Managing Data Around Order Routing and Execution – An Examination of Transaction Cost Analysis (TCA) for Equities, Fixed-Income and ETFs

CUSTOMIZATION

GLP utilizes a collaborative approach when designing customized client solutions. We work with our clients to understand their trading needs when creating bespoke algorithms and then conduct detailed analysis to modify strategies as needs and markets evolve. GLP’s flexible architecture enables customizations to be deployed quickly, in real-time or within days.

EQUITY ALGORITHMS

VWAP: Volume Weighted Average Price uses dynamic volume profiles to achieve the volume-weighted average price.

TWAP: Time Weighted Average Price equally distributes the order volume over the desired period of time.

POV: Percentage of Volume is a liquidity-seeking participation strategy. The algorithm tracks volume and executes the order at the prescribed rate.

Dark: Dark seeks liquidity in non-displayed venues, the strategy has the ability to source liquidity anywhere in between the NBBO using a combination of pegging, posting, sweeping, and conditional order types.

Liquidity Seeker: Liquidity Seeker is an aggressive algorithm that snapshots the depth of market and polls and displayed and non-displayed venues with orders that both actively and passively seek liquidity.

10b-18: Our Corporate Buyback Utility assists the trader in governing the execution of a corporate buyback by conforming to the price and timing rules set by the SEC’s Rule 10b-18 safe harbor. 10b-18 rules can be activated within our VWAP, TWAP, and POV algorithms.

Auto AP: Auto AP Price allows user-defined layering of multiple strategies and participation rates around trader-defined prices. The algorithm tracks the current price and compares it to the various associated prices (arrival price, decision price, and own it price) and changes to the appropriate strategy.

ROUTING

GLP leverages best in breed technology when accessing venues
GLP has developed an extensive rules-based logic within its child order placement and execution
GLP conducts extensive venue microstructure analysis to optimize interactions at each venue

INFRASTRUCTURE

Global Liquidity Partners provides network and hardware resiliency in a low latency environment via redundant systems co-located in major financial data centers around the New York metropolitan area. This topology is designed to minimize latency and includes redundancy to mitigate the impact of a hardware or data center failure.

GLP’s decision engine runs under the Linux operating system on the latest multi-core, multiprocessor, enterprise-grade servers, delivering maximum reliability and processing throughout for all automated functions.

GLP utilizes a combination of experienced technologists and proprietary and commercial tools to monitor and maintain system health and provide a smooth trading experience.

VENUE ANALYSIS

GLP deploys holistic and dynamic analysis on a per order and aggregate basis that takes into account multiple factors including:

Fill Rate
Speed
Toxicity
Reversion

DATA-DRIVEN

GLP uses real-time and historic data dynamically in its algorithms and routing logic to improve performance throughout the day. GLP deploys proprietary signals in its dynamic curves and DDR and is driving towards more sophisticated data usage. These innovative methods allow us to incorporate new signals into our routing and algorithmic design.

Insights

03 Jun Managing Data Around Order Routing and Execution – An Examination of Transaction Cost Analysis (TCA) for Equities, Fixed-Income and ETFs

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