Exegy Improves Best Execution with Predictive VWAP Algorithm

Insights July 29, 2021 Press Releases

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Exegy Inc. public relations department

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New Signum Whitepaper Quantifies Value of Real-Time Trading Signals

St. Louis, MO—July 29, 2021—Exegy Inc., the global leader in low-latency market data and execution solutions, predictive trading signals, and hardware-acceleration technology, today released the performance results of an execution algorithm powered by real-time predictive signals in their Signum portfolio. The new algorithm applies Signum’s real-time predictive signals to significantly improve execution costs by over two basis points—demonstrating another example of how our clients can benefit from Signum’s portfolio of real-time predictions of quote dynamics. By enhancing a Volume Weighted Average Price (VWAP) algorithm with Signum’s prediction of quote direction and duration, Exegy’s Signum team produced an “intelligent” algo capable of capturing 52% of the performance gains achievable with perfect knowledge of the next national best bid and offer (NBBO) quote.

“In addition to the dramatic reduction in execution cost, our work also shows that our real time signals, which capture sub-millisecond price movements, can yield meaningful financial benefits for traders operating at longer timescales—opening the use of Signum to brokerages, execution venues, principal traders, asset managers, and those who develop their own algorithms,” says Andy Lee, Director of Quantitative Research at Exegy. The goal of a VWAP execution algorithm is to minimize market impact by adhering to a trading schedule consistent with the intraday trading volume profile of a given security. Signum utilized two of its real-time predictive signals to enhance best execution; Quote Vector predicts NBBO quote direction, while Quote Fuse predicts the duration of NBBO quotes.  

Compared to a standard VWAP, Signum’s predictive VWAP algorithm showed over two basis points lower execution cost than the benchmark VWAP and 77% of the constituents in our securities universe (S&P 500) improved over the benchmark. Exegy is offering the predictive VWAP algorithm as a free example application, anticipating that firms with experienced execution algorithm designers will be inspired to use these signals to achieve even greater returns.

This predictive VWAP algorithm for best execution is the latest application of Signum signals in the creation of enhanced trading strategies. Exegy has previously introduced two alpha generating strategies: Octane, a long-short index strategy with 1.9x better returns and 2.5x less drawdown than the S&P 500, and Diesel, its more defensive complement that provides 10x less drawdown. Exegy believes that the evolution of AI and ML driven trading strategies won’t stop with high frequency traders and market makers. Its Signum team continues to develop signals that improve all aspects of trading including execution algorithms and order management systems. To learn more about the predictive VWAP algorithm and Signum real-time signals that drive its differentiated performance, read our whitepaper here.

About Exegy®, Inc. Exegy provides global market data and execution solutions, predictive trading signals, and hardware trading platforms to elite firms in the financial services industry. Today, Exegy serves as a strategic partner to leading principal traders, agency and retail brokers, exchanges, Alternative Trading System (ATS) and dark pool operators, market makers, hedge funds, and asset managers. At the heart of Exegy solutions are purpose-built appliances, hardware-acceleration and artificial intelligence technologies derived from an extensive portfolio of patented and patent-pending technology. To learn more about Exegy’s Signum portfolio of real-time trading signals, visit www.exegy-signum.com. Exegy promotes the design of robust electronic markets through its MarketDataPeaks service that reports real-time market data feed rates.

For more information, visit us at www.exegy.com and follow Exegy on LinkedIn and Twitter @ExegyMarketData. Visit our Facebook and Instagram here.