RT Journal Article
SR Electronic
T1 Application of Order Awareness Technology in<br/> Algorithms for the Buy Side
JF Trading
FD Institutional Investor Journals
SP 59
OP 62
VO 2011
IS 1
A1 Joseph Wald
YR 2011
UL http://guides.pm-research.com/content/2011/1/59.abstract
AB Increased high-frequency trading, market fragmentation and competition for liquidity, as well as a decrease in the availability of natural liquidity, have impacted the buy-side trader’s ability to minimize execution costs and, ultimately, the portfolio manager’s returns. Algorithmic technology developed by the industry to date has addressed some of these issues by routing orders to venues based on how the orders are moving through the marketplace. “Order awareness” technology improves upon existing algorithms by gathering feedback not only on the order in question but also on how other orders are responding to market conditions in real time. Key to the effectiveness of order awareness is the liquidity resident within the algorithmic provider, increasing the ability to find the contra-side of the trade. Ultimately, order awareness provides additional opportunities for price improvement and reduced market impact.