A-Team Insight Briefs

Horizon Adds Algo for Implementation Shortfall Trading Strategy

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Horizon Software has extended its execution algo suite with an implementation shortfall strategy algo that aims to set up two levels of spots and three levels of participation rate. This enables enable users to adapt the participation rate to the spot evolution. The algo also provides choice to either define fixed levels of trading spots or follow the VWAP plus or minus a percentage along the execution. The ultimate aim of the strategy is to increase targeted participation rate when a stock price moves favourably and decrease it when a stock price moves adversely.

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