[ I N - D E P T H
|
F O R E I G N
E X C H A N G E
A L G O R I T H M S ]
tion of algorithmic trading and
electronic trading platforms. FX
markets first adopted the basic
TWAP and VWAP algo trading
strategies from equities, but as the
arrival of multiple new FX execu-
tion platforms caused fragmenta-
tion in liquidity, second generation
algorithms were rapidly developed
to aggregate that liquidity across
numerous venues.
Although slightly late to the party,
BNP Paribas says it pioneered the
third generation of FX algorithms.
Razaq, who has been part of the FX
algorithmic trading team at BNP
2
SECOND GENERATION –
SMART ALGORITHMS
As FX markets become more
electronic and trading venues
multiply, the second-genera-
tion FX algorithms were de-
veloped to aggregate liquidity
in a more complex trading
environment.
1
FIRST GENERATION -
BASIC ALGORITHMS
Basic algorithmic trading
strategies in the form of
time-weighted average price
(TWAP) volume-weighted av-
erage price (VWAP) were the
first algorithms introduced in
FX trading, and were
inherited from the
equities world.
“It’s encouraging to see,
given my background and
that FX has historically been
an asset class with a lower
level of transparency, that
BNP Paribas have made a real
push with transparency.”
ADAM TOMS, OPENFIN
Issue 61 // TheTradeNews.com // 59