[ A L G O R I T H M I C
T R A D I N G
S U R V E Y ]
[ A L G O R I T H M I C
Liquidnet
T R A D I N G
S U R V E Y ]
Mirabaud Securities
L
iquidnet saw a marginal increase in the percentage
of responses it received from hedge fund firms in
this year’s survey, with around one-third of respon-
dents managing $10-50 billion in AuM. Liquidnet
recorded a varied set of results in this year’s survey,
with some significant year-on-year fluctuations. The
firm received an average score of 5.33, one of the
hedge fund survey’s lowest average scores, although
this represented only a minor decrease from last
year’s survey. Hedge fund respondents handed out the
lowest scores to Liquidnet of all profiled providers
in six of the 15 areas of performance under review in
this year’s survey: cost (5.18), speed (4.91), customi-
sation (4.74), dark pool access (5.23), flexibility and
sophistication of smart order routing (5.23) and algo
monitoring capabilities (5.03). Liquidnet’s poorest
area of performance year-on-year was clearly in the
dark pool access category, which scored significantly
lower than in last year’s survey, falling from 6.24 in
2018 to 5.23 in this year’s survey. However, there were
also noticeable areas of improvement for Liquidnet
compared to last year, with year-on-year increases in
the reducing market impact (up 0.32), cost (up 0.69),
price improvement (up 0.58), and customer support
(up 0.32) categories.
LIQUIDNET RATINGS FOR ALGORITHM PERFORMANCE
M
irabaud Securities is a new entry for this year’s
hedge fund algo trading survey, garnering a
respectable percentage of responses, with only four
of the profiled providers attracting higher. Respon-
dents for Mirabaud Securities were primarily from the
small to mid-cap AuM brackets, with only two firms
managing more than $10 billion of assets. Mirabaud
Securities produced a strong showing according to
hedge fund respondents this year, attaining an average
score of 6.01, well above the survey average of 5.72,
representing the third-highest average score of all
profiled providers. The broker scored higher than any
other provider in five of the 15 areas of performance
under review in this year’s survey: ease of use (6.16),
customer support (6.34), execution consulting (6.18),
dark pool access (6.37) and data on venue/order rout-
ing logic or analysis (6.31). Mirabaud Securities also
received a score of over 6.0 in the increasing trader
productivity (6.07) and algo monitoring capabilities
(6.03) categories. The firm’s lowest score was in the
speed category (5.60), although this still represents a
respectable performance. The challenge for Mirabaud
Securities will now be maintaining, or improving,
these scores in next year’s survey.
MIRABAUD RATINGS FOR ALGORITHM PERFORMANCE
Increase trader
productivity Reduce market
impact Execution
consistency Cost Speed Anonymity Price
improvement Customisation Increase trader
productivity Reduce market
impact Execution
consistency Cost Speed Anonymity Price
improvement Customisation
5.65 6.16 5.35 5.18 4.91 5.75 5.63 4.74 6.02 5.96 5.93 5.98 5.60 5.95 5.88 5.64
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 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
5.28 5.76 5.28 5.23 5.23 5.03 4.82 5.33 6.16 6.34 6.18 6.37 5.88 6.03 6.31 6.01
KEY STATS
KEY STATS
6.16 4.74 40% 6.37 5.60 64%
Highest score
(reduce market impact) Lowest score
(customisation) Most popular non-equity asset
traded via algo by respondents:
Exchange-traded funds Highest score
(dark pool access) Lowest score
(speed) Most popular non-equity asset
traded via algo by respondents:
Exchange-traded funds
+0.69 -1.01 47% N/A N/A 43%
Most improved
year-on-year score
(cost) Least improved year-on-year score
(dark pool access) Most used algo
performance measurement
method: Implementation
shortfall TCA Most improved
year-on-year score Least improved
year-on-year score Most used algo
performance measurement
method: VWAP TCA
94 // TheTrade // Summer 2019
Issue 60 // TheTradeNews.com // 95