Hi Client,

2024 was a very productive year!  We released seven product optimization cycles, with significant investments in platform resilience, liquidity seeking and enriched opportunistic trading optimizations, improved open and close auction logic, low latency routing enhancements, the introduction of parent order aggregation tools, and upgrades to our analytics suite, to name a few.  

Liquidity Seeking 

• Opportunistic Triggers – For schedule-driven algos that are configured for liquidity seeking trading intent, the Opportunistic phase runs parallel with passive and aggressive phases and will cross the spread when our proprietary models detect quality liquidity based on the following configured triggers: Stable/Large Quote, SDP SI, SOR Sweep, Interlisted PI, Dark Sweep, and Periodic Auction (EMEA only).  Learn More.
  • Opportunistic Allocation - allocate shares from the parent order as a % of shares available to work in the schedule or as a percentage of the orders size. 
  • Moneyness vs Arrival or VWAP - moneyness activates when prices move in a specified amount in a certain direction from the current NBBO midpoint to a reference price movement that is favorable (in the money) or unfavorable (out of the money).
  • Periodic Auction (EMEA) - when this trigger is activated, the algo will iterate through the Periodic Auction placers configured in Opportunistic by rank. At each rank, we will evaluate the latest available periodic auction indicative feed for that venue, and if the opportunistic threshold criteria is met, we’ll send an order to that placer/venue

Auction 

• Open & Close Auction – We are leveraging auction feed data across all schedule-driven algos, using the imbalance and paired volume data to more accurately forecast the open and close auction slice. For the open auction we are also using the auction feed response types Offset All and Target.  Offset All will commit as much as it can to the open, respecting max volume settings on the order.  Target will apply the percentage of volume as set on the order.  Learn more.

Low Latency Router Enhancement

• DART (Data Center Aware Routing Technology) - We improved our Low Latency Lit Routing Logic.  It is time optimized to pursue quote capture by synchronizing order placements and releasing them to targeted venues at the same time with microsecond precision.  The router has data center – awareness so that all venues will be accessed locally (by a co-located router), and timestamps are synced across routers.

Parent Order Aggregation

• Parent Order Aggregation –  Is a beneficial toolset when adding or reducing positions in the same strategy/name. Instead of working two orders and risking information leakage, orders are aggregated into a single ticket that will trade on one schedule for AP, POV, TWAP, and VWAP.  Learn More.
  
  

Analytics

• TCA Upgrades – We have added several enhancements to TCA reports for deeper analytics. We have added additional flow segmentation to assess performance by participation rate, spread, order duration, start time, volatility, and price trend.  Review a sample of the new EOD TCA features that have been released. In addition, we have released a *Beta* instance of our Report Center module. If you would like a demo or trial access, please contact your Clearpool Execution Consultant.  

We released a lot of upgraded features and have exciting plans for 2025. Connect with your Clearpool Execution Consultant to learn more and keep up to date on the latest AMS product releases.

Login to the AMS to explore these new features. 

Coming Soon! Be on the look out for our New CORE and Situational Algorithms.

Best,
Clearpool Sales
sales@clearpoolgroup.com