SINGLE STOCK ALGO STRATEGIES
By Nasdaq Exchange And Clearing Services AB
STRATEGY
TWAP
Time
Weighted
Average
Price
VWAP
Volume
Weighted
Average
Price
PVOL
Participate
of volume
DESCRIPTION
Executes desired
quantity at a
constant rate
over a userdefined interval
Creates a
pre-trade
schedule based
on multiple
historical
volume patterns
and targets
the volume
weighted
average price
Tracks and
reacts to realtime market
volumes
to target a
user-defined
participation
rate or
participation
range
TRADING INSTRUCTION
Spread volume evenly
out over the day/
number of hours
Match the volumeweighted average price
over the day/number
of hours (MTF volume
included on routable
stocks)
Be X percent of the
volume traded on all
supported venues (MTF
volume included on
routable stocks)
%VOLUME
OVER TIME
MIN ALGO
ORDER PARAM
Quantity and
Price
Quantity and
Price
Quantity and
Price, Target %
Vol (will allow
a deviation of
+/- 3% from the
entered value)
OPTIONAL BASIC
ALGO PARAM
OPTIONAL INTERMEDIATE ALGO PARAM
OPTIONAL ADVANCED ALGO PARAM
Start and End
time, OnOpen
and OnClose
participation
(AUTO = Algo
decides)
Min and Max % Vol (% limit on traded
volume participation, can override strategy
behavior), Block Filter (If single block trade
at or greater than this volume then ignore
it - do not chase that volume - can be used
in combination with Min and Max % Vol),
I Would Price (price you would complete
entire order, or portion), can override
strategy behavior)
Dynamic Benchmark (select benchmark
(Arrival Price, Ref Price) to govern
dynamic behavior to decide if you want
to be aggressive in the money or out of
money within the bounds of the strategy),
MinChild Value (the smallest value of
an Algo child order sent to the market overrides Algo syntetic lot size), Clean up
remaining quantity on parent order by
activate “Clean up” behavior (complete the
order earlier than end time)
Start and End
time, OnOpen
and OnClose
participation
(AUTO = Algo
decides)
Min and Max % Vol (% limit on traded
volume participation, can override strategy
behavior), Block Filter (If single block trade
at or greater than this volume then ignore
it - do not chase that volume - can be used
in combination with Min and Max % Vol),
I Would Price (price you would complete
entire order, or portion), can override
trategy behavior)
Dynamic Benchmark (select benchmark
(Arrival Price, Ref Price) to govern
dynamic behavior to decide if you want
to be aggressive in the money or out of
money within the bounds of the strategy),
MinChild Value (the smallest value of
an Algo child order sent to the market overrides Algo syntetic lot size), Clean up
remaining quantity on parent order by
activate “Clean up” behavior (complete the
order earlier than end time)
Min and Max % Vol (% limit on traded
volume participation, can override strategy
behavior), Block Filter (If single block trade
at or greater than this volume then ignore
it - do not chase that volume - can be used
in combination with Min and Max % Vol),
I Would Price (price you would complete
entire order, or portion)
Dynamic Benchmark (select benchmark
(Arrival Price, Ref Price) to govern
dynamic behavior to decide if you want
to be aggressive in the money or out of
money within the bounds of the strategy),
MinChild Value (the smallest value of
an Algo child order sent to the market overrides Algo syntetic lot size), Clean up
remaining quantity on parent order by
activate “Clean up” behavior (complete the
order earlier than end time)
Start and End
time
LEGAL DISCLAIMER
Nasdaq Exchange and Clearing Services AB is a non-regulated entity and is not offering any investment firm services. The use of the Algo strategies is at the Customer’s sole risk and that the Customer makes its own independent decision to access or use any
of the Service or to execute any Order or transaction. While this fact sheet has been prepared on the basis of the best information available, Nasdaq Exchange and Clearing Services AB accepts no liability for decisions taken based on this document.
BUSINESS.NASDAQ.COM
STRATEGY
IMSH
Implementation
shortfall
CLOS
Close
Algorithm
DESCRIPTION
TRADING INSTRUCTION
Minimizes riskadjusted trading
costs relative to
the arrival price
and dynamically
adjusts
aggression as
a function of
real-time market
conditions
relative to
a chosen
benchmark
Be as close to the
arrival price as possible
and adjust aggression
in response to market
conditions. This front
weighted trajectory
tends to result in an
average execution price
close to the arrival
price while minimizing
implementation
shortfall.
Minimizes riskadjusted trading
costs relative to
the closing price
(last price traded
by the Algo) of
the stock.
Be as close to the
price of the trade’s
completion while
minimizing costs. CLOS
is the mirror of the
IMSH. Here the trader
is more concerned
about the end part of
the trade, and the goal
is to try to beat the
closing price. Typically
entered 20 minutes
before closing auction.
A part of the trade
should participate in
the closing auction.
%VOLUME
OVER TIME
MIN ALGO
ORDER PARAM
Quantity and
Price
Quantity and
Price
OPTIONAL BASIC
ALGO PARAM
OPTIONAL INTERMEDIATE ALGO PARAM
OPTIONAL ADVANCED ALGO PARAM
Start and End
time, OnOpen
participation
(AUTO = Algo
decides)
Min and Max % Vol (% limit on traded
volume participation, can override strategy
behavior), Block Filter (If single block trade
at or greater than this volume then ignore
it - do not chase that volume - can be used
in combination with Min and Max % Vol),
I Would Price (price you would complete
entire order, or portion), Aggression
(1=market impact is highest concern
(flatter trade trajectory); 5= price drift is
highest concern (more front weighted trade
trajectory))
Dynamic Benchmark (select benchmark
(Arrival Price, Ref Price) to govern
dynamic behavior to decide if you want
to be aggressive in the money or out of
money within the bounds of the strategy),
MinChild Value (the smallest value of
an Algo child order sent to the market overrides Algo syntetic lot size), Clean up
remaining quantity on parent order by
activate “Clean up” behavior (complete the
order earlier than end time)
Start and End
time, OnClose
participation
(AUTO = Algo
decides)
Min and Max % Vol (% limit on traded
volume participation, can override strategy
behavior), Block Filter (If single block trade
at or greater than this volume then ignore
it - do not chase that volume - can be used
in combination with Min and Max % Vol),
I Would Price (price you would complete
entire order, or portion), Aggression
(1=market impact is highest concern
(flatter trade trajectory); 5= price drift is
highest concern (more backweighted trade
trajectory))
Dynamic Benchmark (select benchmark
(Arrival Price, Ref Price) to govern
dynamic behavior to decide if you want
to be aggressive in the money or out of
money within the bounds of the strategy),
MinChild Value (the smallest value of
an Algo child order sent to the market overrides Algo syntetic lot size), Clean up
remaining quantity on parent order by
activate “Clean up” behavior (complete the
order earlier than end time)
LEGAL DISCLAIMER
Nasdaq Exchange and Clearing Services AB is a non-regulated entity and is not offering any investment firm services. The use of the Algo strategies is at the Customer’s sole risk and that the Customer makes its own independent decision to access or use any
of the Service or to execute any Order or transaction. While this fact sheet has been prepared on the basis of the best information available, Nasdaq Exchange and Clearing Services AB accepts no liability for decisions taken based on this document.
BUSINESS.NASDAQ.COM
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