[ A L G O R I T H M I C
T R A D I N G
Fig 6: Type of algo used (% of responses)
S U R V E Y ]
2015
2016
2017
% Volume
(Participation)
79.1
59.3
52.90
69
Dark Liquidity
Seeking
Implementation
Shortfall (Basket)
81.9
79.90
23.4
11.1
13.90
48.1
Implementation
Shortfall
(Single Stock)
58.1
57.80
3.6
Other
0.00
0.00
23.4
12.7
TWAP
16.30
50.20
VWAP
43.70
48.70
0 10 20 30 40 50 60 70 80 90
Issue 51
TheTradeNews.com
75