Small-order algo adapts “hands-free” to volatility

US-based agency broker and trading technology provider ConvergEx has added predictive functionality to its algorithm for trading small orders.
By None

US-based agency broker and trading technology provider ConvergEx has added predictive functionality to its algorithm for trading small orders. The new version of IQx includes volume and price prediction engines that automatically adapt orders to prevailing market conditions, for example by adjusting trading speed in accordance with changing risk factors throughout the day. ConvergEx said the decision engines are designed to work best for orders that are less than 5% of a stock’s daily average volume.

Scott Daspin, managing director, global electronic sales, said the upgrade responded to demand from both large asset management and quantitative clients.

“We built this technology to help give clients a hands-free tool to automatically manage these orders, while achieving price improvement. Trading small orders has become increasingly complicated, so the new logic built into IQx automatically determines how fast or slow to trade an order and whether or not to be in the non-displayed markets in order to trade these orders in the most intelligent way possible,” he said.

According to Gary Ardell, head of ConvergEx’s financial engineering and advanced trading solutions group, the algorithm “reads” the market for each order to provide the trader with a view of expected momentum, printing behaviour, volatility and volume. “Because tick increment, trading volumes and regulations vary greatly between various global markets, we also built specific market data into the new IQx so that it knows how a small order should be traded in each individual global market,” he said.

IQx is available to clients via third-party order and execution management systems as well as ConvergEx’s own electronic trading and high-touch execution desks. The algorithm can be customised to clients’ individual trading styles, but can also be monitored by ConvergEx staff who will alert the user, for example in the event of an order trading outside pre-set parameters or in the event of market volatility.

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