Trading strategies & algorithms.
Algo selection ranges from single outright to multi-leg execution — benchmark, volume-contingent, participation-based, or time-contingent — and asset-agnostic arbitrage algorithms. Choose from 400+ pre-defined customisable trading strategies.
Custom libraries for serious traders.
Algorithmica custom libraries are used by leading buy-side and sell-side firms to deploy custom algorithms. Plug into our dynamic algo solutions from our libraries — execution and enhancement libraries, from benchmark execution and time contingency to a series of multi-asset arbitrage, hedging exposure, and bracket orders.
Request the strategy catalogueAdvanced algorithms & trading strategies.
Pre-packaged strategies
- Create and adapt pre-packaged strategies to your rules
- Maintain order anonymity with anti-gaming logic
- Execute with well-known benchmark strategies: VWAP, TWAP, POV, IS, and proprietary criteria
- Use our volatility-pegging model to keep orders at a safe distance from touch markets
Option Greek & linear hedging
- Dispersion, volatility, and cross-asset trading
- Gamma / Delta / Theta / Rho / Vega scalping for hedging
- Implied volatility hedging, target-vol strategies, options strip leg-in / leg-out based on customer-defined volatility
- Peg orders to implied or realised volatility
Risk mitigation
- Minimise risk and improve performance with built-in or your own risk parameters
- Include your aggression, urgency, and risk preferences
- Configurable protection tickets with custom amend rules that don't lose queue priority
Market making & liquidity provision
- Full automatic quoting by spread, price, and size
- Limit order display, scale orders, and peg-to-mid to minimise inventory risk
- Integrated rules engine for hedging risk and pre-packaged low-/no-touch logics
Industry-standard benchmarks, configurable end-to-end.
Volume Contingent — VWAP
Use defined VWAP proxy functions or upload your custom volume profile during defined trading-interval sessions.
- Adjust the curve to balance display and aggression against realised trading
- Increase performance with VWAP or get the would-price next to closing session
- Leave resting orders if not completely executed over the entire specified session
- Specify your trading session sub-interval
- Define start and end time via FIX tags or the Algo dashboard
Market Participation — POV
Executes an order in line with a custom-defined percentage of market volume.
- Custom participation rate with liquid instruments
- Discrete aggression and urgency for illiquid instruments
- Dynamically shifts trading across venues depending on instrument liquidity
- Avoid "me-too" trading with randomisation
- "Be-there-without-me" posting to hide from the market while accounting for POV effect
Urgency — Implementation Shortfall
Minimises market impact and drift from the "i-would" price trade-off.
- Decide whether to execute immediately or post passive liquidity
- Stack limit orders or partial executes to mitigate drift risk
- Define the risk model underlying trade scheduling
- Dynamically optimise the schedule in real time
Time Contingent — TWAP
The TWAP algorithm executes volumes over a fixed interval of time. Randomisation of time, quantity, and delay is a key aspect of time-contingent execution to avoid gaming logic and liquidity discovery.
- Schedules random slices
- Triggers trading at random intervals with random quantities or random delay logic
Arbitrage and matrix trading.
Algorithmica offers a suite of pairs and arbitrage strategies.
Arbitrage
- Cross-currency, multi-asset spread, pairs trading, volatility pairs
- Risk arbitrage, bond yield relative, index components, energy pairs/spreads
- Pair trade on the notional basis; exchange arbitrage
- Futures calendar and synthetic combo spreads
- Fixed income, option spread and Greek spread arbitrage
- Realised vs implied volatility spread arbitrage
Trade according to a defined model of ratio or spread difference with different multipliers and logic underlying the spread.
Matrix multi-leg
The multi-leg algorithm allows you to:
- Create synthetic spreads across futures, energies, spreads, fixed income, options, stock futures, and indices
- Each synthetic spread is underlying-instrument agnostic
- Routes dynamically amongst underlying limit order books and individual markets
- Executes volume in the markets providing the highest liquidity and fill rates