Omnesys Nest Gate is a comprehensive tool to build extremely customized directional execution algorithms without writing a single line of code.
The core idea behind Omnesys Nest Gate is that by providing the essential building blocks of the algorithms, it is possible for you to create/build your own algorithms as well as variants of existing algorithms, in a short span of time at a fraction of the cost of existing competing products.
The need for "Algo"
Development of Algo has become a necessity due to variety of market affecting events:
- Broker-sponsored direct-to-market trading,
- Prime Broker, and algorithmic routing
- Tailored, "smart" execution tools;
- Direct integration (FIX)
- Increased trading control / reduced information leakage
- Lower commission and administrative costs
Popular execution algorithms used today in India include Iceberg, TWAP and Distribution. These execution algorithms need to be developed individually and are not flexible. Modifications to these execution algorithms can be cumbersome and time consuming and requires dedicated resources and allocation issues.
You can create Algo using NEST Gate in no time. You can either use the canned Algo and modify the parameters and eventing for order placement or create your own algo template and distribute to user group who can then edit/ modify the template.
All the NEST Gate Algos are equipped with Smart Order Routing. The SOR engine routes your order to the exchange where the best price is available for the quantity you are seeking.
Each algorithm can have three different execution styles:
Depending upon the market condition any one of these styles can be selected by the person in charge of trading.
In the Box "Algo"s
Executes an order using time-linear slicing, i.e. worked in equal slices across the specified time frame
Price Band automatically adjusts the targeted participation rate according to the price until the order is completed.
Execution in line with prevailing volume at a target participation rate until the order is completed.
Liquidity Seeker is a liquidity-capturing algorithm. Its primary aim is to execute the order as quickly as possible, at the best available price, while minimizing market impact and information leakage.
A Display size order shows a smaller portion of the order to the market than the total order size.
Attempts to match the VWAP (Volume Weighted Average Price) over a defined time period.
Implementation Shortfall algorithm allows users to modify the participation rate based on changes in the price levels. This can be extremely useful to manage market impact and achieve execution close to the arrival price.
Gate allows you to create your own algos from scratch without writing a single line of code.
You can create your own algos that place orders based on :
- the occurrence of an event
- changing price or volume in the market
- A timer that you may have set