In line with earlier FNG reports, multi-asset investment specialist Saxo Bank has launched algorithmic orders for Futures.

These orders allow to efficiently execute orders based on different criteria like time, volume, price and participation rate. This is particularly useful for orders where market impact may be a concern.

Below are the order types that are supported:

• Iceberg

Iceberg orders are sent only to the primary exchange where only the specified quantity of the total is shown at any given time.

• Price Peg

Peg is designed to maintain a dynamic, but passive slice on the order book that moves in relation to the market spread. It is a passive trading strategy that is intended to minimize market impact while maximize spread capture. The strategy is configured to always peg against near touch and does not participate in either the opening or closing auctions.

• TWAP

TWAP will trade linearly over the specified time period. The strategy aims to trade evenly throughout the period regardless of volume while reducing market impact and attempting to maximize anonymity.

• Target Close

Target Close attempts to target the closing auction price whilst balancing market impact and benchmark risk of trading before the closing auction. For orders large relative to the predicted closing auction volume, the strategy will create a pre-auction trajectory to trade any excess volume leading up to the closing auction. Otherwise the order will be fully routed into the closing auction

• VWAP

VWAP works an order over a user-specific time interval, attempting to match or beat the Volume-Weighted Average Price (VWAP) for that time interval. The order is executed proportionally with the expected market based on historical volume distribution. Since the VWAP is executed according to the expected market volume the strategy should not be used on days where the actual market volume is deviating significantly from the normal historic market volume.

• With Volume

With Volume trades in proportion with actual market activity targeting the participation at a user specified percentage of overall traded volume. The strategy is suited when the trader wants to directly control their participation rate and/or be more involved when the stock is trading heavily. As the strategy trades in proportion with actual market volume it is more suited for stocks whose trading volume varies substantially from a day-to-day basis.