"As a leading execution agent on 60 exchanges with cutting edge Smart Order Router (SOR) technology, we believe that it is very helpful for us to analyse and illustrate trends and opportunities through our quantitative research capability. This analysis provides our clients with an independent and expert insight into the evolution of liquidity across exchanges", comments Jerry Lees, Head of Alternative Execution Services, CA Cheuvreux.



"In this issue, we examine the advent of new trading destinations such as Chi-X under volatile market conditions and how investors can benefit from using Smart Order Routing to minimise market impact", adds Ian Peacock, Head of Alternative Execution Services US and CEO of CA Cheuvreux North America.



Now that Chi-X has been live long enough to assert its efficiency as a trading destination, the report observes that as the availability of new trading destinations increases, the optimal way to trade changes. Investors are well advised to utilise SORs and trading algorithms, such as the solutions offered by CA Cheuvreux, that are best adapted to these changes.



The report concludes that the well known strategy of using trading algorithms to optimise the execution of large orders by slicing them in volume-indexed intervals, now has a cross-exchange equivalent: optimal slicing across trading destinations, taking into account investors' risk aversion. This trading approach will have to be adapted to the rate of change in the European landscape which, to-date, has developed later than in the US and is likely to have fewer ultimate destinations.