[ A L G O R I T H M I C
T R A D I N G
S U R V E Y ]
Long-only 2019
Long-only 2018
Long-only 2017
Figure 6: Types of algorithms used (% of responses)
60.92
59.55
62.3
% Volume (participation)
59.11
Dark liquidity seeking
54.27
Implementation shortfall (basket)
11.87
16.42
14.43
Implementation shortfall (single stock)
35.98
3.45
Other
72.08
45.32
48.69
6.3
0
21.51
TWAP
26
28.46
VWAP
55.69
57.07
Basket Close/Auction Algos
63.87
0.33
0
both saw significant increases (9%
and 8% respectively), while there
was also a 5% increase in the use
of dark liquidity seeking algos, up
to 59.11% of responses. While the
use of dark liquidity seeking algos
would take some time to reach the
heights it did in 2016, the introduc-
tion of the double volume caps for
dark pool trading doesn’t appear
to have dented appetite too much
in this area. VWAP algos were
the most popular choice among
long-only firms this year, with
63.87% of firms using this type, fol-
lowed by % volume (participation)
10
20
30
40
with 60.92% of responses.
As can be seen in the results for
the 13 profiled algo providers this
year, brokers have performed sig-
nificantly better than their banking
counterparts in the long-only sur-
vey, with only one bank earning an
average score of over 5.50. Clearly
the year after MiFID II implemen-
tation has been well spent by bro-
kers that have taken the opportuni-
ty to step up their product offering
to meet client requirements, while
banking institutions have struggled
to do the same, with some record-
ing significantly worse scores than
50
60
70
last year.
There is clearly much work for
some algo providers then to catch
their peers, while for others that
have scored well this year the focus
will be on bringing new innovations
to the algo trading table that will
push technology boundaries and
improve results for end users. The
question going forward is who will
be among those providers pushing
the envelope and who will be patch-
ing up the leaks as the industry con-
tinues to move further away from its
recent regulatory concentration.
Issue 59 // TheTradeNews.com // 79