Commerzbank‘s algorithmic strategies

April 2021 in Meet the Algos
TWAP Advanced:

Enhanced user-definable order parameters that utilise both making and taking in internal and external liquidity sources against the time-weighted average price for a fixed time horizon. TWAP Advanced provides users with detailed control over the aggressiveness, notional splits, max spread, real-time strategy amends, and “I Would Price” to immediately execute outstanding notional.  The unique functionality offered in TWAP Advanced is the “I Would Price” feature which allows the user to aggressively take liquidity at an optimal level and Commerzbank’s proprietary activity signal, “IntelliVOL”, which dynamically increases or decreases the rate of execution based on the underlying market activity.


Tracer passively keeps the order in the market at a constant pegged distance. Users can define the distance from the market, visible quantity, and “discretion pips” when within the pegged distance.



Hunter is a combination of a sweep and a smart resting iceberg that will sweep available liquidity up to the limit price with any residual notional worked as resting iceberg. Additionally Hunter limits the amount of the order that is resting on external liquidity sources to reduce information leakage and market impact. It will take from internal and external liquidity sources if the price is within the “discretion pips” of the limit price.