Nordea FX algo suite

Transparent Scandi Liquidity

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As the biggest Nordic bank, we have the solutions you need to interact with Scandi Liquidity. Our Execution Advisory Specialists let you manage your FX trades efficiently while minimising market impact and transaction cost.
We are uniquely positioned to provide you with FX algos that will scale your transaction to fit the current market liquidity. Our extensive FX algo suite covers the full spectrum of any FX transaction needs, from passive to aggressive, with a unique access to both Scandi and Major liquidity.

Our Execution Advisory Specialists are to here to let you manage your FX trades efficiently while minimising market impact and transaction cost.

Key Benefits of using algos:

  • Control over market impact
  • Access to different liquidity pools
  • Allows capturing spread
  • Transparent, tractable and understandable algorithm logic

Our Algos

Benchmarking algos

TWAP
A passive liquidity providing algorithm that will never cross the mid-price.

The algorithm divides the orders uniformly over the specified time interval. By combining passive posting of limit orders when ahead of the chosen schedule and aggressive taking of liquidity when behind the chosen schedule, the algorithm offers the possibility of beating the benchmark. TWAP uses discretionary bands to gauge how well it is tracking the chosen schedule. The discretionary bands are based on historical estimates supplemented by dynamic real-time estimates. Using the discretionary bands the algorithm first tries to capture spread by posting limit orders. However, if the algorithm falls behind, it will aggressively take liquidity from the market.

VWAP
An algorithm that targets the volume weighted average price (VWAP) benchmark.

The algorithm uses historical volumes to estimate the expected volume over the trading interval, but also updates the estimate on the fly based on trades observed in the lit market. The algorithm acts both passively by posting limit orders and aggressively by taking liquidity in an effort to earn as much of the spread as possible. VWAP uses discretionary bands to gauge how well it is tracking the chosen schedule. The discretionary bands are based on historical estimates supplemented by dynamic real-time estimates. Using the discretionary bands the algorithm first tries to capture spread by posting limit orders. However, if the algorithm falls behind, it will aggressively take liquidity from the market.

POHV
This algorithm participates in the market passively based on the percentage of historical volume (POHV) in the traded currency pair.

The algorithm strives to move along the historical volume trajectory based participation rate defined by the user. This means that an algorithm launched with lower participation rate will run longer than an algorithm launched with higher participation rate. To make sure the algorithm captures as much of the spread as possible, it will both post limit orders passively and take liquidity aggressively.

Execution optimisation algos

Make
A passive liquidity providing algorithm that will never cross the mid-price.
Make will post limit orders to the market and update their price to maintain a constant distance to the top of the book. The Aggression parameter is used by the algorithm to guide its pace of execution. The algorithm will adjust the position of the limit orders relative to the top of book based on how well it is tracking the desired aggression level. If the algorithm is ahead of the chosen pace, it will post as passively as possible. On the other hand, if the algorithm is falling behind, it will post more aggressively.

Take

An algorithm meant for urgent but smart execution.

Take combines passive limit orders with opportunistic taking of liquidity. This allows Take to capture some of the spread given the urgency of the execution. The algorithm will also prefer firmly quoted liquidity over last-looked liquidity. The Aggression parameter sets a minimum pace that the algorithm needs to keep up with. The pace estimate is based on the real-time and historical trading characteristics of the currency pair in question. Take will transition from posting limit orders to taking liquidity from the market based on how well it is able to track the chosen aggression level. If the algorithm is ahead of the chosen pace, it will post passively to make sure that the market impact is minimized. If Take falls behind the given pace, it will start aggressively taking liquidity from the market.

Sweep
The Sweep algorithm uses the smart order routing logic to take liquidity aggressively. Sweep gathers all the available liquidity from firm and last-look ECNs. These sources are evaluated dynamically by the algorithm to find an optimal allocation between the available liquidity sources.

Tutorials

Nordea’s algos can currently be traded on Bloomberg and FXall.
We have created a complete guide on our algos suitable for both electronic trading portals.
Please download your guide below:

Nordea FX algos fact sheet for Bloomberg

Nordea FX algos fact sheet for FXall

Articles

We have produced a series of articles related to FX algo trading and market trends. Have a read below!

Article 1: FX Algorithms – putting the computers to work

What is FX algorithmic trading exactly and when to use it? Our expert Martin Månsson explains it all.

Article 2: The rise of FX algos at Profit & Loss

The Profit & Loss Scandinavia event gathers the Scandinavian FX community and outlines themes, topics and FX products that are surfacing in the industry. This was the 6th annual event this year held in Stockholm. Participating as a panelist was Nordea Market’s very own Niklas Jahnsson. We caught up with the Algo Quants and Insights expert to learn more.

Article 3: Learnings from BIS
Bank for International Settlement (BIS) released their report on monitoring of fast-paced electronic markets in September 2018. The report takes an outset in the fact that Foreign Exchange markets have undergone significant structural changes in recent years.

 

This material is addressed to professional investors and eligible counterparties only and may not be distributed to any other investors.

Download fact sheet covering our FX algo suite

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