[ A L G O R I T H M I C T R A D I N G S U R V E Y ]
Barclays
British bank Barclays gained an impressive 40 basis points in this year ’ s survey , increasing its average score for long-only responses from 5.49 in 2020 up to 5.90 in 2021 . In March of 2020 , Barclays migrated its electronic coverage desk to working from home and reported that the stability of their platform during this period gave clients confidence in BARX Electronic Trading , increasing European market share by over 30 % from Q1 to Q4 2020 . Barclays achieved significant year-on-year increases in anonymity (+ 0.83 ), increased trader productivity (+ 0.71 ), reduced market impact (+ 0.59 ) and customer support (+ 0.55 ). Barclays ' continued investment in its algorithmic trading services is reflected in the bank ’ s average score of 5.90 , coming in at 9 basis points above the overall survey average and outperforming in 14 of the 15 categories under review . “ Within equities , we have invested heavily in our statistical modelling and development team in order to focus and deliver performance based solutions for clients ”, Barclays notes in its provider submission to the survey . In addition , the bank continues to invest in their FX platform , providing “ a wider scope of FX algos and are focusing on delivering new execution strategies including implementation shortfall ". It would seem Barclays ’ efforts are being recognised by clients , as aspect of service such as customer support , assess to dark pools and increased trader productivity scored particularly highly at + 0.31 , + 0.17 and + 0.17 points above the category average respectively . BARX offers algorithmic trading services across all asset classes throughout Europe , North America and APAC . The platform supports a healthy range of core algorithms , including alternative liquidity seeking , iceberg , implementation shortfall , market on close , market at open , peg , percentage volume , TWAP , VWAP , target close , and pairs . To measure algo performance , long-only clients of Barclays responding to this year ’ s survey used implementation shortfall TCA , VWAP TCA and liquidity capture .
Sixty-one percent of long-only respondents using Barclays trade at least 50 % of their portfolio algorithmically . A quarter of the respondents represent managers with US $ 50 billion or more in AUM . Additional features requested by clients include “ more automated principal liquidity ”, “ smart / auto auction engagement ”, “ implementing existing algos with market conditions and IF scenarios ” and “ dynamic volume participation with opportunistic dark liquidity sourcing ". As the firm continues to invest in its algorithmic trading service there is particular attention on enhancing Hydra , the firm ’ s dark liquidity-seeking algorithm and increasing development in data products for rates and credit .
BARCLAYS RATINGS FOR ALGORITHMIC PERFORMANCE
Increased trader productivity |
Reduced market impact |
Execution consistency |
Cost Speed Anonymity Price improvement Customisation |
6.14 5.82 5.91 5.78 5.90 6.00 5.71 5.72
Ease of use |
Order routing logic / analysis |
Customer support |
Execution consulting |
Dark pool access |
Flexibility and sophistication of SOR |
Algo monitoring |
Average score |
6.09 5.71 6.32 5.61 6.09 5.92 5.71 5.90
KEY STATS
6.32 Highest score
( customer support )
|
5.61 Lowest score ( execution consulting ) |
0.83 Most improved ( anonymity ) |
0.10 Least improved ( customisation ) |
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Issue 67 // thetradenews . com // 79 |