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February 18, 2010

Switching Engine Gets a New Sidekick

By James Ramage

Pipeline Trading Systems wants to give volume-weighted average price orders a leg up in beating VWAP.

To achieve that end, Pipeline created Munitions Manager, which works in conjunction with its algo Switching Engine--an algorithmic management system.

The manager sits on top of Pipeline's Switching Engine, a product that is more than two years old. The engine chooses the right brokerage algorithm for an order and toggles between different ones in response to changing market conditions.

As the Switching Engine works the VWAP order, the new product can either speed up or slow down buys or sells when it sees advantageous trends. This automates the trader's strategy.

Unlike a VWAP algo, which seeks the average price over the course of the day, the Munitions Manager uses data analysis to set tactical limits and pick the right price points.

One Pipeline exec said there is also a "fair price" component that can take the order out of the market entirely if prices get out of whack. Pipeline claims the results will usually beat VWAP.

Several buyside firms are using the new product. The buyside connects to it from the Pipeline user interface or through a FIX connection.

 

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