Execution Algos 2017-09-11T13:24:18+00:00

Execution Algos

SpiderRock offers a variety of execution algorithms designed to immediately
access public and dark liquidity or alternatively work public and private orders
over time to find counter-parties inside of the public markets.

All algorithms are aware of exchange fees and will route to best available
markets automatically where possible. The diagram below shows the basic
mechanisms of an algorithm within the SpiderRock execution engine.

exection-algo-desk

We engineer solutions that enable our clients to scale their strategies while controlling risk

SPIDERROCK ALGO ENGINE FEATURES

SpiderRock accepts complex parent orders with a wide range of parameters that control the creation and life of child orders allowing users to express how passively or aggressively they would like their orders to interact with the market.

SMART ROUTING / MARKET SWEEPING

SpiderRock offers smart order routing with automatic synchronized sweeping of public exchanges for all US equity and equity option markets.

ADVANCED LIMIT ORDERS

SpiderRock algo engines can accept traditional limit orders with a static price as well as orders with dynamic limits that automatically cancel and replace their associated children as related markets change.

ACTIVE MAKING & TAKING

SpiderRock algos can either actively post child orders in public exchange books or passively wait for preset trigger/limit conditions before sending marketable orders.

SPIDERROCK ALPHA PROBABILITIES

SpiderRock computes alpha probabilities levels (estimated probability of positive P&L a short time after execution) that can be used as either primary or secondary limits in active making and taking algos.

ORDER BASKET RISK CONTROLS

Orders can be organized into baskets with active risk limits that constrain child order generation. These risk controls enable orders to safely and simultaneously interact with multiple markets in order to maximize liquidity access and execution performance.

STAGED / WAIT START ORDERS

Clients can submit staged orders that are then available to designated client traders for markup and release. This allows firms to maintain centralized risk and compliance control and also access advanced SpiderRock execution algos without needing to integrate complex and interactive order entry tickets into 3rd party or proprietary OMS/EMS systems.

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