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June 18, 2008

Fidessa's Algos Go Short-Term

By James Ramage

Order management system vendor Fidessa has augmented its collection of BlueBox algorithms with a handful of short-term trading strategies.

In designing its newest algos, the trading software vendor talked to traders and gauged their needs. In one case, they noticed how traders were sometimes performing repetitive manual actions that could be done automatically, said Matthew Rowley, Fidessa's vice president and global product manager for BlueBox.

Traders would post an order, and then change the price 20 times within a few minutes while trying to chase the market. "I found that we could actually put these into an algorithmic form that allows them to push an autopilot button and do the same thing," Rowley said.

Rather than work on a longer-term trading trajectory, he said, the new suite of algos seeks price improvement for smaller, short-term orders that had been spliced from larger ones.

Fidessa's new algos offer a variety of functions:

> Spotlight is an aggregation algo for dark and visible liquidity pools. It can use

execution feedback to rebalance order quantity across pools with active

liquidity.

> Pounce uses its technical pricing model to unearth market opportunities.

> Ladder lets users peg multiple price points within the market.

> Midmax employs passive and aggressive strategies to get price improvement.

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