DECEMBER 2009 DIRECTORY OF EQUITY ALGORITHM PROVIDERS

Abel/Noser Corp./ Signature Algorithms ...... 30 /Instinet Execution Experts ...... 37

Alphacet/Discovery ...... 30 Investment Technology Group (ITG)/ITG Algorithms ITG Routers ...... 38 Bank of America Merrill Lynch/Global Execution Services . .31 J.P. Morgan/Electronic Client Solutions (ECS) ...... 38 Barclays Capital/Electronic Trading Services ...... 31 Lightspeed Trading/Lightspeed Gateway ...... 39 Centauris Group/ ...... 32 Morgan Stanley/Morgan Stanley Benchmark Execution Citi/Citi Electronic Execution ...... 32 Strategies (BXS) ...... 39 ConvergEx/Algorithmic Suite ...... 33 Neonet/Global Agency Broker ...... 40 Credit Suisse/AES-Advanced Execution Services ...... 33 NYFIX Millennium/NIX Algorithms ...... 40 Deutsche Bank/Autobahn Equity ...... 34 Portware/Portware Enterprise ...... 41 Fidelity Capital Markets/Model Trade Execution (MTRX) . . . . .34 Pragma/Adaptive Algorithmic Strategies ...... 41 Fidessa/BlueBox ...... 35 Progress Software - Apama/Progress Apama ...... 42 FlexTrade Systems/FlexTRADER ...... 35 Rosenblatt Securities/Rosenblatt Execution Fox River Execution/Fox Trader ...... 36 Algorithmic Logic (REAL) ...... 42

Goldman Sachs/Goldman Sachs Electronic Trading ...... 36 Tethys Technology/Execta Premium ...... 43

InfoReach/TMS ...... 37 UBS Investment Bank/UBS Direct Execution ...... 43

*This is not a comprehensive list of providers of equity algorithms. Advanced Trading invited other algorithm providers to participate in the directory but they could not submit their information by press time. Algorithmic trading providers entered their own information for this directory. For additional information, see the online version of the directory at www.advancedtrading.com/directory.

ADVANCED TRADING www.advancedtrading.com DECEMBER 2009 | 29 ALGORITHM PROVIDERS DIRECTORY

Abel/Noser Corp. Signature Algorithms

Description of service data provided to us by our clients. Our trading data universe Abel/Noser has offered execution services to investment man- exceeds $7.5 trillion in known market trades for more than 75 ager clients since 1982. Our philosophy remains the same today different markets, both domestic and international. as the day we opened our doors: Offer the best execution with Which direct-access technology does your firm provide? low commission rates. Linedata/Longview, Bloomberg EMS, Eze Castle, Charles River, What types of algorithms does your firm provide? Macgregor, Advent/Moxy. Signature Algorithms, Implementation Shortfall, TWAP, VWAP, Do you offer a front end? If so, what features Percent of Volume. are included? What types of orders are offered around your algorithms? FIX interface. Limit order, Market order, Constraints, Ability to speed up or Do you offer report-generation capabilities? slow down at different constraints, Discretion, Pegging, Single- Yes. stock, Market on open, Market on close, Reserve, Stop market, Stop limit, Trailing stop, Probing-crossing order type. Do you offer algorithms in other asset classes? What are your latest algorithm offerings to be released No. and/or what new algorithms are you working on? Are your algorithms available internationally? Signature Series algorithms along with basic algorithmic offer- In future development. ing of VWAP, TWAP, Implementation Shortfall and Percent of Volume. The Signature Series of algorithms are customized to Contact information each client’s individual trading approach. Fred Graboyes 646-432-4100 Approximate category breakdown of clients: [email protected] Broker-dealers: 10%, funds: 20%, mutual funds: 70%. www.abelnoser.com Is pre- or post-trade analysis available? Yes, pre- and post-trade analysis is available through Ancerno, our technology affiliate. We base our analysis on actual trade

Alphacet Discovery

Description of service Is pre- or post-trade analysis available? Alphacet Discovery is a straight-through processing platform for Yes, through our chart application and data explorer. advanced quantitative strategy development and deployment. Alphacet Discovery seamlessly connects to leading market data Which direct-access technology does your firm provide? vendors and market database partners, and provides advanced We generate FIX messages that can be sent to an EMS or OMS. financial modeling tools that allow users to develop, back-test, Do you offer a front end? If so, what features walk forward and deploy quantitative financial strategies. are included? What types of algorithms does your firm provide? FIX interface, Market Data, Position management, Basket trading, VWAP, TWAP, Target Volume, Arrival Price, Index , Program Trading, Charting. Portfolio Algorithm, Percent of Volume, Crossing Aggregator, Do you offer report-generation capabilities? Spread (Pairs) Trading and more. Yes. What types of orders are offered around your algorithms? Do you offer algorithms in other asset classes? Limit order, Market order, Constraints, Discretion, Pegging, Single- Yes: All asset classes. stock, Market on open, Market on close, Stop market, Stop limit, Trailing stop, Probing-crossing order type. Are your algorithms available internationally? Yes: All markets. What are your latest algorithm offerings to be released and/or what new algorithms are you working on? Contact information NA Peter Sibirzeff 203-352-6990 Approximate category breakdown of clients: [email protected] Hedge funds: 70%, desks: 30%. www.alphacet.com

30 |DECEMBER 2009 www.advancedtrading.com ADVANCED TRADING ALGORITHM PROVIDERS DIRECTORY

Bank of America Merrill Lynch Global Execution Services

Description of service Which direct-access technology does your firm provide? Bank of America Merrill Lynch offers a comprehensive suite of Bank of America Merrill Lynch utilizes its own proprietary high- electronic trading strategies and market access. speed market access platform that connects directly to all major exchanges, ECNs and ATSs. What types of algorithms does your firm provide? A full suite of liquidity-seeking, benchmark-oriented and schedule- Do you offer a front end? If so, what features driven algos are offered for electronic equities execution. Specific are included? algos offered are: Ambush, Instinct, OPLX, VWAP, TWAP (Clock), API, FIX interface, Aggregation, Blotter, Order routing, Market Percent of Volume (POV), SMART DMA (WALK), Implementation data, Position management, Risk management, Basket trading, Shortfall (OPL, QIS), Crossing Aggregator (Blockseeker), Scaling Program trading, Options trading, Charting, TOM integration, (Momentum, Reversion), Quantitative Market on Close (QMOC). Trade allocation systems integration, Position loading, Perfor- mance analysis, PnL. What types of orders are offered around your algorithms? Limit order, Market order, Constraints, Ability to speed up or slow Do you offer report-generation capabilities? down at different constraints, Discretion, Pegging, Single-stock, Yes. Market on open, Market on close, Reserve. Do you offer algorithms in other asset classes? What are your latest algorithm offerings to be released Yes. Options: Ten electronic strategies are offered: SWEEP, and/or what new algorithms are you working on? Clean SWEEP, Hidden SWEEP, Iceberg, Smart, Spray, Multi-legged Recent releases: Migration of Ambush and Instinct strategies, imple- Options, Multi-legged Options+Stock, Facilitated. mentation of more sophisticated anti-gaming measures, Canadian Interlisted routing, Brazil algos (VWAP, TWAP, POV), new version Are your algorithms available internationally? of IS, small order “mini” strategy. New algos: We’re working on Yes: U.S., Canada, Brazil, Austria, Belgium, Denmark, Finland, several new strategies, including pairs, new products, as well as France, Germany, Greece, Italy, Netherlands, Norway, Portugal, some variations and enhancements to our current algo suite. Spain, Sweden, Switzerland, U.K., South Africa, Japan, Australia, Hong Kong, Korea, Singapore, Taiwan. Approximate category breakdown of clients: NA Contact information U.S.: 212-449-6090; Europe: 44-207-996-4521; Is pre- or post-trade analysis available? Japan: 813-6225-8398; Asia: 852-2161-7550 Yes: Daily TCA reports are available at EOD or T+1. www.bankofamerica.com/ets In addition a Quantitative Consulting group provides additional consultancy services.

Barclays Capital Electronic Trading Services

Description of service Which direct-access technology does your firm provide? Barclays Capital is a full-service provider of electronic trading Barclays Capital has a proprietary Smart Router that intelligently services. Offerings include BARX Equities algorithmic trading accesses liquidity. BARX algorithms use the Smart Router when strategies, analytics, DMA capabilities, RealTick and more. sending orders out to the market. What types of algorithms does your firm provide? Do you offer a front end? If so, what features In addition to benchmark and tactical strategies (VWAP, TWAP, With are included? Volume, Pegging, Sweep, etc.), Barclays Capital offers dynamic API, FIX interface, Aggregation, Blotter, Order routing, Market strategies that continuously monitor the market and switch modes Data, Position management, Risk management, Basket trading, in reaction to changes in stock price, liquidity, time or other vari- Program trading, Options trading, Charting, TOM integration, Trade ables. A robust custom algorithm framework is also available to allocation systems integration, Futures trading, Swaps trading, build strategies per client request. Broker-neutral, Conditional orders, Analytics, Staging, Access to crossing networks. What types of orders are offered around your algorithms? Limit order, Market order, Constraints, Ability to speed up or slow Do you offer report-generation capabilities? down at different constraints, Discretion, Pegging, Single-stock, Yes. Market on open, Market on close, Reserve, Stop market, Stop limit, Probing-crossing order type. Do you offer algorithms in other asset classes? Yes: Futures, FX and equity options algorithms are available. One What are your latest algorithm offerings to be released example is Volatility Trader, which works the option simultaneously and/or what new algorithms are you working on? with the underlying stock. New offerings will include portfolio trading algorithms, cross-asset class execution and innovative liquidity-seeking strategies. Barclays Are your algorithms available internationally? Capital continually enhances all of its trading algorithms to Yes: BARX Equities algorithmic trading strategies cover all major improve benchmark performance and maximize access to liquidity. markets across North America, Europe and Asia. Approximate category breakdown of clients: Contact information NA Electronic Sales Trading Desk 212-526-8331 Is pre- or post-trade analysis available? [email protected] Pre-trade analysis is available for single-stock and portfolio orders through our SSE (Single Stock Environment) and Portfolio WebBench applications. TradeGauge is Barclays Capital’s industry- leading product for post-trade analysis.

ADVANCED TRADING www.advancedtrading.com DECEMBER 2009 | 31 ALGORITHM PROVIDERS DIRECTORY

Centauris Group Algorithmic Trading

Description of service Which direct-access technology does your firm provide? Centauris Group is a financial technology firm whose expertise We connect to more than 30 different broker platforms resides in the analysis, design and implementation of technology- with swapping made easy through our Universal Broker related solutions for investment and business professionals. Most connection interface. of our algorithms are custom-coded to suit our customer’s needs. Do you offer a front end? If so, what features What types of algorithms does your firm provide? are included? Custom-coded Algos, Spreads, , TWAP, VWAP, API, FIX interface, Aggregation, Order routing, Market data, Volatility-based. Position management, Risk management, Basket trading, Program trading, Options trading, Charting. What types of orders are offered around your algorithms? Limit order, Market order, Constraints, Ability to speed up or slow Do you offer report-generation capabilities? down at different constraints, Discretion, Pegging, Single-stock, Yes. Market on open, Market on close, Reserve, Stop market, Stop limit, Trailing stop, Probing-crossing order type. Do you offer algorithms in other asset classes? Yes: FX, stocks, futures, options. What are your latest algorithm offerings to be released and/or what new algorithms are you working on? Are your algorithms available internationally? The ability for customers to code their own algorithms using our Yes: Our algorithms are available all over the world. proprietary platform to trade thousands of instruments real-time. Contact information Approximate category breakdown of clients: Christian Blais Broker-dealers: 30%, hedge funds: 10%, proprietary trading 418-840-9229 desks: 60%. [email protected] www.centaurisgroup.com Is pre- or post-trade analysis available? We do offer a wide range of back-testing options as well as the possibility to analyze trading records using industry standards.

Citi Citi Electronic Execution

Description of service Which direct-access technology does your firm provide? Citi offers algorithmic products around the globe in a variety of Citi’s algorithms access the Street via Lava. Lava offers a complete strategies. Each strategy is specifically designed to balance liquidi- suite of smart order types along with a comprehensive list of ty capture while minimizing information leakage according to local Street destinations. market conditions. They are also optimized to take full advantage of Citi Match. Strategies are also highly customizable per client Do you offer a front end? If so, what features per trader to fit the needs of each trader. are included? FIX interface, Aggregation, Blotter, Order routing, Market data, What types of algorithms does your firm provide? Position management, Risk management, Basket trading, Citi Match (Crossing), Dagger with 1-5 Aggression Level (Liquidity- Program trading, Trade allocation systems integration. Seeking/Dark Aggregation), Participate with Scaling (Value vs. Momentum), Implementation Shortfall, VWAP, TWAP, Pairs Spread, Do you offer report-generation capabilities? Close, Corporate Buyback, Pegging, DMA, Smart Order Router Yes. powered by Lava ColorBook. Do you offer algorithms in other asset classes? What types of orders are offered around your algorithms? Yes: Citi currently offers equities and FX algorithms with plans to Limit order, Market order, Constraints, Ability to speed up or launch in options and futures. slow down at different constraints, Discretion, Pegging, Single- Are your algorithms available internationally? stock, Market on open, Market on close, Reserve, Probing-crossing Yes: Citi offers algorithmic trading strategies across major order type. markets in North America, Europe, Asia and Australia. What are your latest algorithm offerings to be released Upcoming new markets are expected to include Mexico, Brazil, and/or what new algorithms are you working on? Canada and India. Brand-new algorithm engine with globally consistent offering. Contact information Launched Dagger with 1-5 Aggression Level along with new fea- Electronic Sales tures including Opportunistic and Completion Price. Working on 866-922-5282 Futures, Options, ADR, Portfolio, Mexico, Brazil, Canada and India. [email protected] Approximate category breakdown of clients: Broker-dealers: 10%, hedge funds: 30%, mutual funds: 60%. Is pre- or post-trade analysis available? Both are available. BECS, a market-leading pre-trade analytics platform, is integrated into estimation process and available as a stand-alone platform or via Bloomberg. Citi also offers post-trade analysis tailored to client needs.

32 |DECEMBER 2009 www.advancedtrading.com ADVANCED TRADING ALGORITHM PROVIDERS DIRECTORY

ConvergEx Algorithmic Suite

Description of service Which direct-access technology does your firm provide? ConvergEx offers a comprehensive suite of enhanced algorithms ConvergEx maintains Street-side pipes to every light market. that meet a broad spectrum of trading strategies and require- We have pipes to every material accessible . Clients can ments to help traders improve performance. access these routes directly or through our comprehensive smart routing facilities. What types of algorithms does your firm provide? VWAP, TWAP, POV, Initiation Price, IQx, Closing Price, Scaling, Do you offer a front end? If so, what features Value, Momentum, Inline, Peg, Reserve, Cross, Buyback. are included? API, FIX interface, Blotter, Order routing, Market data, Risk What types of orders are offered around your algorithms? management, Options trading, Charting. Limit order, Market order, Constraints, Ability to speed up or slow down at different constraints, Discretion, Pegging, Single-stock, Do you offer report-generation capabilities? Market on open, Market on close, Reserve, Probing-crossing Yes. order type. Do you offer algorithms in other asset classes? What are your latest algorithm offerings to be released Yes: We offer the following algorithms for options: Hidden, Pulse, and/or what new algorithms are you working on? Reserve and Delta Peg. IQx: Rebuilt to be optimized for black-box strategies. ADR Plus is new and we recently launched algos for Brazil and Mexico. Are your algorithms available internationally? Launching soon: A light/dark offering designed to intelligently Yes. Americas: Brazil, Canada, Mexico. Asia: Australia, Hong Kong, exploit hidden liquidity, favorable price movements and Japan, Singapore. Europe, Middle East and Africa: Austria, volatility changes. Belgium, Czech Republic, Denmark, Finland, France, Germany, Greece, Hungary, Ireland, Italy, Netherlands, Norway, Poland, Por- Approximate category breakdown of clients: tugal, South Africa, Spain, Sweden, Switzerland, United Kingdom. Broker-dealers: 20%, hedge funds: 30%, mutual funds: 40%, proprietary trading desks: 10%. Contact information Scott Daspin Is pre- or post-trade analysis available? 212-237-0458 Yes. [email protected] www.bnyconvergex.com

Credit Suisse AES-Advanced Execution Services

Description of service Is pre- or post-trade analysis available? AES: Provider of global multi-asset algorithmic solutions. Yes. What types of algorithms does your firm provide? Which direct-access technology does your firm provide? VWAP, TWAP, Arrival Price, Percent of Volume, Small Order, Scal- AES provides access to most global liquidity destinations using its ing, DMA/Smart Order Router, Opportunistic, Crossing Algorithm two proprietary smart order routers: Pathfinder and Crossfinder+. Accessing Internal, Crossing Aggregator, Spread (Pairs) Trading, Market on Close, Market on Open, Switching Algorithm, Gamma Do you offer a front end? If so, what features Hedge, Delta Hedge. are included? NA What types of orders are offered around your algorithms? Limit order, Market order, Constraints, Ability to speed up or slow Do you offer report-generation capabilities? down at different constraints, Discretion, Pegging, Single-stock, NA Market on open, Market on close, Reserve, Stop market, Stop Do you offer algorithms in other asset classes? limit, Trailing stop, Probing-crossing order type. Yes: AES provides algorithmic solutions for equities, options, What are your latest algorithm offerings to be released futures and foreign exchange. and/or what new algorithms are you working on? Are your algorithms available internationally? AES has more than 100 custom algorithms that can be rolled Yes: AES is available in more than 40 countries. out in a matter of days. We also offer cross-asset and liquidity- transforming algorithms. Contact information Manny Santayana Approximate category breakdown of clients? 212-325-5300 NA [email protected] www.credit-suisse.com/ib/en/equities/aes.html

ADVANCED TRADING www.advancedtrading.com DECEMBER 2009 | 33 ALGORITHM PROVIDERS DIRECTORY

Deutsche Bank Autobahn Equity

Description of service Is pre- or post-trade analysis available? The autobahn Equity platform offers a suite of customized Pre- and post-trade analysis is available. Deutsche Bank proprietary trading, content and analytic solutions. Direct from the desktop, autobahn Equity platform empowers Which direct-access technology does your firm provide? execution, providing access to more than 60 exchanges world- Deutsche Bank uses in-house-built smart order routing technology wide. A dedicated global trading and support team provides to efficiently and quickly access both displayed and non-displayed/ 24-hour coverage. dark liquidity where appropriate. What types of algorithms does your firm provide? Do you offer a front end? If so, what features Arrival Price, Implementation Shortfall, Optimal Portfolio Execu- are included? tion, Percent of Volume, Smart Iceberg, Smart Peg, Stealth, Target FIX interface, Program trading, Options trading. Close, TWAP, VWAP, Smart Order Routing. Do you offer report-generation capabilities? What types of orders are offered around your algorithms? Yes. Limit order, Market order, Constraints, Ability to speed up or slow Do you offer algorithms in other asset classes? down at different constraints, Discretion, Pegging, Single-stock, Yes: Options, futures, FX. Market on open, Market on close, Reserve, Stop market, Stop limit, Trailing stop, Probing-crossing order type. Are your algorithms available internationally? Yes: Deutsche Bank’s algorithms are available in more than 60 What are your latest algorithm offerings to be released markets worldwide. and/or what new algorithms are you working on? Autobahn Equity continues to build on its market-leading strate- Contact information gies by customizing and tuning algorithms for client-specific Thomas Chippas needs. 212-250-3988 [email protected] Approximate category breakdown of clients: http://autobahnequity.db.com Broker-dealers: 10%, hedge funds: 40%, mutual funds: 40%, proprietary trading desks: 10%.

Fidelity Capital Markets Model Trade Execution (MTRX)

Description of service Which direct-access technology does your firm provide? Fidelity Capital Markets Model Trade Execution (MTRX) offers both All algorithms leverage Fidelity’s broad liquidity reach and routing traditional and next-generation algorithms. FCM’s suite of algorithms techniques via its smart order router, Fidelity Dynamic Liquidity are highly customizable, which allows us to better address client- Management (FDLM). FDLM sources liquidity from more than specific needs. 40 venues, including leading dark pools, ECNs and exchanges. What types of algorithms does your firm provide? Do you offer a front end? If so, what features VWAP, Implementation Shortfall, TWAP, Target Volume (participation), are included? Scaling, MOC, Liquidity-Seeking Algorithms. FIX interface, Blotter, Order routing, Market data, Position management, Options trading, Charting. What types of orders are offered around your algorithms? Limit order, Market order, Constraints, Ability to speed up or slow Do you offer report-generation capabilities? down at different constraints, Discretion, Pegging, Single-stock, Yes. Market on close, Reserve, Probing-crossing order type, 10b-18. Do you offer algorithms in other asset classes? What are your latest algorithm offerings to be released No, Fidelity Capital Markets doesn’t currently offer algorithms and/or what new algorithms are you working on? in other asset classes. Fidelity Capital Markets recently introduced a suite of liquidity- seeking algorithms. FCM’s liquidity-seeking algorithms, T-HAWK, Are your algorithms available internationally? Recoil and Adrenaline, aim to source liquidity leveraging DarkSweep No, Fidelity Capital Markets doesn’t currently offer inter- and an opportunistic model around price and size. national algorithms. Approximate category breakdown of clients: Contact information NA Matthew Kennedy 888-595-0589 Is pre- or post-trade analysis available? [email protected] Fidelity Capital Markets currently offers post-trade analysis. www.fidelitycapitalmarkets.com/

34 |DECEMBER 2009 www.advancedtrading.com ADVANCED TRADING ALGORITHM PROVIDERS DIRECTORY

Fidessa BlueBox

Description of service Which direct-access technology does your firm provide? Fidessa BlueBox is an algorithmic trading system that is integrated NA with a full-service OMS. BlueBox offers traders both a suite of industry-acknowledged models and a comprehensive framework to Do you offer a front end? If so, what features design and deploy proprietary algorithms that can be adjusted to are included? take advantage of market opportunities as they arise. BlueBox API, FIX interface, Aggregation, Blotter, Order routing, Market data, includes Benchmark Strategies and Execution Strategies. Position management, Risk management, Basket trading, Program trading, Options trading, Charting, TOM integration, Trade allocation What types of algorithms does your firm provide? systems integration. TWAP, VWAP, POV, Scaler, Pivot, Arrival, Exit, Buyback, Spotlight, Pounce, Ladder, Midmax, Reload, Nexus (Canada only), Shadow Do you offer report-generation capabilities? (Canada only), Invisible (Canada only), PI (Canada only), NCIB Yes. (Canada only). Do you offer algorithms in other asset classes? What types of orders are offered around your algorithms? NA Limit order, Market order, Constraints, Ability to speed up or slow Are your algorithms available internationally? down at different constraints, Discretion, Pegging, Single-stock, Yes: Fidessa BlueBox is available in the U.S., Canada, Europe Market on open, Market on close, Reserve, Stop market, Stop limit, and Asia. List trading, Basket trading, Pairs trading. Contact information What are your latest algorithm offerings to be released Kristin Kelly and/or what new algorithms are you working on? 212-269-9000 NA [email protected] Approximate category breakdown of clients: www.fidessa.com NA Is pre- or post-trade analysis available? NA

FlexTrade Systems FlexTRADER

Description of service Is pre- or post-trade analysis available? FlexTRADER is a broker-neutral, quantitatively enriched execution Yes. management system (EMS) that encompasses all facets of electronic and algorithmic trading. FlexTRADER seeks and facilitates direct Which direct-access technology does your firm provide? access to multiple sources of liquidity. From a single platform, orders FlexDMA. are routed automatically to various points of execution, including Do you offer a front end? If so, what features NYSE MatchPoint, BIDS Trading, Chi-X Canada, more than 100 are included? broker-dealers, as well as all leading ECNs and primary exchanges. API, FIX interface, Aggregation, Blotter, Order routing, Market data, What types of algorithms does your firm provide? Position management, Risk management, Basket trading, Program VWAP, TWAP, Target Volume, Arrival Price, Index Arbitrage, Portfolio trading, Options trading, Charting, TOM integration, Trade allocation Algorithm, Percent of Volume, Small Order, Scaling, Gamma Hedge, systems integration, Dark order router, CEP engine. Delta Hedge, Pegging, Discretion, DMA/Smart Order Router, Cross- Do you offer report-generation capabilities? ing Algorithm Accessing Internal, Crossing Aggregator, Spread Yes. (Pairs) Trading, Market on Close, Manage the Close, Switching Algorithm, Auto FX Hedging, Cap/Floor Price, Slicer, , Do you offer algorithms in other asset classes? , Order Staging, Sensitivity. Yes: FX, options, futures. What types of orders are offered around your algorithms? Are your algorithms available internationally? Limit order, Market order, Constraints, Ability to speed up or slow Yes: FlexTrade’s algorithms are global, covering the Americas, down at different constraints, Discretion, Pegging, Single-stock, Europe, Africa, Middle East and Asia. Market on open, Market on close, Reserve, Stop market, Stop limit, Trailing stop, Probing-crossing order type, List trading baskets. Contact information Sales What are your latest algorithm offerings to be released 516-627-8993 and/or what new algorithms are you working on? [email protected] Algo of Algos. www.flextrade.com Approximate category breakdown of clients: Broker-dealers: 30%, hedge funds: 25%, mutual funds: 25%, proprietary trading desks: 20%.

ADVANCED TRADING www.advancedtrading.com DECEMBER 2009 | 35 ALGORITHM PROVIDERS DIRECTORY

Fox River Execution Fox Trader

Description of service Is pre- or post-trade analysis available? Fox River Execution’s suite of execution products was developed Yes. to address the unique needs of the institutional trader. Its legacy system, Fox Trader, blends the human logic of a professional trader Which direct-access technology does your firm provide? with the precise mathematical formulas embedded in Fox River’s DMA access with configurable smart routing is available through any proprietary models. FIX-certified EMS/OMS. What types of algorithms does your firm provide? Do you offer a front end? If so, what features VWAP, TWAP, Target Volume, Arrival Price, Percent of Volume, Small are included? Order, Delta Hedge, Discretion, Spread (Pairs) Trading, Market on NA Close, Manage the Close, Switching Algorithm. Do you offer report-generation capabilities? What types of orders are offered around your algorithms? Yes. Limit order, Market order, Constraints, Ability to speed up or slow Do you offer algorithms in other asset classes? down at different constraints, Discretion, Pegging, Single-stock, NA Market on open, Market on close, Reserve, Stop market, Stop limit, Trailing stop, Probing-crossing order type. Are your algorithms available internationally? No. What are your latest algorithm offerings to be released and/or what new algorithms are you working on? Contact information Fox Pairs — for pairs trading. Cheryl Gilberg 646-871-9120 Approximate category breakdown of clients: [email protected] NA www.foxriver.com

Goldman Sachs Goldman Sachs Electronic Trading

Description of service Is pre- or post-trade analysis available? Goldman Sachs Electronic Trading (GSET) offers a global, multi- Yes, through our REDIPlus front-end EMS or through a variety of asset suite of algorithms that includes equities, futures, synthetics Web- or e-mail-based solutions. and options. Every algorithm seeks optimal execution based on user-defined parameters and accesses a number of displayed and Which direct-access technology does your firm provide? non-displayed liquidity sources. Proprietary smart routing technology to take advantage of liquidity across multiple venues. What types of algorithms does your firm provide? Sonar (liquidity-seeking), Sonar Dark, Stealth, VWAP, TWAP, Do you offer a front end? If so, what features Participate, OptimIS, Dynamic Scaling, Relative Scaling, Piccolo, are included? Navigator, Port X. API, FIX interface, Aggregation, Blotter, Order routing, Market data, Position management, Risk management, Basket trading, Program What types of orders are offered around your algorithms? trading, Options trading, Charting, TOM integration, Trade allocation Limit order, Market order, Constraints, Ability to speed up or slow systems integration, Order alerts (SmartView via REDI Hub). down at different constraints, Discretion, Pegging, Single-stock, Market on open, Market on close, Reserve, Probing-crossing order Do you offer report-generation capabilities? type, Would if good. Yes. What are your latest algorithm offerings to be released Do you offer algorithms in other asset classes? and/or what new algorithms are you working on? Yes: Futures, options, synthetics. We continue to expand our suite of strategies to other asset classes, Are your algorithms available internationally? including options and futures. Additionally, our global offering Yes: Strategies are available across Asia, Europe and North America. continues to expand and adapt to changing market dynamics. Contact information Approximate category breakdown of clients: 212-357-4255 NA [email protected] http://gset.gs.com

36 |DECEMBER 2009 www.advancedtrading.com ADVANCED TRADING ALGORITHM PROVIDERS DIRECTORY

InfoReach TMS

Description of service Is pre- or post-trade analysis available? InfoReach TMS combines order entry, rule-based portfolio trading, Yes. order management and FIX connectivity in a single broker-neutral trading platform. Product capabilities include trading of various Which direct-access technology does your firm provide? types either manually or algorithmically, including global NA equities, options, futures and FX. Order routing, pre- and post- Do you offer a front end? If so, what features trade analysis, automation of execution algorithms, and real-time are included? position monitoring. While the product offers a broad range of func- API, FIX interface, Aggregation, Blotter, Order routing, Position tionality, it can also be easily configured to deliver just a subset of management, Risk management, Basket trading, Program trading, required features. Options trading, Charting, TOM integration, Trade allocation What types of algorithms does your firm provide? systems integration. TWAP, VWAP, Pegging, Slicing, Shadow, Arrival Price, Pairs, Percent Do you offer report-generation capabilities? of Volume. Yes. What types of orders are offered around your algorithms? Do you offer algorithms in other asset classes? Limit order, Market order, Constraints, Ability to speed up or slow Yes: Futures, FX, options. down at different constraints, Discretion, Pegging, Single-stock, Market on open, Market on close, Reserve, Stop market, Stop limit, Are your algorithms available internationally? Trailing stop, Probing-crossing order type. Yes. What are your latest algorithm offerings to be released Contact information and/or what new algorithms are you working on? Sales FX, futures. 212-269-2722 Ext.2030 [email protected] Approximate category breakdown of clients: www.inforeachinc.com Broker-dealers: 30%, hedge funds: 40%, mutual funds: 10%, proprietary trading desks: 20%.

Instinet Instinet Execution Experts

Description of service Which direct-access technology does your firm provide? The Instinet Execution Experts is a suite of flexible event-driven Instinet provides DMA and EMS access globally. algorithmic strategies operating within a sophisticated risk-controlled framework. The Experts are based on a modular platform, with Do you offer a front end? If so, what features execution strategies built from underlying agents that perform are included? specialized functions within the broad categories of aggregation, API, FIX interface, Aggregation, Blotter, Order routing, Market Data, scheduling and implementation. Position management, Risk management, Basket trading, Program trading, Options trading, Trade allocation systems integration. What types of algorithms does your firm provide? The Experts include a wide range of tactical and benchmark Do you offer report-generation capabilities? strategies. Yes. What types of orders are offered around your algorithms? Do you offer algorithms in other asset classes? Limit order, Market order, Constraints, Discretion, Pegging, Single- Through Instinet’s acquisition of TORC Financial, Instinet should stock, Reserve, Stop market, Stop limit, Probing-crossing order type. soon have the ability to extend the Experts into futures and options. What are your latest algorithm offerings to be released Are your algorithms available internationally? and/or what new algorithms are you working on? Yes: Instinet offers algorithms in all major North American, Instinet has recently enhanced the anti-gaming logic in the Experts European and Asian markets. and will continue adding additional markets – both displayed venues Contact information and dark pools – around the world as they become available. U.S. Institutional Sales Approximate category breakdown of clients: 877-467-8463 Hedge funds: 60%, mutual funds: 40%. [email protected] www.instinet.com Is pre- or post-trade analysis available? Yes, Instinet offers a pre-, post- and real-time trade analytics suite — Instinet InSight.

ADVANCED TRADING www.advancedtrading.com DECEMBER 2009 | 37 ALGORITHM PROVIDERS DIRECTORY

Investment Technology Group (ITG) ITG Algorithms, ITG Routers

Description of service Is pre- or post-trade analysis available? ITG Algorithms integrate pre- and post-trade analysis to reduce Yes: Both pre- and post-trade analysis is available. market impact, maximize execution quality and improve perform- ance. ITG Algorithms and ITG Routers offer access to rich liquidity, Which direct-access technology does your firm provide? including POSIT Marketplace. ITG has its own router capability, ITG Routers. What types of algorithms does your firm provide? Do you offer a front end? If so, what features VWAP, TWAP, Volume Participation, Arrival Price, Portfolio Algorithm, are included? DMA/Smart Order Router, Crossing Algorithm Accessing Internal/ API, FIX interface, Aggregation, Blotter, Order routing, Market data, Aggregator, Spread (Pairs) Trading, Market on Close, Manage the Position management, Risk management, Basket trading, Program Close, Liquidity-Seeking, Float. trading, Options trading, Charting, TOM integration, Trade allocation systems integration. What types of orders are offered around your algorithms? Limit order, Market order, Constraints, Ability to speed up or slow Do you offer report-generation capabilities? down at different constraints, Discretion, Pegging, Single-stock, Yes. Market on open, Market on close, Stop limit, Probing-crossing Do you offer algorithms in other asset classes? order type. Yes: Index futures. What are your latest algorithm offerings to be released Are your algorithms available internationally? and/or what new algorithms are you working on? Yes: ITG Algorithms are available in Canada, Europe and Asia. Raider liquidity-seeking algorithm introduced in 2009; interlisted feature on all algorithms soon to be introduced. Contact information 866-244-4766 Approximate category breakdown of clients: [email protected] NA www.itg.com

J.P. Morgan Electronic Client Solutions (ECS) Description of service Which direct-access technology does your firm provide? Electronic Client Solutions (ECS) provides a full suite of elec- J.P. Morgan is certified with all of the major vendors and net- tronic products to institutional, middle-market and work providers to allow easy implementation and flexibility. clients, including global direct market access, pre- and post- Within equities, J.P. Morgan is certified with the following trade analytics, and various algorithmic trading tools designed vendors: OMSs: Bloomberg, Charles River, Decalog, Eze Castle, to minimize transaction costs and maintain anonymity. FlexTRADER, INDATA, ITG, LatentZero, Longview, Macgregor MFTP & XIP, Moxy, Neovest, Oneva Trade EQ, Portware Profes- What types of algorithms does your firm provide? sional, Predator, TEAMTrader. For networks and intermediaries, VWAP, TWAP, POV, Implementation Shortfall (IS), Arid, Aqua, see online. Smart Order Router (SOR), Peg, Smarket, Close. Do you offer a front end? If so, what features What types of orders are offered around your algorithms? are included? Limit order, Market order, Constraints, Ability to speed up or API, FIX interface, Aggregation, Blotter, Order routing, Market slow down at different constraints, Discretion, Pegging, Single- data, Position management, Risk management, Basket trading, stock, Market on open, Market on close, Reserve, Adaptation Program trading, Options trading, Charting, TOM integration, tactics, Stampede price. Trade allocation systems integration. What are your latest algorithm offerings to be released Do you offer report-generation capabilities? and/or what new algorithms are you working on? Yes. J.P. Morgan’s global team of more than 40 quantitative special- ists is continually fine-tuning the algorithmic strategies. New Do you offer algorithms in other asset classes? potential strategies include Ladder, Portfolio IS and Pairs. Yes: Futures, options. Approximate category breakdown of clients: Are your algorithms available internationally? Broker-dealers: 10%, hedge funds: 30%, mutual funds: 50%, Yes: Austria, Belgium, Denmark, Finland, France, Germany, Italy, proprietary trading desks: 10%. Netherlands, Norway, Portugal, Spain, Sweden, Switzerland, United Kingdom, Australia, Hong Kong, Japan, Korea, Singa- Is pre- or post-trade analysis available? pore, Taiwan. OnSite Online is J.P. Morgan’s trade analytics tool that concen- trates trade structuring in evaluating different methods for trade Contact information optimization and implementation of cross-product strategies David Conner with customized, client-driven analytic reporting. It is a light- 212-622-4854 weight, Web-based portfolio management and trade analysis [email protected] tool that provides components for pre-, concurrent and post- www.jpmorgan.com/pages/jpmorgan/investbk/ trade analysis on the user’s desktop and is also integrated with solutions/equities/ecs several buy-side OMSs.

38 |DECEMBER 2009 www.advancedtrading.com ADVANCED TRADING ALGORITHM PROVIDERS DIRECTORY

Lightspeed Trading Lightspeed Gateway

Description of service tools to help facilitate your trade monitoring, accounting, and Lightspeed Gateway offers a dynamic black-box development compliance and risk. Lightspeed Gateway strives to maintain all solution for traders who depend on high-performance direct- risk and compliance checks with an emphasis on keeping latency market access. From standard features like order entry and data to a minimum. Lightspeed Gateway allows you to apply limits to retrieval, to the speed benefits of colocation and a character- your account, such as maximum daily loss/gain, daily shares delimited protocol, Lightspeed Gateway has redefined the tech- traded, number of shares and/or positions held. nology behind the algorithmic trading. Which direct-access technology does your firm provide? What types of algorithms does your firm provide? Lightspeed Gateway. We do not offer preformatted algos. Each automated trader or Do you offer a front end? If so, what features black-box trading group accessing the market via Lightspeed are included? Gateway gets the same low-latency, reliable connection to Aggregation, Order routing, Market data, Position management, allow the most control in tailoring an algorithm to best fit a Risk management, Charting. trading strategy. Do you offer report-generation capabilities? What types of orders are offered around your algorithms? Yes. Limit order, Market order, Pegging, Single-stock, Market on open, Market on close, Reserve. Do you offer algorithms in other asset classes? No. What are your latest algorithm offerings to be released and/or what new algorithms are you working on? Are your algorithms available internationally? NA No. Approximate category breakdown of clients: Contact information Broker-dealers: 20%, hedge funds: 10%, proprietary trading Andrew Actman desks: 70%. 888-577-3123 (888-LSPD-123) Is pre- or post-trade analysis available? [email protected] www.lightspeed.com Lightspeed provides 14 hours of trade support every day to every account, including dedicated technology and financial management teams. Lightspeed provides a suite of software

Morgan Stanley Morgan Stanley Benchmark Execution Strategies (BXS)

Description of service Which direct-access technology does your firm provide? Morgan Stanley Electronic Trading (MSET) provides a complete We utilize our own proprietary smart order routing technology to spectrum of services from pre-trade analytics, execution, access the market. post-trade execution performance analysis and commission management. Do you offer a front end? If so, what features are included? What types of algorithms does your firm provide? API, FIX interface, Aggregation, Blotter, Order routing, Market TWAP, VWAP, Arrival Price, Close, Target Percentage of data, Position management, Risk management, Basket trading, Volume, Close, Pegging, Smart Order Routing, Opportunistic Program trading, Options trading. Liquidity Strategies. Do you offer report-generation capabilities? What types of orders are offered around your algorithms? Yes. Limit order, Market order, Constraints, Ability to speed up or slow down at different constraints, Discretion, Pegging, Single- Do you offer algorithms in other asset classes? Yes: Futures, options. stock, Market on open, Market on close, Reserve, Stop market, Stop limit, Probing-crossing order type. Are your algorithms available internationally? What are your latest algorithm offerings to be released Yes: Austria, Belgium, Czech Republic, Denmark, Finland, France, and/or what new algorithms are you working on? Germany, Greece, Hungary, Ireland, Italy, Netherlands, Norway, We recently launched our full suite of algorithms in Mexico Poland, Portugal, South Africa, Spain, Sweden, Switzerland, and Brazil as well as portfolios based algorithms across North Turkey, UK, Australia, Brazil, Canada, Hong Kong, India, Japan, America and Europe. Korea, Mexico, Singapore, Taiwan. Approximate category breakdown of clients: Contact information Broker-dealers: 10%, hedge funds: 50%, mutual funds: 30%, Court Crane proprietary trading desks: 10%. 212-761-8653 [email protected] Is pre- or post-trade analysis available? www.morganstanley.com/institutional/sales/ Yes: Through our Morgan Stanley Analytics platform. electronic_trading.html

ADVANCED TRADING www.advancedtrading.com DECEMBER 2009 | 39 ALGORITHM PROVIDERS DIRECTORY

Neonet Global Agency Broker

Description of service Which direct-access technology does your firm provide? Neonet is an agency broker providing a complete suite of global Neonet connects directly to 38 markets primarily via our exchange execution products and advanced technology solutions. This includes memberships. Clients can access Neonet via our Neonet Trader front algorithmic strategies and proprietary smart routing capabilities. end, via FIX, and via 38 different third-party OMS and EMS systems. What types of algorithms does your firm provide? Do you offer a front end? If so, what features Pegging with Multiple Anti-Gaming features, Hidden, TWAP, VWAP, are included? Arrival Price, Smart MOC, Dark. Aggregation, Blotter, Order routing, Market data, Position manage- ment, Risk management, Basket trading, Program trading, Charting. What types of orders are offered around your algorithms? Limit order, Market order, Constraints, Discretion, Pegging, Single- Do you offer report-generation capabilities? stock, Market on open, Market on close, Reserve, Stop market, Stop Yes. limit, Trailing stop. Do you offer algorithms in other asset classes? What are your latest algorithm offerings to be released No, equities only. and/or what new algorithms are you working on? Our dark algo for Europe was released last month. We have a Are your algorithms available internationally? snake algo and a soft stop algo coming out shortly in Europe also. Yes: Neonet focuses on the non-U.S. marketplace, with next-genera- Integrating our strategy algos to sweep dark venues in Europe is tion algos and smart routing available across the changing European also being finalized. landscape. We also offer a full algo suite in Asia. Approximate category breakdown of clients: Contact information NA Gregory Treacy 201-526-8600 x2 Is pre- or post-trade analysis available? [email protected] Yes. www.neonet.com

NYFIX Millennium NIX Algorithms

Description of service Is pre- or post-trade analysis available? A full suite of algorithmic trading strategies designed to No. improve trading performance, streamline workflow and effort, and optimize focus. Which direct-access technology does your firm provide? We access exchanges, ECNs and other market centers via our own What types of algorithms does your firm provide? DMA and smart routing services. Benchmark algorithms such as VWAP, TWAP, Inline and Corporate Buyback; and dark algorithms such as Stealth and Stealth Optimizer. Do you offer a front end? If so, what features are included? What types of orders are offered around your algorithms? NA Limit order, Market order, Constraints, Ability to speed up or slow down at different constraints, Discretion, Pegging, Single-stock, Do you offer report-generation capabilities? Market on open, Market on close, Reserve. Yes. What are your latest algorithm offerings to be released Do you offer algorithms in other asset classes? and/or what new algorithms are you working on? No. The recently enhanced Inline algorithm is now “Inline Plus.” Inline Are your algorithms available internationally? Plus still attempts to capture a user-defined percentage of the market No. volume, but now it can work on multiple limits and multiple percent- age levels. This allows traders to dynamically alter the aggressive- Contact information ness at which they trade. Brian Carr 646-525-3000 Approximate category breakdown of clients: [email protected] Broker-dealers: 80%, hedge funds: 10%, mutual funds: 10%. www.nyfix.com

40 |DECEMBER 2009 www.advancedtrading.com ADVANCED TRADING ALGORITHM PROVIDERS DIRECTORY

Portware Portware Enterprise

Description of service Which direct-access technology does your firm provide? Portware is a developer of broker-neutral, automated portfolio trad- NA ing software for global equities, futures, options and FX. Portware provides highly integrated solutions to streamline workflow and Do you offer a front end? If so, what features increase operational efficiencies on trading desks worldwide. are included? API, FIX interface, Aggregation, Blotter, Order routing, Market data, What types of algorithms does your firm provide? Position management, Risk management, Basket trading, Program VWAP, TWAP, Target Volume, Arrival Price, Index Arbitrage, Portfolio trading, Options trading, Charting, TOM integration, Trade allocation Algorithm, Percent of Volume, Small Order, Scaling, Gamma Hedge, systems integration. Delta Hedge, Pegging, Discretion, DMA/Smart Order Router, Cross- ing Aggregator, Spread (Pairs) Trading, Market on Close, ETF Arb, Do you offer report-generation capabilities? ETF Market Making, Index Arb. Yes. What types of orders are offered around your algorithms? Do you offer algorithms in other asset classes? Limit order, Market order, Constraints, Ability to speed up or slow Yes: Portware supports domestic and international equities, listed down at different constraints, Discretion, Pegging, Single-stock, options, FX and futures. Market on open, Market on close, Reserve, Stop market, Stop limit, Are your algorithms available internationally? Trailing stop, Probing-crossing order type. Yes: Portware is a global trading solution. Our algorithms can be What are your latest algorithm offerings to be released deployed in any markets and we provide access to any broker, ATS, and/or what new algorithms are you working on? exchange or execution venue worldwide. NA Contact information Approximate category breakdown of clients: Jim Feingold, Global Head of Sales Broker-dealers: 20%, hedge funds: 40%, mutual funds: 30%, 212-425-5233 proprietary trading desks: 10%. [email protected] www.portware.com Is pre- or post-trade analysis available? Yes: Portware integrates with more than 10 providers of pre- and post-trade analytics packages and seamlessly integrates these analytics into real-time trading blotters.

Pragma Adaptive Algorithmic Strategies

Description of service Is pre- or post-trade analysis available? Pragma is a New York-based financial services firm and an Pragma has a comprehensive suite of pre-, post- and real- established provider of sophisticated and innovative trading solu- time analytics. tions. Pragma’s suite of products includes Onepipe, Lifeguard’s advanced order protection logic, Onecross - unique benchmark Which direct-access technology does your firm provide? crosses, Peak solution for brokers, and a full suite of sophis- NA ticated adaptive single-stock and portfolio execution strategies. Do you offer a front end? If so, what features What types of algorithms does your firm provide? are included? Onepipe (Liquidity Aggregation), Capture, Arrival Price, VWAP, POV, API, FIX interface, Aggregation, Blotter, Order routing, Basket TWAP, Pairs, Basket Strategies, DMA. trading, Program trading. What types of orders are offered around your algorithms? Do you offer report-generation capabilities? Limit order, Market order, Constraints, Ability to speed up or slow Yes. down at different constraints, Discretion, Pegging, Single-stock, Do you offer algorithms in other asset classes? Probing-crossing order type. NA What are your latest algorithm offerings to be released Are your algorithms available internationally? and/or what new algorithms are you working on? NA We just released “Adaptive Overlays” to our suite of strategies. These overlays allow the user to put various controls and adaptive Contact information constraints on how an order executed. Some of these overlays David Margulies include: min/max pct. of volume, speed-up/slow-down based on 212-897-0951 performance relative to a benchmark, dollar price or tradable [email protected] asset (i.e. SPY, ETF, etc.). Would if I could, Exposure to ONEPIPE www.pragmatrading.com (dark pools), etc. Approximate category breakdown of clients: NA

ADVANCED TRADING www.advancedtrading.com DECEMBER 2009 | 41 ALGORITHM PROVIDERS DIRECTORY

Progress Software – Apama Progress Apama

Description of service Which direct-access technology does your firm provide? The Apama platform offers flexible and powerful complex event pro- Apama offers an ever-expanding list of connectivity options. cessing (CEP) capabilities and broad market connectivity, together Information is available at http://web.progress.com/apama/ with tools to empower both buy- and sell-side firms to create and integration-framework.html. deploy unique trading strategies. Do you offer a front end? If so, what features What types of algorithms does your firm provide? are included? Crossing Aggregator, Spread (Pairs) Trading, Market on Close, API, FIX interface, Aggregation, Blotter, Order routing, Market Manage the Close, Switching Algorithm, VWAP, TWAP, etc. Virtually data, Position management, Risk management, Basket trading, any algorithm is available or can be built on the Apama platform. Program trading, Options trading, Charting, TOM integration, Trade The core value of Apama is its ability to built unique, proprietary allocation systems integration. Above are offered or supported via algorithms, rather than black-box algos. integration options. What types of orders are offered around your algorithms? Do you offer report-generation capabilities? Limit order, Market order, Constraints, Ability to speed up or slow Yes. down at different constraints, Discretion, Pegging, Single-stock, Market on open, Market on close, Reserve, Stop market, Stop limit, Do you offer algorithms in other asset classes? Trailing stop, Probing-crossing order type. Virtually any algorithm Apama supports trading or related applications (like market can be built within the Apama platform. making/pricing) in equities, foreign exchange, derivatives, fixed income and energy/commodities. Apama also supports cross-asset What are your latest algorithm offerings to be released trading strategies. and/or what new algorithms are you working on? Apama Algorithmic Trading Accelerator. Details are available at Are your algorithms available internationally? www.progress.com/apama. Yes: Progress Apama is part of Progress Software and is available in North and South America, Europe, Middle East, Asia, and Australia. Approximate category breakdown of clients: We have customer deployments in all, including individual deploy- Broker-dealers: 40%, hedge funds: 30%, proprietary trading ments that span multiple geographies. desks: 30%. Contact information Is pre- or post-trade analysis available? Chris Martins Yes: Such analytics can be built within the Apama platform or we 781-280-4726 can work with third-party tools. [email protected] www.progress.com/apama

Rosenblatt Securities Rosenblatt Execution Algorithmic Logic (REAL)

Description of service Approximate category breakdown of clients: Rosenblatt Securities is an agency-only execution firm providing NA clients with access to best-of-breed algorithms that give the trader- customized solutions and real-time interactivity. In addition we Is pre- or post-trade analysis available? advise clients on the appropriate type of algorithms to select consis- Yes: Via our proprietary suite of analytics. tent with their overall investment process through the application Which direct-access technology does your firm provide? of our Rosenblatt Integrated Transaction Analytics (RITA) product. As agency brokers, we access all markets. What types of algorithms does your firm provide? Do you offer a front end? If so, what features VWAP, TWAP, Arrival Price, Percent of Volume, Dark Only, Pairs, are included? Portfolio Algos, Pegging, Discretion, Scaling, Corporate Buybacks. FIX interface, Blotter, Order routing, Market data. What types of orders are offered around your algorithms? Do you offer report-generation capabilities? Limit order, Market order, Constraints, Ability to speed up or slow Yes. down at different constraints, Discretion, Pegging, Single-stock, Market on open, Market on close, Reserve, Stop market, Stop limit, Do you offer algorithms in other asset classes? Trailing stop, Probing-crossing order type. No. What are your latest algorithm offerings to be released Are your algorithms available internationally? and/or what new algorithms are you working on? Yes: Developed markets. We are assisting customers with their internal development of Contact information third-party algorithms on the NYSE floor, as well as working with Joseph Gawronski a partner to customize its floor algorithm offering to customers. 212-607-3110 These algorithms offer advantages that floor brokers enjoy today as [email protected] member firms with a physical presence on the floor such as parity. http://rblt.com Leveraging our expertise in the dark pool space, we will soon provide a dark pool aggregator algorithm as well.

42 |DECEMBER 2009 www.advancedtrading.com ADVANCED TRADING ALGORITHM PROVIDERS DIRECTORY

Tethys Technology Execta Premium

Description of service Which direct-access technology does your firm provide? Tethys is a provider of high-performance, global, multi-asset-class NA trading software and analytics. Our Execta execution management and strategy automation platform offers unique flexibility, scalability Do you offer a front end? If so, what features and high-performance systematic execution. are included? API, FIX interface, Aggregation, Blotter, Order routing, Market data, What types of algorithms does your firm provide? Position management, Risk management, Basket trading, Program VWAP, TWAP, Linear Time Weighted Average Price, Synthetic Pegging, trading, Options trading, Charting, TOM integration, Trade allocation Minimum Time, Sweeping, At Limit, Scaling, Implementation systems integration. Shortfall, Stealth. Do you offer report-generation capabilities? What types of orders are offered around your algorithms? Yes. Limit order, Market order, Constraints, Ability to speed up or slow down at different constraints, Discretion, Pegging, Single-stock, Do you offer algorithms in other asset classes? Market on open, Market on close, Reserve, Stop market, Stop limit, Yes: Options, futures, forex. Trailing stop. Are your algorithms available internationally? What are your latest algorithm offerings to be released Yes: Globally for futures and foreign exchange. U.S. and Europe and/or what new algorithms are you working on? for equities. ESPRD: Multi-leg Spreading algorithm; ESTLTH: Stealth algorithm; Contact information ESCAL: Scaling algorithm. Mary Cogger Approximate category breakdown of clients: 212-509-5602 Broker-dealers: 30%, hedge funds: 50%, mutual funds: 10%, [email protected] proprietary trading desks: 10%. www.tethystech.com Is pre- or post-trade analysis available? Extensive real-time pre-trade, live and post-trade transactions cost analysis module incorporating sophisticated algo choice capabilities.

UBS Investment Bank UBS Direct Execution

Description of service Which direct-access technology does your firm provide? UBS Direct Execution is the firm’s global institutional electronic All UBS DMA and algorithmic orders interact with our smart order trading business. Direct Execution offers direct market access (DMA), router, which is fully integrated with our trading platform. All order a suite of advanced algorithmic trading strategies, an execution logic comes from the order type or algorithm, not from the router management system called UBS Pinpoint, and a Web-based analyt- itself. Our smart order router features highly scalable capacity, ics platform called UBS Fusion. A comprehensive offering, UBS speed/super low latency and advanced intelligence in addition to Fusion provides clients with a flexible set of pre-, at- and post-trade global access to displayed and non-displayed venues. analytics and tools, including Real-Time TCA. Do you offer a front end? If so, what features What types of algorithms does your firm provide? are included? We offer a full suite of liquidity-seeking and price and volume API, FIX interface, Blotter, Order routing, Market data, Position sensitive trading strategies including: UBS Tap, TapNow, Pairs, management, Risk management, Basket trading, Program trading, Perimeter, Price Inline, Volume Inline, VWAP, TWAP, Implementation Options trading, Charting, TOM integration, Trade allocation Shortfall and At Close. systems integration. What types of orders are offered around your algorithms? Do you offer report-generation capabilities? Limit order, Market order, Constraints, Ability to speed up or slow Yes. down at different constraints, Discretion, Pegging, Single-stock, Market on open, Market on close, Reserve, Stop market, Stop limit, Do you offer algorithms in other asset classes? Probing-crossing order type. Yes: We also offer algorithms for futures and listed options trading. What are your latest algorithm offerings to be released Are your algorithms available internationally? and/or what new algorithms are you working on? Yes: UBS algorithms are available in the United States, Canada, We recently released UBS Perimeter and UBS Pairs and continue Europe, the Middle East, South Africa and across Asia-Pacific. to update and add functionality. We are also working on a suite of Contact information portfolio algorithms. 203-719 1750 Approximate category breakdown of clients: [email protected] NA www.ubs.com/directexecution Is pre- or post-trade analysis available? We provide real-time, pre- and post-trade analysis through UBS Fusion, our trading analytics platform. With real-time analysis, clients get continuously updated information while orders are still active.

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