[ A L G O R I T H M I C
T R A D I N G
S U R V E Y ]
RBC Capital Markets
R
participant funds trade 50% or more of their portfolio
BC Capital Markets (RBC) is headquartered in Toron-
using RBC’s algorithms. More than one-quarter (26%) of
to and has 70 offices located in 15 countries world-
RBC’s clients represented in this survey manage US$50
wide. The bank’s global Electronic Trading team comprises
billion or more. The company is tied for first place in
of traders, quantitative developers, and market specialists.
the price improvement category (6.00) and ranks sec-
THOR is RBC’s smart order routing technology designed
ond-highest in speed (6.03), customization (6.05),
to improve execution quality, minimise informa-
execution consulting (5.79), flexibility and so-
tion leakage, and control trading costs. THOR
phistication of smart order routing (6.04), and
interacts with RBC’s algorithm suite as well as
Average
algo monitoring capabilities (5.93). RBC ranks
DMA orders, cash desks, and program trades.
Score
third in ease of use (6.16, its highest score),
RBC receives 21 responses from long-only
data on venue/order routing logic or analysis
fund participants, ranking 13th among algo
(5.80), and average score (5.94). Its lowest
providers. The company was not profiled in
score is for cost (5.77).
last year’s survey report. Fifty-four percent of
5.94
RBC CAPITAL MARKETS RATINGS FOR ALGORITHM PERFORMANCE
Increased trader
productivity Reduced market
impact Execution
consistency Cost Speed Anonymity Price improvement Customisation
5.92 5.82 5.98 5.77 6.03 5.80 6.00 6.05
Ease of use Data on venue/order routing
logic or analysis Customer
support Execution
consulting Dark pool
access Flexibility and sophistication of
smart order routing Algo monitoring
capabilities
6.16 5.80 6.15 5.79 5.95 6.04 5.93
KEY STATS
6.16 5.77 0.44 -0.20
Highest score
(ease of use) Lowest score
(cost) Most improved
(dark pool access) Least improved
(cost)
92 // TheTRADE // Spring 2020