Algorithmic Trading

Algorithmic Trading

Quick Reference to all Bernstein Algorithmic Trading Offerings:

Active Liquidity Aggregation

Ninja is designed to maximize liquidity access across all types of venues while controlling the level of information disseminated to the market. It will intelligently access visible quotes and hunt for hidden liquidity on exchanges, ECN's, and in Dark Pools.

Key Points:
  • Interaction with displayed liquidity is carefully controlled to reduce market impact; the precise rate can be capped by the user
  • Venue selection can be customized

Passive Liquidity Aggregation

Shadow is designed to take a more passive approach to liquidity aggregation, intelligently representing your order in Dark Pools and hunting for hidden liquidity between the spread on exchanges and ECN's.

Key Points:
  • Shadow will not post bid or offers 'out loud'
  • Shadow will not interact with visible top-of-book liquidity, thus preserving the picture in the stock
  • Venue selection is optimized to minimize opportunity cost and gaming risk
  • Types of venues accessed will vary with aggression levels
  • Venue choices can be customized

Two-Stage Customized Execution Schedule

Would-or-Work is designed to be aggressive within a narrow range of the strike price, then stay involved by working along with volume if the stock moves away.

Key Points:
  • Within the user-specified discretionary range, the order is treated as an 'I would' order and worked aggressively in both displayed markets and dark pools
  • Outside of this range the order will be worked along with volume; a 'max work rate' parameter is available to the user

Intelligently Work with Volume

Inline is designed to 'go with the flow', anticipating and adapting in real-time to the changing trading patterns in a stock to keep you involved in an intelligent way with a goal of beating the strike price.

Key Points:
  • Inline will become more active in a stock as prices get more favorable, and vice-versa
  • Dark pool usage is carefully managed with respect to stock price movement
  • Minimum and maximum participation rates can be specified

Implementation Shortfall

Price Capture balances the trade-off between market impact and market risk to minimize implementation shortfall, working an order around the strike price with a bias towards finishing sooner rather than later.

Key Points:
  • Dark pools are utilized to access hidden liquidity and shorten the trading period
  • Risk aversion level can be specified by the user
  • 'I would' level may be specified by the user

Target Percentage of Market Volume

Participate dynamically anticipates and adjusts to market activity to maintain the specified participation rate.

Key Points:
  • Rates of participation can be scaled with price movements in either a momentum or mean-reverting style
  • Strategy may lead or lag the target rate by a small percentage as it trades opportunistically
  • 'I would' level may be specified

Volume Weighted Average Price

VWAP is designed to spread an order out according to the expected volume pattern during the specified period with a goal of minimizing variance to the VWAP benchmark price.

Key Points:

  • Dark pools are utilized to enhance spread capture and improve performance
  • Dynamically reacts to current market conditions to determine trading activity
  • 'I would' level may be specified

Time Slice

TMX is designed to trade an order at a linear rate over the specified time period.

Key Points:
  • Dark pools are utilized to enhance spread capture and improve performance
  • 'I would' level may be specified

For additional details, please contact our trading desk at +1 212.823.2896.