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The Algorithmic Aggregator

Traders Magazine, November 2004

Peter Chapman

Lava Trading did it with ECNs. Could Electronic Specialist, a direct market access brokerage, do it with algorithms? Back in 1999, Lava introduced an ECN aggregation product called ColorBook. The software combined all of the books of the major Nasdaq trading venues together onto one screen. Sellside traders could finally get a complete picture of the fragmented Nasdaq market. Lava became a huge success. Now, as a flood of algorithmic trading models pour out of brokers' cash equities departments, buyside traders are facing a new kind of fragmentation. To which model do they send their orders? How do they compare across platforms? Is every VWAP algorithm the same? Is every arrival price model?

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