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More Information |
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NWT Financial at a glance |
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[PDF / 5 pages / 245 KB] |
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BOA EASE™
Algorithmic Trading |
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[PDF / 5 pages / 245 KB] |
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Principle Algorithms |
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Premier Block Trading |
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EASE™ Algorithm Profiles |
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InstaQuote E.A.S.E Algorithmic Trading
Suite |
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Ambush™ and Instinct™ strategies are
adaptive in nature and react to real-time
market conditions in unique ways. This
adaptive implementation leads to optimized
trading execution. First generation
strategies like VWAP and TWAP and second
generation strategies such as Arrival Price
and Departure Price™ use time bins to
pre-compute an execution trajectory.
These strategies do not adapt to changes in
price action, varying liquidity, or other
market conditions. Adaptive
Implementation strategies like Ambush and
Instinct adapt real-time, providing a
powerful new way too lower your execution
costs while simultaneously trading more
stock. |
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Ambush |
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You have 50,000 shares to sell in
a name that trades 420,000 per
day. you need to complete
the order immediately and you do
not want to 'show your hand' to
the market. Ambush takes
stock in waves while balancing the
speed of execution versus market
impact.
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Order Characteristics: |
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50,000 shares executed
(12% ADV) |
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8 second trade duration |
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99% interval volume |
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Implementation shortfall :
$0.00 |
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Instinct |
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You have 100,000 shares to buy in
a mid-cap name that trades 400,000
shares per day and your
instructions are to work the order
best way. Utilizing
implementation shortfall theory as
the foundation, Instinct will
adapt real-time to varying levels
to minimize slippage.
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Third-Generation Algorithms |
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Ambush™ (AMB) |
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is best used for orders where
both time and information
leakage are critical.
Ambush utilizes sophisticated
order placement techniques and
allows traders to choose their
urgency based on aggressive,
neutral and passive settings.
A high percentage of interval
volume is to be expected. |
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Instinct™
(INS) |
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adapts to real-time market
conditions. Instinct allows
a larger universe of stocks to be
traded in a consistent & proactive
manner. The algorithm
utilizes sophisticated order
placement and quantitative
liquidity analysis. Instinct
takes implementation shortfall
strategies to a new dimension. |
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Second-Generation Algorithms -
Implementation shortfall |
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Arrival Price (AP) |
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is a "master-balancer" of the
key variables associated with
"implementation shortfall":
market impact, volatility,
volume, spread, time and
return. The strike for
an AP order is the midpoint of
the bid/ask spread at the time
of its arrival. AP will
determine the optimal
execution time frame for each
order. |
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Departure Price (DP) |
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balances the joint effect of
market impact and price volatility
with respect to the departure
price. The order normally
arrives during the expected
completion day, and the strategy
optimizes the trading curve
between the arrival and end of
trade time. DP id designed
for any stock where your target
price is the departure price or
better. |
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First-Generation Algorithms - Time and
volume rules based |
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Target Volume (TVOL) |
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The TVOL determines completion
time of the order and price
based on market "ticks" or
volume. |
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Volume Weighted Average Price (VWAP) |
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The VWAP utilizes smart order
placement in conjunction with
sophisticated methods of
predicting volume for individual
securities. |
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Other first-Generation
Algorithms: |
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Time Weighted Average
Price (TWAP) |
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Market Call (MC) |
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Direct Market Access (DMA) |
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Scaling |
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will work your order at a baseline
participation rate depending on
your urgency level and will alter
the participation rate in
conjunction with price movements
away from the midpoint at the time
the order arrives. |
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InstaQuote, Ambush and Departure Price is a
service provided and owned by Banc of
America Securities LLC (BAS).
InstaQuote and the names of associated
services (such as EASE, Ambush, and
Departure Price) are trade/service marks of
BAS. *Text and images provided by BAS. |
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For complete details regarding
InstaQuote's powerful DMA platforms,
please contact an NWT representative
at 1.877.644.1112 or email us
at
info@nwtfinancialgroup.com. |
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*Text and images provided by Banc of America
Securities. |
NWT Financial Technologies
NWT Financial Market Technologies > BOA
Securities Algorithms 
