Scotiabank’s algorithmic trading platform has evolved over the past 11 years. Originally designed to put advanced tools in the hands of Scotiabank’s internal trading desks, our algo suite is now offered to institutional clients through a variety of EMS and OMS platforms.
Our algo suite is built on a multi-level structure with a market-aware, and technically-advanced engine that enhances execution based on order and market-specific parameters.
A flexible algo order type with the option to turn on any combination of the dark, take, and peg/penny functionalities. May optionally seek specified minimum size liquidity in dark/lit markets.
(Volume Weighted Average Price)
Works the order over the specified time period, finishing at the end time unless constrained by a price or volume limit. VWAP weights its schedule according to historical volume distributions.
Does not book orders but will send fill or kill orders to pick up any available shares at its trigger price or better.
(Time-Weighted Average Price)
Works the order over the specified time period, finishing at the end time unless constrained by a price or volume limit. TWAP spreads the trade evenly over the period.
(Percentage of Volume)
Trades a set percentage of the non-block volume.
Scales its rate of trading with market volume and relative price movements.
(Multiple Percentage of Volume)
Trades ranges and percentages of the non-block volume.
Continuously adapts to evolving market conditions while targeting arrival price.
Places the order across Canadian and US dark liquidity sources and dynamically re-balances across venues as fills are received