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1、VisionFinancialMarkets-Futures,Securities&Options
2、Brokerage,Clearing&TechnologyAlgoExecutionStrategiesVWAPVWAPminimizesslippageagainsttheVolume-WeightedAveragePrice(VWAP)overauser-specifiedtimehorizon.Thestrategyexecutesproportionatelywithexpectedvolumeacrossth
3、especifiedhorizon,monitoringproprietaryshort-termindicatorstooptimizeorderplacement.Foreligiblesecurities,VWAPcanexecuteaBuybacktradewhileabidingbySECRule10b-18guidelines.VWAPExample"Sell120,000sharesfrom10AMto3PMwitha$22.00limit.TrytomatchtheVWAPoverthisinterv
4、alanddon’tbemorethan10%ofthevolume."WithVolumeWithVolumeparticipatesataspecifiedpercentageofactualvolumeinthemarket.Thestrategymonitorsshorttermindicatorstoopportunisticallyleadorlagthetargetrate.Italsoreactscarefullytoblockprintsorflurriesofactivitytocontrolma
5、rketimpactandinformationleakage.Configurabledarkaccessisalsoavailablefromthestrategy.WithVolumeExample"Buy100,000shareswitha$31.50topfrom10AMto3PM.Worktheorderatabout25%ofthevolume."TWAPTWAPminimizesslippageagainsttheTime-WeightedAveragePrice(TWAP)inthemarketov
6、erauser-specifiedtimehorizon.Thestrategyexecutesevenlyacrossthespecifiedhorizon,monitoringproprietaryshort-termindicatorstooptimizeorderplacement.Configurabledarkaccessisalsoavailablefromthestrategy.TWAPExample"Buy60,000shareswithan$11top.Spreaditevenlyfrom10AM
7、to3PM."file:///C
8、/...s/Administrator/桌面/VisionFinancialMarkets-Futures,Securities&OptionsBrokerage,Clearing&Technology.htm[2011-2-1613:48:04]VisionFinancialMarkets-Futures,Securities&Options
9、Brokerage,Clearing&TechnologyTargetStrikeTargetStrikeminimizesimplemen
10、tationshortfall(slippageagainstthearrivalprice).Thestrategycalculatesanoptimaltradehorizontobalancepriceimpactagainstpriceriskandthentradesoverthishorizon,matchingorderstoexpectedliquidity.Configurabledarkaccessisalsoavailablefromthestrategy.TargetStrikeExample
11、"Buy56,000shareswitha$14top,workingtheorderatneutralurgency.Starttradingat10AMandbedoneby3PMatthelatest."TargetCloseTargetCloseintelligentlyworkstheorderintotheclosetominimi
