RBC Capital Markets launches second algorithm on AI-based electronic trading platform

The new algorithm uses machine learning to continuously assess market information in real-time, building on the success of the platform’s first VWAP algo, launched in 2020.

RBC Capital Markets has launched a second algorithm on Aiden, its proprietary AI-based electronic trading platform, designed to help measurably improve trading results. The new algo, Aiden Arrival, builds on the success of the platform’s first solution, a volume-weighted average price (VWAP) algorithm aiming to reduce price slippage and offer an expanded action set to improve clients’ trading performance.

The electronic trading platform, first launched in October 2020 , uses deep reinforcement learning processes to adapt to changing market environments and improve trading results based on live market data. It was developed over five years by traders and AI scientists at RBC and Borealis AI, a research and development centre created by RBC which opened its Toronto lab in June 2017.

Its latest algorithm leverages more than 300 data inputs, combinations of actions, and post-execution optimisation to solve for the arrival price challenge and reduce slippage, using deep reinforcement learning to gain experience in real-time, and learning how to trade better over hundreds of thousands of decisions – according to Jas Sandhu, global head of agency electronic solutions at RBC Capital Markets. It works to explore new trading relationships within the prevailing market conditions and guardrails by continuously assessing market information to dynamically control multiple aspects of every action throughout the order lifecycle.

“Since launching the Aiden platform… we partnered closely with clients to develop a more holistic tool for primary benchmarks and solve for greater simplicity,” Bobby Grubert, head of digital solutions and client insights at RBC Capital Markets, said. “The launch of Aiden Arrival signals an important milestone in the expansion of our innovative Aiden trading platform. Together with Aiden VWAP, this is just the beginning of the full opportunity for clients to have better performing trading tools.”

The Aiden trading platform is part of a broader long-term strategy from RBC to leverage and develop the potential of AI for its clients. “[The Aiden platform] was a big scientific milestone that demonstrated how a brand-new AI technology could succeed in extremely complex environments,” noted Dr Foteini Agrafioti, chief science officer at RBC and Head of Borealis AI.

“RBC is reimagining the future of financial services, with a focus on anticipating client needs and solving for them in innovative ways,” added Grubert, who confirmed “significant investment” from RBC in new technologies, including AI.

“We are making tremendous strides to bring more insight and value to clients and communities to help power their ambitions.”