries, the Netherlands, UK, Ireland France, Germany, Austria, Switzerland, Italy and Spain – and ICAP Equities has plans to offer ALX to more countries in future.
“We have embedded the ALX platform on top of our current trading infrastructure so it connects into all the different venues in exactly the same way as our existing business,” Phil Hodey, head of portfolio and electronic execution at ICAP equities, told theTRADEnews.com. “Also, the vast majority of our clients have their own EMSs, so instead of building our own front end, we have been working with EMS vendors such as Bloomberg and Portware to embed our algorithms into their systems. It is very much embedded into the trader’s desktop rather than adding another element to the workflow.”
ICAP Equities was keen to set its new algorithmic platform apart from rivals’ offerings, but also wanted to avoid reinventing the wheel. “Rather than trying to build a brand new algorithm we have focused on how our algos work and how our trading clients can interact with them, so we have worked on making them more flexible and giving clients greater control,” said Hodey. “There are a few new options in there about how the client can interact with the algos,”
For example, ICAP has created a solution for occasions when a trader submits an order with a volume limit and there is a small balance left when the order completes. “We have got a tool that dynamically flips the algo at the order’s end-time into a new algo so it will continue against different strategy. We call that our ‘if incomplete’ flag,” said Hodey. “We have also done work on dynamic relative limits, so instead of using a hard limit the client can trade on a limit relative to how the stock is trading versus a particular sector or market.”
Unlike most of ICAP’s businesses, which cater to the sell-side, ICAP Equities, which launched almost two years ago, directly serves the buy-side. Since its launch, the division has been building up its capabilities in both research and execution.
ICAP Equities is continuing to develop new products for the buy-side, according to Hodey. “There is a lot of work going on internally in building other technologies to give to clients,” he said. “One area I have been working on over the last 12 months is our trade analytics platform.”