The TRADE 63 - Q1 2020 | Page 92

[ 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