The Asset: Mythica Trust is a global investment trust company that manages some GBP 2.4 billion of assets. Typical bid/offer spread is 0.5p.

The Challenge: To buy 1.5 million Mythica Trust shares in a single trading session, with no specific benchmark other than best execution. The session coincides with a re-weighting day so traded volume is expected to be approximately 25 million rather than the norm of 1 million.

The Algo: A broker-developed liquidity-seeking algorithm that has the discretion to take favourable trading opportunities including internal crossing (to minimise market impact and improve price) as well as sweeping all external sources. In addition to a limit price, the algorithm allows the user to set:

• An urgency parameter ranging from 1 to 5 that controls targeted participation in the order book. A setting of 1 (least urgent) only allows internal crossing, while 5 (most urgent) places no volume restriction on order book participation;
• A completion price at which the algorithm will attempt to buy as much of the asset as possible up to the total order size, ignoring all other constraints.

The Trader:The trader works for a large conventional asset manager and wishes to use the anticipated increased volume to complete in one session.

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