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Best for algorithmic equities trading: CSFB

This category was created after a meeting with CSFB’s Advanced Execution Services group left Euromoney stunned. It was immediately apparent that CSFB’s AES team had developed something a cut above its competitors. Unusually, even CSFB’s competitors admit this.

CSFB’s AES offers eight strategies. These are trading engines designed to work orders to meet different execution benchmarks or to follow particular trading styles. Several competitors also offer algorithmic trading designed to meet these benchmarks, such as volume weighted average price (VWAP). However, it is the volume of historical data, the calculations of real-time price correlations, the advanced trade scheduling, and the ability for users to layer their constraints that makes CSFB’s product stand out.

AES looks at 10 levels of depth for 13 months of tick data and checks all stocks against each other every 15 seconds for correlations.

When it breaks up a large order to trade it does so in an intelligent and unpredictable manner so that others in the market cannot work out what it is doing. It sounds obvious, but most of the wave-trading strategies offered by competitors do not do this.

As well as offering clients a number of benchmark strategies, AES also enables them to layer additional constraints such as minimum and maximum percentages of volume, start and end times, price limits, as well as indicating how aggressively they want to trade.

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