Futures Algorithms directory
| Company | Algorithms Offered | Which Exchanges do the algorithms hit? | What types of parameters can be set by users? | Approximate category breakdown of clients | Which OMSs and EMSs provide the algorithms as a routing option? | Do you offer colocation at the exchange site? | Do the algorithms work across products? | Plans for additional enhancements or new Futures Algorithms? |
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| Aegisoft Steve Oppenheimer 212-651-9464 soppenheimer@aegisoft.com www.aegisoft.com | Clients use the AthenaTrader API to develop their proprietary algorithms and strategies, including N-legged spreads, inter-market making, calendar spreads, butterfly spreads and more. | CME, ICE, Euronext Liffe, LME, SGX, SFE. | Users can set whatever parameters they want. | Hedge Funds: 30%, Mutual Funds: NA, Proprietary Traders: 30%, Broker-Dealers on behalf of buy side clients: 30%, FCM: NA | NA | Yes | Yes. The algorithms can work with different asset classes and products across exchanges. | NA |
| Barclays Capital Stephane DiTullio 212-412-3730 ecommerce@barcap.com www.barx.com | TWAP, VWAP, MOET, Peg, OCO, Time Release and Spread Trader. | Americas: CBOT, CME, COMEX, KCBT, MFE, MGEX, NYBOT, NYMEX. Europe: ECX, Eurex, Euronext Amsterdam, Euronext Brussels, Euronext Liffe, Euronext Lisbon, Euronext Paris, Ice Futures, IDEM, LME, MEFF. Middle East: DME. Asia Pacific: HKFE, JADE, KOFEX, KSE, NZFOE, OSE, SFE, SGX, TFX, TOCOM, TSE | Each of Barclays' algorithms has different parameters, allowing users to further customize their trading strategies. | Hedge Funds: 60%, Mutual Funds: 10%, Proprietary Traders: 30%, Broker-Dealers on behalf of buy side clients: NA, FCM: NA | OMS: Bloomberg, Trading Screen, FIDESSA, EZOMS, Portware, REDI EU. EMS: NA | All strategies are run on our campus (New York, Tokyo, London, Singapore), close to the exchanges so clients do not need to colocate. | Yes. | At Barclays Capital, we’re constantly enhancing and building new algorithms to further our clients' efficiency and productivity. |
| Credit Suisse AES AES Client Coverage Desk 212-325-5300 www.credit-suisse.com | Guerrilla, Sniper, Inline, TWAP, VWAP and Float Reserve. | AES algorithms are live on over 35 different futures exchanges. | Price limits, min/max percent of volume, time frame, aggression, display size. | Hedge Funds: NA, Mutual Funds: NA, Proprietary Traders: NA, Broker-Dealers on behalf of buy side clients: NA, FCM: NA | AES has over 67 different technology partners across multiple asset classes. | Yes. | AES algorithms are designed to seek out liquidity in any market across asset classes. | NA |
| FlexTrade Systems Thomas Griffo 516-627-8993 ext. 220 Thomas.griffo@flextrade.com www.flextrade.com | Iceberg, Peg, Time Slice, OCO, Trailing Stops, Enhanced Stops, Volume Participation, Pairs / Ratios / Implied Spreading. | FlexTrade is a multibroker/broker-neutral EMS. Its proprietary FIX engine connects clients to all their brokers/FCMs, who then route orders to global exchanges. Some exchanges can be reached directly via sponsored access. | All of FlexTrade's algos are parameterized. Parameters include start and end times, show size, randomize, pct of volume, complete if available. | Hedge Funds: 40%, Mutual Funds: NA, Proprietary Traders: 20%, Broker-Dealers on behalf of buy side clients: 20%, FCM: 10% | FlexTrade's algos are staged in the EMS and routed to brokers. | Servers can be colocated, installed on-site or be hosted. | Yes. FlexTrade's algos can be employed across and among futures, equities, ETFs and FX. | Buy-side clients will soon be able to access broker algorithms, such as Inline, Reserve, Guerilla, Float, Pathfinder and Sniper. |
| J.P. Morgan Futures Andrew Schumacher 312 732 9278 andrew.g.schumacher@jpmorgan.com www.jpmorgan.com | JP Morgan Futures Algorithms. | JPMorgan's algorithmic trading strategies are global in scope and offered on various major exchanges in all regions. | Each algorithm contains various customizable parameters depending on algorithm used, client requirements and market conditions. | Hedge Funds: NA, Mutual Funds: NA, Proprietary Traders: NA, Broker-Dealers on behalf of buy side clients: NA, FCM: NA | J.P. Morgan Futures' FIX infrastructure supports all major FIX-based multi-asset vendors. | Not at present. | NA | Our focus is on responding to our clients' expanding needs in this area across multiple asset classes and the continued global rollout of our next-generation algorithmic trading engine and service. |
| Lehman Brothers 212.526.6876 futuresmarket@lehman.com www.lehman.com | VWAP, TWAP, With Volume, Synthetic Spreads, Time Release/Cancel, OPO, OCO, Synthetic iceberg and order types. | 35+ Exchanges Globally | Price, duration, show size, participation rate, slice size. | Hedge Funds: NA, Mutual Funds: NA, Proprietary Traders: NA, Broker-Dealers on behalf of buy side clients: NA, FCM: NA | We are certified with numerous vendor and proprietary OMS and EMSs via FIX. | Yes for DMA but not for algos at the present. | N/A | Constantly adding strategies and order types per client demand |
| Morgan Stanley MSET Desk 212-761-8653 mset-sales@morganstanley.com www.morganstanley.com/mset | Morgan Stanley Benchmark Execution Strategies (BXS). | Chicago Board of Trade, Chicago Mercantile Exchange, NYMEX, ICE, NYBOT, Liffe, Milan, Paris, Oslo, DTB and DFE.35+ Exchanges Globally | Limit price, volume constraints, benchmark, urgency, start time and end time. | Hedge Funds: 40%, Mutual Funds: 20%, Proprietary Traders: 40%, Broker-Dealers on behalf of buy side clients: NA, FCM: NA | OMS: Bloomberg Tradebook, Portware, Athena, Trading Screen. | No. | No. | Yes, as requested by clients. |
| Orc Software Sales Americas 212-507-0000 / 312-541-4180 sales_americas@orcsoftware.com www.orcsoftware.com | Orc Trading is a development environment where traders can build their own proprietary algorithms. Orc offers production-ready example strategies such as futures spreading and options market making. | Orc provides connectivity to over 100 exchanges around the world. | Traders can decide the parameters that they wish to use when designing their algorithm. | Hedge Funds: 30%, Mutual Funds: NA, Proprietary Traders: 50%, Broker-Dealers on behalf of buy side clients: 10%, FCM: 10% | Orc Trading | Yes - co-location is offered by Orc at several exchanges, or the client may deploy Orc Trading on their own at any facility of their choosing. | Yes | Continuous enhancements are being made to add new market connections and continue the reduction in latency. |
| Portware James Feingold 212-425-5233 sales@portware.com www.portware.com | TWAP, Auto Market-Making, Index Arbitrage, Spread Trader, Synthetic Iceberg, Synthetic Peg, MOC, and MOO. | All electronic exchanges are supported. | Start time, end time, max participation, fair value inputs, aggressiveness, reserve quantity, peg type and more. | Hedge Funds: 70%, Mutual Funds: 10%, Proprietary Traders: 10%, Broker-Dealers on behalf of buy side clients: NA, FCM: 10% | Only offered through Portware. | Yes, Capabilities for colocation exist at most exchanges. | Yes; all algorithms listed work across products. | Portware constantly adds enhancements and additional product coverage to its suite of algorithms. |
| Progress Apama Chris Martins 781-280-4726 cmartins@progress.com www.progress.com/apama | Progress Apama Algorithmic Platform. | Chicago Board of Trade (eCBOT), Euronext Liffe, Intercontinental Exchange (ICE), Chicago Mercantile Exchange (CME). Apama adds connectivity on ongoing basis; please check with Apama directly for other venues, both futures and other asset classes. | Apama is a completely open platform: any parameter that the algorithm developer chooses to make available can be made available. In addition, Apama tools make it possible to modify the logic of the algorithm, not just the parameters. | Hedge Funds: 20%, Mutual Funds: NA, Proprietary Traders: 40%, Broker-Dealers on behalf of buy side clients: 40%, FCM: 10% | Please check the Apama site: | Apama does not itself offer colocation as we do not market algorithms directly ourselves. Our platform can support colocation, should a client wish to deploy in that manner. | Yes. Apama is asset class independent, so it can support algorithms that span futures products, as well as algorithmic strategies that span asset classes. | Apama is currently engaged in delivery of a series of solution "Accelerators" that jumpstart the development and deployment of new trading strategie, using [modifiable] business logic, dashboards and connectivity adapters. We will offer a capability in the futures market that capitalizes on this initiative. |
| SoftCapital Lars Pehrsson +45 26234444 lars@softcapital.com http://www.softcapital.com | VWAP, TWAP, Synthetic Spreads, Time Release/Cancel, OPO, OCO, iceberg, Trailing stops. Clients can define their own algos via SoftCapitals ScriptStudio | Americas: CBOT, CME, COMEX, KCBT, MFE, MGEX, NYBOT, NYMEX. Europe: ECX, Eurex, Euronext Amsterdam, Euronext Brussels, Euronext Liffe, Euronext Lisbon, Euronext Paris, Ice Futures, IDEM, LME, MEFF. Middle East: DME. Asia Pacific: HKFE, JADE, KOFEX, KSE, NZFOE, OSE, SFE, SGX, TFX, TOCOM, TSE, FIX exits | All parameters can be modified, as well as the algorithm itself, + new can be developed by the client. | Hedge Funds: 20%, Mutual Funds: NA, Proprietary Traders: 40%, Broker-Dealers on behalf of buy side clients: 40%, FCM: NA | Please contact us, we offer a wide range through FIX gateways or proprietary protocols. | Yes | Yes | Yes, this is constantly developed |
| Tethys Technology Mary Cogger 212-509-5600 sales@tethystech.com www.TethysTech.com | EVWAP (Tethys Volume Weighted Average Price) ETWAP (Tethys Time Weighted Average Price) ELINE (Tethys Curvilinear) EMINI (Minimum Time) EPART (Volume Participation) EPEGE (Synthetic peg with discretion) ESPRD (Multi Leg Spread Trading) EBASK (Basket/List Trading of futures/other assets). | Major global futures exchanges. | Limit price, start time, end time, maximum participation and urgency parameters can be set by the user. There are twelve additional parameters that are disclosed to clients. | Hedge Funds: 30%, Mutual Funds: 10%, Proprietary Traders: 20%, Broker-Dealers on behalf of buy side clients: 10%, FCM: 20% | NA | Yes. | Yes. | Volatility, price range sensitive and Opportunistic Trading class of algorithms. |
| UBS Investment Bank Robert Hedges 203-719-1750 robert.hedges@ubs.com www.ubs.com | Futures VWAP and Futures TWAP. | Major global exchanges including CME, Eurex, Liffe, Paris, Amsterdam, OSE and TSE. | Start/end times, percentage of volume targets. | Hedge Funds: NA, Mutual Funds: NA, Proprietary Traders: NA, Broker-Dealers on behalf of buy side clients: NA, FCM: NA | OMS: Eze Castle Software and TradingScreen. EMS: Bloomberg Tradebook. | NA | NA | Further rollout to major EMS/OMS platforms and additional algorithms offering enhanced logic and price improvement capabilities. |
