AbleMarkets' AbleSlice Outperforms TWAP on Buy Orders with Median 3.6% Price Improvement Across Russell 3000 Stocks!

Post date: 2024-05-14 23:12:28 GMT

AbleSlice Delivers

TLDR:

• AbleSlice delivered 3.6% median price improvement over TWAP on buy orders across all Russell 3000 stocks in April 2024. The average AbleSlice monthly price improvement across all buy orders relative to TWAP was 2.4%.

• AbleSlice-driven execution of sell orders was 0.8% worse than TWAP across all Russell 3000 stocks in April 2024 due to the mass sell off following the U.S. Fed decision on April 15, 2024.

Figure 1 shows distribution of buy and sell order improvements driven by AbleSlice HFT Overlay. As the Figure shows, certain large very liquid names were sold very quickly in the wake of the U.S. Fed decision, regardless of price differences, in anticipation of a crash. This is a common technique for portfolio rebalancing that subsequently calls for gradual buy-back of liquid issues and sell-off of target less liquid names in the portfolio.

We are looking for execution platform partners who want to add value to their clients. Please reach out to irene@ablemarkets.com for more information.

AbleSlice is a straightforward overlay designed to assist portfolio and execution managers in boosting their execution performance by an average of 25% per year across the entire Russell 3000 universe by avoiding high-frequency traders (HFTs). Essentially, the AbleSlice overlay capitalizes on the behavior of HFTs. When HFTs are highly active in a particular stock, their trading patterns typically revert to the mean shortly due to the short-term nature of HFT activity. Consequently, if HFT flows indicate net buying, the prices will temporarily rise due to this activity, but they will eventually decrease as the HFT influence wanes. Therefore, high net-buy HFT activity suggests a strategy of selling into the HFT flow, while high net-sell HFT activity aligns best with buying.

What is AbleSlice Overlay?

We are seeking execution platform partners who are committed to enhancing value for their clients. For more information, please contact irene@ablemarkets.com .

AbleSlice Overlay is a data feed that provides insights into High-Frequency Trading (HFT) flows for execution brokers and portfolio managers. When HFT flows demonstrate net buying, they create a temporary price spike, elevating prices above market norms. Fortunately, these inflated prices are short-lived; due to the brief trading horizon of HFTs, the heightened buy flows soon revert to the mean, and prices return to their fundamental levels. For execution managers, this means a straightforward adjustment to their existing strategies: hold off on buying when HFTs are net buyers and capitalize by selling into the elevated prices.

Conversely, when HFTs are net sellers, they temporarily depress the price of an instrument below its fundamental value. In such cases, execution managers should avoid selling their positions and may consider increasing their buying activities.

The price distortions induced by HFT activity usually persist for 20-60 minutes after detection and reporting by AbleMarkets, allowing portfolio managers ample time to adapt their execution strategies and take advantage of these opportunities.

How Does AbleMarkets Report AbleSlice Overlay?

We report net HFT activity via our website interface, a REST API, AWS feed or by another method (yes, we can do FTP). The net HFT activity is calculated and reported every 20 minutes.

What Instruments Do We Cover?

Our production history covers Russell 3000, commodity futures and selected ETFs with point-in-time tickers. However, we are able to provide HFT activity across all financial instruments (yes, all geographies, too) with very little effort required on our part.

How Long Is the Production History?

Our production history for Russell 3000 stocks goes back to January 2017.

How Many Clients Does AbleMarkets Have?

At present, AbleMarkets app has over 23,100 active users.

How Has the Overlay Performed Over the Years?

Measuring long-term performance is naturally of paramount importance in estimating a model’s stability. The performance of the overlay has been remarkably persistent over time. There is no evidence of any performance degradation often referred to as “alpha-decay”. Most months, the strategy achieved significant and, most importantly, persistent gains.

About AbleSlice

AbleSlice, a product by AbleMarkets, revolutionizes execution management by providing unique microstructure-based data sets that enable more effective order slicing and comprehensive insights into market conditions. We empower execution managers to make informed decisions by delivering accurate estimates of changes in buy and sell flows, liquidity and market constituents across a wide range of markets, including equities, commodity futures, foreign exchange, and cryptocurrencies. Our extensive coverage includes U.S., European and Asian markets, ensuring that clients have access to critical information for their trading strategies.

At AbleSlice, we leverage our deep understanding of market microstructure and employ cutting-edge proprietary Artificial Intelligence (AI) techniques to gather and process real-time data. By integrating these advanced technologies, we create dynamic datasets that capture the ever-evolving nature of market liquidity. Our commitment to delivering real-time insights enables execution managers to adapt swiftly to changing market conditions and make optimal trading decisions.

Our comprehensive historical perspective, coupled with our real-time data capabilities, provides a holistic view of liquidity dynamics, empowering execution managers to make more informed decisions. AbleSlice is the ultimate solution for execution managers seeking to optimize order slicing while capitalizing on market opportunities. Choose AbleSlice by AbleMarkets and unlock the power of microstructure-based data to achieve better execution outcomes and maximize trading performance.

DISCLAIMER:

AbleMarkets expressly does not take any responsibility for any profitability or losses incurred in association with AbleMarkets products. All the risks of using AbleMarkets data are borne strictly by the investors and data licensors. Past performance does not guarantee future results. Additional Terms and Conditions apply as specified in the online (AbleMarkets.com or AbleAlpha.com) or written agreement.