Pre-built Algorithms of InfoReach TMS
Pre-built Algorithms of InfoReach TMS
InfoReach offers a variety of pre-built execution strategies that are included with the TMS “out of the box.” These algorithms offer several advantages to traders:
- By virtue of being integrated directly within the independent, broker-neutral InfoReach TMS, they reduce information leakage to third parties.
- Order reserve quantities are not disclosed, allowing traders to collaboratively work orders with the algorithms to improve the quality of execution.
- There is no commission associated with the usage of InfoReach’s pre-built algorithms.
InfoReach makes the source code of its algorithms available to its clients so they can easily customize the behavior of the algorithms, saving them the time and cost of developing their own algos from the ground up. Following is a brief overview of our popular strategies:
The ArrivalPrice algorithm executes normally as a FixedSlicer; however, if the price at the opposite side of the book is equal to or better than the specified arrival price, the algorithm will aggressively lift the opposite side orders not to exceed the target quantity. This is accomplished by sending an order where the price is set based on Buy->AskPx/Sell->BidPx and the order size is set based on Buy ->AskSize/Sell ->BidSize.
The AutoDesk algorithm accepts an inbound order via FIX and automatically releases 100% of the order to the market. Once the order is sent, the trader has the ability to modify/cancel the order. If modified, the trader will need to take control and trade the order manually from that point on.
The FollowVolume algorithm takes a target and executes it by dividing it into smaller sized orders. Orders are released as a function of traded volume accumulation over a given time interval.
The ForexHidden algorithm sends IOC Limit orders against every quote that is received from the FX data feed.
The ForexIntervalSlicer algorithm takes a target and executes it by dividing it into smaller sized orders. The slicer will not dynamically adjust any parameters in an attempt to finish by a designated time.
The goal of the MergerArb algorithm is to profit from the risk that an impending merger/acquisition might not close on time or at all. Because of this uncertainty, the participating companies will trade at a spread that is discounted from the tendered offer. As the date of the merger/acquisition becomes closer and the uncertainty of the deal closing diminishes, the discount will also proportionally diminish. In order to profit from the deal completing, the arbitrageur will purchase shares of the company being acquired while shorting shares of the acquiring company. Once the merger/acquisition is completed, the shares of the acquired company are exchanged for shares of the acquiring company. Profit is realized by selling the shares to cover the short position of the acquiring company.
The OrderAger algorithm is used to avoid specialist fees for an open order of a listed stock by cancelling the original order and issuing a replacement order.
The PricerAlgo algorithm is used to set and adjust the price of limit orders for the purpose of adapting to market movements. An order is assigned a starting price in accordance with an initial pricing rule that sets buy orders equal to the BidPX and sell orders equal to the AskPX. To get the order executed, the order price is adjusted toward an ending price, which is specified in a final price rule. By default, the final pricing rule is the AskPX for buy orders and the BidPX for sell orders.
How fast the order traverses from the starting price to the ending price depends on the aggressiveness lever, which is selected by the trader. The higher the aggressiveness level, the sooner the order will traverse the market spread within the designated time period. The lower the aggressiveness lever, the later the order will traverse the market spread within the time period.
The Slicer algorithm takes a target and executes it by dividing it into smaller sized orders. The slicer will not dynamically adjust any parameters in an attempt to finish by a designated time.
The TWAP algorithm takes a target and executes it over a predetermined interval by dividing it into smaller sized orders. The algorithm attempts to complete the target within the designated trading start time and end time by keeping the time between orders constant and dynamically adjusting the order sizes. The TWAP will make the best effort to release an order at the specified period; therefore depending on the RoundToLot setting, the algorithm may finish early.
The TimedSendWave algorithm allows the user to designate the time that the wave will be sent by using the TradingTimeStart field. The wave settings at the time the wave is sent will be used.
The VWAP algorithm releases the target quantity in smaller orders over a specified trading interval following a historical volume distribution for the given instrument.