Calyon unveils algorithmic execution tools

Source: Calyon Financial

Calyon Financial today announced the introduction of eight new algorithmic execution tools exclusively available for the brokerage firm's clients.

The algorithms have been designed by Calyon Financial's industry-recognized Research Group to help clients minimize the market impact of their orders on many of the leading global futures contracts under a variety of market conditions and trading-day scenarios.

The algorithms are based on extensive testing and a comprehensive, historical market depth tick database on actively traded CME, CBOT, Eurex, Euronext.Liffe, ICE and MX contracts assembled by Calyon Financial. In addition to offering the eight algorithmic executions, Calyon Financial also can utilize the data to assist in addressing specific client queries on how best to work an order and to analyze how well a given algorithm has behaved after the trade has occurred.

Calyon Financial, a top-tier global brokerage firm that provides institutional clients with execution and clearing services on more than 70 financial and commodity exchanges, is an agency model brokerage and does not engage in proprietary trading. This provides clients with the added assurance that their trades, algorithmic or traditional, receive top priority and confidentiality.

With the new algorithmic offerings, Calyon Financial clients can now request that their orders be worked utilizing either a VWAP or TWAP strategy with four different execution tactics ranging from aggressive to patient for each strategy. Brief descriptions of the strategies and execution tactics are:

  • Volume Weighted Average Price (VWAP). VWAP seeks to match the volume weighted average price for a specified time period.
  • Time Weighted Average Price (TWAP). TWAP slices an order evenly over time.

Execution Tactics
  • VWAP/TWAP Type 1. Aggressive execution using market orders to achieve immediate fills.
  • VWAP/TWAP Type 2. Slightly less aggressive tactic that pegs limit orders at a specified price over the bid or below the ask.
  • VWAP/TWAP Type 3. Patient execution tactic that provides a "sticky" peg to the bid (if buying) or offer (if selling), allowing the client to be a provider of liquidity.
  • VWAP/TWAP Type 4. Highly patient execution tactic functions like the Type 3 tactic with an added conversion to a historical value if the order slice is not filled within a specified time.

    Calyon Financial clients utilizing these algorithmic strategies can send instructions to Calyon Financial via FIX or by the traditional methods of phone or e-mail.

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