Implementation shortfall
6.93
(basket) 12.98
Implementation [ shortfall
A L 36.63
G O (single
R I T H stock)
M 44.24
I C T R A D I N G S U R V E Y ]
Other
8.42
0
TWAP
29.21
28.91
VWAP
51.98
53.69
Figure 6: Types of algorithms used (% of responses)
Hedge funds 2018
Hedge funds 2017
51.98
% Volume (participation)
60.76
58.42
Dark liquidity seeking
70.5
6.93
Implementation shortfall (basket)
12.98
36.63
Implementation shortfall (single stock)
44.24
8.42
Other
29.21
28.91
TWAP
51.98
53.69
VWAP
0
coming to market, although hedge
fund respondents were reticent
to provide details on what sort of
algos these may be.
Ultimately there are some
overlaps between long-only and
hedge fund algorithmic trading
during the nascent stages of MiFID
II; there is an increasing appetite
for algos that are consistent and
simple to use, and hedge funds in
particularly seem to have grown far
more confident in using automated
trading strategies for higher levels
of value than they have in the past.
10
20
30
40
Whether hedge funds continue to
engage with as many algo providers
going forward remains to be seen,
but the onus is now firmly placed
on the sell-side to outperform
and meet the increasing expecta-
50
60
70
80
tions of their clients in what will
surely be an ongoing evolution to
the markets, as life under MiFID
II becomes less about regulatory
compliance and more about getting
the best returns possible.
The TRADE would like to thank all of the buy- and sell-side firms that
took part in this year’s survey. As always, we encourage as many firms
as possible to take part as possible and to get their clients involved. In
the autumn 2018 edition of The TRADE we will publish the results of this
year’s Execution Management System (EMS) Survey.
Issue 56 // TheTradeNews.com // 79