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September 2, 2013

Kissell Offers Algo Performance Data

By John D'Antona Jr.

Kissell Research Group now offers a measurement tool, dubbed Algorithmic Decision Selection Tree, which provides real-time data showing the performance of a broker's algorithms. This gives institutional investors a way to measure their brokers' algorithmic performance while trading.

The tool is part of Kissell's transaction-cost analysis offering TradeMetrics. Buysiders input data such as the security name, order size, algorithm, trading style and market conditions to get a result. They do not input the name of the broker-that is provided by ADST.

The goal is to help buysiders more easily see the benefit realized by changing algorithms, algorithmic parameters or brokers before the completion of the order. Investors can now see how each broker's offerings fare, and either hold them accountable or change strategy based on performance, company president Robert Kissell said.

"This enables investors to route orders and designate trades based on the best-performing brokers and least costly algorithmic providers," Kissell said. "This is an advisory tool and can also serve as the underlying intelligence embedded into the investor's actual switching engine."

Buyside traders can incorporate this algorithm decision tool into their order or execution management systems, allowing the software to function as a switching engine, in theory, Kissell said. The software can be used throughout the trading process, he added.

 

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