Calyon Financial Introduces VWAP and TWAP Algorithmic Execution Tools
10/10/2007 22:51
PR Newswire
CHICAGO, October 10 /PRNewswire/ --
Calyon Financial today announced the introduction of eight new
algorithmic execution tools exclusively available for the brokerage firm's
clients. The algorithms have been designed by Calyon Financial's industry-
recognized Research Group to help clients minimize the market impact of their
orders on many of the leading global futures contracts under a variety of
market conditions and trading-day scenarios.
The algorithms are based on extensive testing and a comprehensive,
historical market depth tick database on actively traded CME, CBOT, Eurex,
Euronext.Liffe, ICE and MX contracts assembled by Calyon Financial. In
addition to offering the eight algorithmic executions, Calyon Financial also
can utilize the data to assist in addressing specific client queries on how
best to work an order and to analyze how well a given algorithm has behaved
after the trade has occurred.
Calyon Financial, a top-tier global brokerage firm that provides
institutional clients with execution and clearing services on more than 70
financial and commodity exchanges, is an agency model brokerage and does not
engage in proprietary trading. This provides clients with the added assurance
that their trades, algorithmic or traditional, receive top priority and
confidentiality.
With the new algorithmic offerings, Calyon Financial clients can now
request that their orders be worked utilizing either a VWAP or TWAP strategy
with four different execution tactics ranging from aggressive to patient for
each strategy. Brief descriptions of the strategies and execution tactics
are:
Strategies
-- Volume Weighted Average Price (VWAP). VWAP seeks to match the volume
weighted average price for a specified time period.
-- Time Weighted Average Price (TWAP). TWAP slices an order evenly over
time.
Execution Tactics
-- VWAP/TWAP Type 1. Aggressive execution using market orders to achieve
immediate fills.
-- VWAP/TWAP Type 2. Slightly less aggressive tactic that pegs limit
orders at a specified price over the bid or below the ask.
-- VWAP/TWAP Type 3. Patient execution tactic that provides a "sticky"
peg to the bid (if buying) or offer (if selling), allowing the client
to be a provider of liquidity.
-- VWAP/TWAP Type 4. Highly patient execution tactic functions like the
Type 3 tactic with an added conversion to a historical value if the
order slice is not filled within a specified time.
Calyon Financial clients utilizing these algorithmic strategies can send
instructions to Calyon Financial via FIX or by the traditional methods of
phone or e-mail.
About Calyon Financial
Calyon Financial (http://www.calyonfinancial.com) is a leading global
brokerage firm dedicated to providing institutional clients efficient access
to all major markets. The firm ranks among the top futures commission
merchants in the world and has access to more than 70 financial and commodity
exchanges. Headquartered in Chicago, Calyon Financial has a presence in 16
major global financial centers. Calyon Financial is a wholly owned subsidiary
of Calyon S.A. (http://www.calyon.com), the corporate banking arm of Credit
Agricole. Calyon is a major player in financial markets and among Europe's
leading corporate and investment banks. Credit Agricole and Calyon each hold
AA credit ratings.
On August 8, 2007, Calyon and Societe Generale signed the final agreement
relative to the merger of the brokerage activities currently carried out by
their respective subsidiaries, Calyon Financial and Fimat. The operational
launch of the new entity is scheduled for early 2008, subject to the approval
of supervisory authorities.
The resulting entity, Newedge, will be controlled 50/50 by Societe
Generale and Calyon and will have bank status. It will be headquartered in
Paris, and is expected to have a combined staff of around 3,000 located in
the world's main financial centers.
In a fast-growing market, Newedge will rank as a world leader in
execution, in particular electronic execution, as well as in clearing
derivative products traded in the Americas, Europe and Asia-Pacific.
Nothing contained herein should be considered as an offer or the
solicitation of an offer to sell or to buy any financial instruments
discussed herein. Calyon Financial SNC is authorized by Banque de France. In
the UK, Calyon Financial SNC's London Branch is regulated by the Financial
Services Authority for the conduct of designated investment business in the
UK. In France, Calyon Financial SNC is regulated by the Autorite des Marches
Financiers and by the Commission Bancaire. Calyon Financial Inc. is a member
of SIPC and FINRA. (C) Calyon Financial. All rights reserved.
Contact: Barry Neumann, Calyon Financial Corporate Communications
+1-312-441-4564
barry.neumann@calyonfinancial.com
Web site: http://www.calyonfinancial.com
Barry Neumann, Calyon Financial Corporate Communications, +1-312-441-4564, barry.neumann@calyonfinancial.com