Embed Size (px)
Citation preview
Fox River A
BROKER-DEALER
FOX RIVER
Fox River B
BROKER-DEALER
TRADE EXECUTION
Fox River1
FIS’ Fox River Execution Solutions (Fox River) provides trading technology that helps improve execution quality, minimize information leakage and decrease overall execution costs. As a provider of high-performing algorithms, Fox River has no bias toward execution venues and offers Trader Logic technology, algorithms that blend the human logic of a professional trader with precise mathematical formulas.
Algorithms that think like a trader
Fox River’s algorithms understand how to pick the right price and time to trade. Instead of focusing on benchmarks, our algorithms are built to help seek and secure the best possible price. We do this with embedded Trader Logic short-term alpha signals that are designed to locate profitable trading opportunities within the context of the algorithm’s strategy.
These short-term signals are based on the insights human traders add to the trading process. In addition to our standard algorithm offering, Fox River has the ability to customize algorithms to meet specific trading objectives.
● Dollar Certain: Allows traders to execute in dollars rather than shares.
● Fox Alpha: Percentage of volume strategy using participation rate inputs. Uses alpha generating Trader Logic to trade in a range around the target participation rate.
● Fox Gamma Hedger: Delivers intra- and end-of-day portfolio gamma hedges.
● Fox Gamma Scalper: Allows traders to profit from volatility while outperforming simple, non-marketable limit orders.
● Fox Pairs: Trades two stocks in user defined relation to each other.
● Fox Spotlight: ETF only strategy using arbitrage calculations to execute trades quickly and efficiently on an agency basis.
● Fox TWAP: Time weighted algorithm that aims to evenly distribute an order over user specified duration. Uses alpha generating Trader Logic to trade in a range round the specified duration
● Fox VWAP: Historical and predictive volume projections in combination with alpha generating Trader Logic to trade in a range around the specified volume projections.
● Reverse IS: Smart MOC strategy that places a portion of the trade on the close and works the balance prior to the close using alpha generating Trader Logic.
Fox River’s Suite of Algorithms
How it works: adds alpha to the execution regardless of the algorithm
15.73
15.71
15.69
15.67
15.65
15.63
15.61
15.59
15.57
15.55
15.53
15.51
0.15
0.13
0.11
0.09
0.07
0.05
0.01
-0.01
-0.03
-0.05
-0.07
-0.09
-0.11
-0.13
Ask Bid Alpha Signal Fill-Sell
Pric
e Alpha
14:36:00 14:37:00 14:38:00 14:39:00 14:40:00 14:41:00 14:42:00 14:43:00 14:44:00
Stock higherSignal gone
Execute sales
Sell receipt
Positivealpha signalsdelay sales
Detects mean reversion
delay sales
FOR ILLUSTRATIVE PURPOSES ONLY
Fox River 2
Fox Blaster™
Stealth strategies for maximized liquidity absorptionUsing a combination of our short-term alpha signals and your trader’s instinct, Fox Blaster is a stealth strategy that is customized to your needs and trading style. A dynamic blast zone is established, allowing the Fox Blaster algorithm to intelligently absorb liquidity as the markets move.
● Designed for traders who like to pick their spots.
● Trades aggressively with intelligence for trades with short-term alpha.
● Dual logic to work orders when short-term alpha is realized.
● Highly customizable to each trader’s needs and market conditions.
Fox Smart Router – Flashlight
Highly configurable, dynamic and low latencyThe Fox River Flashlight smart order router (SOR) provides intelligent liquidity taking logic that adapts to a variety of real-time factors including order attributes, market
Fox SOR vs. Standard SOR
Fox River SOR Standard SOR
Parallel sweeping Sequential sweeping
Multi-factor, real-time and historic venue ranking Periodically updated static scoring
Global symbol and index driven dark pool heat mapping Static order level dark pool routing/rebalancing
Responds to market maker Indications of Interest Blind pings market makers
Unbiased venue routing and order matching Optimize internal ATS or market making book
Dynamic sweep logic varies according to order attributes, market conditions and venue analysis
One-size-fits-all sweep logic
Full venue and liquidity transparency in FIX messages and daily reports Non-displayed venues reported as simply “dark”
Venues excluded at customer request Venue selection controlled exclusively by vendor
Highly configurable end time behavior Basic cancel or post end time behavior
Fox SOR sweep types and corresponding behavior
Sweep type Behavior
Flashlight Sweep hidden and displayed liquidity based on order attributes and market conditions and then cancel balance
Flashlight-Post Sweep hidden and displayed liquidity based on order attributes and market conditions and then post balance
conditions, and venue analysis. Flashlight grew out of the market structure analysis and optimization work performed by our team for Fox River’s algorithm suite.
Fox Blaster: dynamic blast zone
16.25
16.15
16.05
15.95
15.85
15.75
15.65
Price Moving average MA +/– 1SD
No alpha
Partial alpha
Full alpha
Partial alpha
No alpha
Time
FOR ILLUSTRATIVE PURPOSES ONLY
Fox River3
Fox Dark Attack
Fox Dark Attack provides access to dark venues with a single input that allows traders to pick their spot within the spread to grab hidden liquidity.
● Single digit input controls dark tactics
● Access to over 20 venues
● Screened for toxicity and alpha generation
● Venue selection is completely customizable down to the trader
Dark Attack setting 0 1 2 3 4 5 6 7 8 9 10
PING No Bid Bid Between Bid & Mid
Between Bid & Mid
Mid Mid Between Mid & Cross
Between Mid & Cross
Cross Cross
REST No No Bid Bid Between Bid & Mid
Between Bid & Mid
Mid Mid Between Mid & Cross
Between Mid & Cross
Cross
Fox Pyramid
Fox Pyramid allows traders to set multiple contingent participation levels for a single trade. Fox Pyramid is used with an underlying algorithm.
● For traders who like to vary their aggressiveness based on market conditions
● Provides the ability to have multiple instructions on a single trade and single ticket
● Superior to “one cancels other” and similar order types
● Up to four levels of aggressiveness
Pyramid strategy
Symbol KO
Side B
Shares 50,000
Price POV rate
Order 69.81 20
1st level 69.75 30
2nd level 69.70 40
3rd level 69.60 100
FOR ILLUSTRATIVE PURPOSES ONLY
Fox River 4
Canadian algorithms
Fox River has taken market data and microstructure information unique to Canada and embedded specific Trader Logic technology in our Canadian algorithms. Traders of U.S. or Canadian symbols in inter-listed names enjoy the benefits of accessing liquidity in both markets wherever the best price exists.
● Full inter-listed trading capabilities in either direction with settlement in CAD or USD.
● Inter-listed fills are handled seamlessly on a single ticket.
● Use current U.S. ticket to access Canadian symbols with a simple certification process to ensure no symbol ambiguity.
● Access major Canadian lit and dark sources of liquidity.
● Preferences venues strictly according to best price and liquidity.
● Full venue transparency both in real-time and via monthly summary reports.
At your service
Fox River takes a high-touch approach to a traditionally low-touch business, with a commitment to working only in our clients’ best interests. In addition, Fox River has a full service sales trading desk. Fox River’s traders help firms pursue their unique trading objectives with a focus on customization and superior service. The Fox River team of traders, analysts and developers are available by phone, IM or email; from pre-open to post-close. Fox River’s post-trade analytics and comprehensive back-testing capability identify opportunities and fine-tune customer’s trading results.
Price POV rate
Order 69.81 20
1st level 69.75 30
2nd level 69.70 40
3rd level 69.60 100
αlphaZoom TCA view on screen
αlphaZoom TCA
αlphaZoom is FIS’ transaction cost analysis (TCA) analytics platform that allows buy-side and sell-side users the ability to zoom into their execution performance. FIS delivers an evaluation tool that assesses your trade executions in a comprehensible format that can be viewed anytime.
FIS evaluates current and historical data using industry and custom benchmarks so you can make informed decisions when evaluating your strategy, broker, algorithm and liquidity venues. FIS will assist you in post evaluation of your orders and recommend the most optimal execution strategy for your routes. In addition, FIS will match your trade portfolio against multiple universes and benchmarks to identify potential improvement.
● Amass and normalize trade data into a comprehensive and interactive report.
● Measure cost and performance against industry standard benchmarks.
● Pinpoint outliers for further investigation
● Receive consultation on execution performance with our experts.
About FIS
FIS is a global leader in financial services technology, with a focus on retail and institutional banking, payments, asset and wealth management, risk and compliance, consulting and outsourcing solutions. Through the depth and breadth of our solutions portfolio, global capabilities and domain expertise, FIS serves more than 20,000 clients in over 130 countries. Headquartered in Jacksonville, Florida, FIS employs more than 55,000 people worldwide and holds leadership positions in payment processing, financial software and banking solutions. Providing software, services and outsourcing of the technology that empowers the financial world, FIS is a Fortune 500 company and is a member of Standard & Poor’s 500® Index. For more information about FIS, visit www.fisglobal.com
©2017 FISFIS and the FIS logo are trademarks or registered trademarks of FIS or its subsidiaries in the U.S. and/or other countries. Other parties’ marks are the property of their respective owners. 379780
www.fisglobal.com
Fox River Execution Solutions and SGN brokerage services offered through FIS’ Global Trading Group within the United States and Canada are provided by FIS Brokerage & Securities Services LLC, Member NYSE, FINRA, SIPC.
