The TRADE 59 - Q1 2019 | Page 89

[ A L G O R I T H M I C T R A D I N G S U R V E Y ] Liquidnet L iquidnet recorded a slight increase in the percent- age of responses it received from long-only buy- side firms in this year’s survey. Over three-quarters of long-only respondents for Liquidnet manage more than $10 billion of assets. Liquidnet recorded a number of fluctuating scores from long-only respondents in this year’s survey, both positively and negatively, although the overall results largely balanced out, as the firm’s average score remained consistent with last year, dipping just 0.03 to 5.60 – this was, however, below the long-only survey average of 5.76. There were negligible movements to scores in the increasing trader productivity, reduc- ing market impact, execution consistency, speed and flexibility and sophistication of smart order routing. Liquidnet recorded year-on-year improvements in the cost (up 0.27), price improvement (up 0.36) and customer support (up 0.27) categories. Meanwhile, there were year-on-year decreases in the anonymity (down 0.36), ease of use (down 0.22) and dark pool access (down 0.34) categories. Liquidnet also received two of the lowest scores for profiled providers – 5.33 in the speed category and 5.03 for data on venue/order routing logic or analysis, one of the two new categories introduced in this year’s survey. LIQUIDNET RATINGS FOR ALGORITHM PERFORMANCE Increase trader productivity Reduce market impact Execution consistency Cost Speed Anonymity Price improvement Customisation 5.79 6.09 5.60 5.19 5.33 5.91 5.88 5.16 Ease of use Customer support Execution consulting Dark pool access Flexibiltiy and sophistication of smart order routing Algo monitoring capabilities Data on venue/order routing logic or analysis Average score 5.83 6.11 5.52 5.81 5.38 5.37 5.03 5.60 KEY STATS 6.11 5.16 44% Highest score (customer support) Lowest score (customisation) Most popular non-equity asset traded via algo by respondents: Listed derivatives +0.36 -0.36 68% Most improved year-on-year score (price improvement) Least improved year-on-year score (anonymity) Most used algo performance measurement method: Implementation shortfall TCA Issue 59 // TheTradeNews.com // 89