[ A L G O R I T H M I C T R A D I N G S U R V E Y ]
ITG
ITG saw a slight increase in the percentage of responses from this year ’ s survey from long-only firms , putting it behind only Kepler Chevreux with 5.84 % of the total of long-only respondents . Despite the increase , respondents were generally more critical of ITG algos this year , with scores in nine of the 14 categories declining year-on-year . While there were no significant decreases in any of the areas reviewed , the same is true of those categories which recorded an increased score ; ITG ’ s cost , price improvement , customer support , dark pool access and smart order routing capabilities all saw a rise on last year ’ s results , but none by more than 0.2 year-on-year . The lowest score attributed to ITG by long-only respondents was for its crossing capabilities , which dropped to 5.19 in this year ’ s survey .
The majority of respondents for ITG manage over $ 50 billion in assets , with a similar number from the $ 10-50 billion bracket . Over one-quarter of respondents said their usage of ITG algos had stayed the same since last year , while the rest all indicated that usage had increased . Around one-third of respondents use additional algos alongside those from ITG for functionality such as implementation shortfall , cash balance baskets , artificial intelligence and greater customisation . However , over 40 % of long-only respondents said they are considering using other algo providers for reasons including more market structure commentary , finding liquidity outside the spreads and systematic internaliser volumes . Unsurprisingly , ITG ’ s Triton was the most used EMS among the vendor ’ s respondents , indicating this continues to be an important part of its business proposition .
ITG RATINGS FOR ALGORITHM PERFORMANCE 2018 2017
Improve trader productivity
Reduce market impact
Execution consistency Cost
Speed
Anonymity Price improvement
Customisation
Ease of use
Crossing
Customer support
Execution consulting
Dark pool access
Smart order routing capabilities
|
5.53
5.63
|
|
5.52
5.67
|
5.37 |
5.72 |
|
5.52
5.44
|
|
5.47
5.66
|
5.63 |
5.76 |
5.48 |
5.25 |
5.13 |
5.48 |
|
5.60
5.83
|
5.19 |
5.68 |
|
|
|
|
|
|
5.78
5.64
5.23 5.47
5.91
5.70 5.61
|
|
|
|
|
|
|
|
5.48 |
|
0.00 |
1.0 0 |
2.00 |
3.00 |
4.0 0 |
5.00 |
6.0 0 |
7.00 |
88 // TheTrade // Spring 2018