[ 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