Nicholas Pratt
Nicholas Pratt

Identifying the optimal combination of FX algorithms

The decision on whether or not to use FX algorithms is an easy one to make in today's market, however deciding which ones to use is a more difficult choice. For example, is it better to deploy an off-the-shelf algorithm or a customised solution? How much tailoring can be done with an off-the-shelf solution and how much work on the clients' side does customisation involve? Nick Pratt examines some of the key issues.

Are there new tools available to help identify the cause and effect of specific trading techniques and suggest new combinations of algorithms to adopt? Similarly, are there tools available to help back-test and fine-tune new execution strategies prior to deployment? Or better still are there some kind of metrics that can be used to measure the success of specific algorithms or to determine whether they are using an optimal combination of FX algorithms? A clear sign that FX algorithms are becoming more popular is the fact that the major sell-side banks, Credit Suisse, Deutsche Bank and Citi among others, are continuing to develop and market new execution algorithms for their buy-side clients. Deutsche Bank has just released its AutobahnFX Algo, which is designed to fine-tune its FX execution service by offering a greater choice of strategies. The three algorithms on offer are named Limit Order+, Slicer and Limit Order Slicer.The first strategy, Limit Order+ is aimed at clients who want to execute their trades...continued

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