Horizon Software (Horizon), the world’s leading provider of electronic trading solutions and algorithmic technology, has announced the availability of a new execution algorithm, the implementation shortfall, adding significant and unique improvements in automated trading to its already market-leading solution. The key benefits of these enhancements, which will be available globally, also include the improvements of the existing algos.
Horizon Software currently automates highly sophisticated trading strategies for the execution of large orders with the TWAP (Time-weighted average price), VWAP (Volume weighted average price) and POV (Percentage of Volume) algorithms, all fully available. These algorithms have been improved with the ability to automatically execute not only during the intra-day trading period but also during the opening and closing auctions to benefit from the most pricing opportunities.
In addition to the existing algorithms’ enhancements, Horizon just released a new algo to manage the implementation shortfall strategy. This strategy aims at setting up two levels of spots and three levels of participation rate. The implementation of the new algo enables to adapt the participation rate to the spot evolution. This new algo is even stronger with the choice to either define fixed levels of trading spots or follow the VWAP plus or minus a percentage along the execution.
The strategy will increase the targeted participation rate when the stock price moves favourably and decrease it when the stock price moves adversely.
Vincent Dumontoy, Global Head of Client Solutions and Services at Horizon commented: “We are delighted to offer these improved highly sophisticated algorithms and to see the array of benefits they will bring to our client base. Apart from profit opportunities for the trader, algo-trading renders markets more liquid and trading more systematic. This new release of algorithms has been enriched so our clients can trade at the best possible prices with significant reduced human mistakes.”
Dumontoy continued: “Clients are using our execution algorithms, so trades are timed correctly and instantly to benefit from significant price changes. Our software offers a single platform to embed custom algorithmic strategies and we believe Horizon is uniquely positioned on the automated trading market by offering a very flexible algo framework that allows the traders to “trade their way” or benefit from an advanced set of execution algorithms based on our strong expertise in algo-trading.”