Chris Jackson, Liquidnet
London - Liquidnet's Algo Ranking Model holistically profiles every order to rank execution strategies in real-time according to order characteristics, trading objectives, market conditions, and performance targets.
The model ranks Liquidnet's suite of Next Gen Algos based on three key execution objectives: performance, fill rate, and an optimal combination of the two before presenting options to the trader. Once the trader has made a selection, the model quantifies the algorithm selection, creates an analytical foundation that supports best execution, and ultimately helps contribute to creating an audit trail for MiFID II compliance.
"The key way to truly capture a performance advantage is by choosing the right strategy based on the conditions of the stock and market at the time of execution," said Chris Jackson, Liquidnet EMEA Head of Execution & Quantitative Services Group.