What impact can the time of day have on FX liquidity and how much relevance does this have for algorithmic trading? Time of day can have a significant impact of the performance of execution algorithms, the FX market is OTC and for the majority of algorithmically tradable currency pairs the market is open 24/5 so […]
Pete Eggleston, Co-Founder of BestX, focuses on algo selection in the pre-trade process and how analytics, data and technology can help simplify this operation.
Using price limits with execution algorithms has been a somewhat contentious subject. While limits can be used for risk management purposes or substantiated by market insight on the execution horizon,
Volume Weighted Average Price (VWAP) is a common benchmark in equities or futures markets, but utilised less frequently in spot FX trading. It is the best benchmark to answer the question; where has the market been trading during the execution interval? In the absence of any other trading constraints, and without significant market impact, executing close to where the market has traded is a reasonable outcome for many asset managers. This article gives an overview of VWAP algos and how they can be useful in spot FX.
Stephane Leroy, Chief Revenue Officer, at QuantHouse explores why FX trading is on the verge of change and why historical data on-demand is key to modelling and testing algorithmic FX trading strategies going forward.
Capital markets are like Lake Wobegon: everybody is above average. Every active investor thinks their forecast is better than the market consensus. Every algo trader thinks their orders are not being picked off. Every risk manager thinks their model is more robust than anyone else’s.
The class of Passive algos ranges from mechanical floating algos to those with sophisticated order working and microstructure models. They are used across most client segments, although how they are used can vary. Less experienced traders might simply be looking at an algo which captures spread in any market condition. However, more active algo traders include passive algos as a tool alongside other execution methods. This article will discuss passive algo execution and the benefits and pitfalls when using this class of algo.
Terminology around Machine Learning (ML) and especially Artificial Intelligence (AI) is typically quite loose which leads to confusions. Therefore, it is important to provide ….
FX Algo usage has been growing steadily over the last several years driven by a number of factors. Those factors arguably include: