[ A L G O R I T H M I C
T R A D I N G
S U R V E Y ]
Hedge fund 2019
Hedge fund 2018
Hedge fund 2017
Figure 6: Types of algorithms used (% of responses)
51.98
% Volume (participation)
Dark liquidity seeking
66.96
60.76
58.42
6.61
6.93
Implementation shortfall
(basket)
48.02
36.63
3.52
44.24
8.42
23.79
TWAP
29.21
28.91
VWAP
51.98
53.69
0.0
70.50
12.98
Implementation shortfall
(single stock)
Other
62.56
10.0
20.0
30.0
40.0
50.0
63.00
60.0
70.00
Issue 60 // TheTradeNews.com // 85