算法交易策略 Algo Execution Strategies.pdf

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AlgoExecutionStrategies

VWAP

VWAPminimizesslippageagainsttheVolume-WeightedAveragePrice(VWAP)overauser-specifiedtime

horizon.Thestrategyexecutesproportionatelywithexpectedvolumeacrossthespecifiedhorizon,

monitoringproprietaryshort-termindicatorstooptimizeorderplacement.

Foreligiblesecurities,VWAPcanexecuteaBuybacktradewhileabidingbySECRule10b-18guidelines.

VWAPExample

Sell120,000sharesfrom10AMto3PMwitha$22.00limit.TrytomatchtheVWAPoverthisintervaland

don’tbemorethan10%ofthevolume.

WithVolume

WithVolumeparticipatesataspecifiedpercentageofactualvolumeinthemarket.Thestrategymonitors

shorttermindicatorstoopportunisticallyleadorlagthetargetrate.Italsoreactscarefullytoblockprintsor

flurriesofactivitytocontrolmarketimpactandinformationleakage.Configurabledarkaccessisalso

availablefromthestrategy.

WithVolumeExample

Buy100,000shareswitha$31.50topfrom10AMto3PM.Worktheorderatabout25%ofthevolume.

TWAP

TWAPminimizesslippageagainsttheTime-WeightedAveragePrice(TWAP)inthemarketoverauser-

specifiedtimehorizon.Thestrategyexecutesevenlyacrossthespecifiedhorizon,monitoringproprietary

short-termindicatorstooptimizeorderplacement.Configurabledarkaccessisalsoavailablefromthe

strategy.

TWAPExample

Buy60,000shareswithan$11top.Spreaditevenlyfrom10AMto3PM.

file:///C|/...s/Administrator/桌面/VisionFinancialMarkets-Futures,SecuritiesOptionsBrokerage,ClearingTechnology.htm[2011-2-1613:48:04]

TargetStrike

TargetStrikeminimizesimplementationshortfall(slippageagainstthearrivalprice).Thestrategycalculates

anoptimaltradehorizontobalancepriceimpactagainstpriceriskandthentradesoverthishorizon,

matchingorderstoexpectedliquidity.Configurabledarkaccessisalsoavailablefromth

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