ITG, an agency broker and financial technology firm, has released a new algorithm which it claims will complement existing VWAP and implementation shortfall benchmarks by offering a better picture of trader performance.
The new algo is based on the participation-weighted price (PWP) benchmark, which determines the volume-weighted average price of a stock from the start of an order (interval VWAP), with a set participation rate.
According to ITG, unlike implementation shortfall benchmarks, PWP takes market conditions at the time the order was placed into consideration during the execution horizon.
“PWP is an intuitive and transparent benchmark which offers a great way to demonstrate the value-add by traders. Many large buy-side firms have already adopted this benchmark to evaluate their traders and execution performance,” said Hitesh Mittal, ITG’s head of liquidity management. “Our PWP offering does not simply react to the stock's trading volume; it takes advantage of the opportunistic trading framework of our algorithmic suite, with the overarching goal of enhancing trade performance and beating the PWP benchmark.”
ITG's PWP algorithm is available via ITG's Triton execution management system (EMS) as well as other third-party EMS platforms and offers clients performance and analytics reports.