We Did It Again! AbleSlice Knocks Out All Execution Benchmarks
How much $$ are you leaving on the table?
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AbleSlice Execution Overlay helps you avoid temporary mispricing caused by HFT activity and save big.
By how much does AbleSlice improve execution prices?
In February 2024, execution managers using AbleSlice (powered by AbleMarkets) improved their execution prices with a simple overlay by:
+0.0963% (+9.63 bps) on average on sell order slices placed throughout the day (averaged across all trading days in December and all Russell 3000 stocks)
-0.1188% (-11.88 bps) on average on buy order slices placed throughout the day (again, averaged across all trading days in December and all Russell 3000 stocks)
Smaller stocks once again saw considerably larger improvements than did bigger stocks.
How does AbleSlice help improve execution?
AbleSlice tells you when the high-frequency trading (HFT) activity is high in the given security. When HFTs are buying en masse, they are driving up the price, but the price impact is temporary. So, if your algorithm is set to buy at the same time as HFTs are buying, you will have to pay more to fill your orders. Instead, AbleSlice suggests that you postpone your buy orders until HFT flow neutralizes or turns to sell. At the same time, when the HFTs are buying a particular security, it is a great time to double down on your sell orders – you will get a premium fill. For more details on HFT activity, please see the HFT book.
For sell orders, AbleSlice works in the similar way: when HFT sell flow is high in a particular security, the HFTs temporarily drive down the prices, creating an advantage to buyers, but disadvantaging sellers. This is when AbleSlice recommends that you double down on your buy orders, but hold your sell orders.
AbleSlice delivers a data feed of intraday high-frequency trading (HFT) activity estimated by AbleMarkets Artificial Intelligence (AI). The data feed is currently delivered every 20 minutes. Our backtest of the impact of the HFT strategy lasts at least 20 minutes and often longer.
Tables 1 and 2 show the statistical properties of average daily price improvements across Russell 3000 stocks in February 2024.
Table 1. Summary statistics of average daily Buy order improvements generated by AbleSlice, in % per day
count 3109.000000
mean -0.118881
std 0.107418
min -0.937530
1% -0.504287
5% -0.321674
10% -0.255452
25% -0.163135
50% -0.097211
75% -0.048883
90% -0.012851
95% -0.000061
99% 0.049815
max 0.385389
Table 2. Summary statistics of average daily Sell order improvements generated by AbleSlice, in % per day
count 3109.000000
mean 0.096336
std 0.087175
min -0.545442
1% -0.105458
5% -0.007413
10% 0.007756
25% 0.045114
50% 0.085772
75% 0.135202
90% 0.204824
95% 0.256705
99% 0.364887
max 0.553242
Experience the advantage of real-time market microstructure analysis, enabling you to stay ahead of the competition. AbleSlice provides you with a comprehensive view of market dynamics, revealing hidden patterns and trends that go unnoticed by traditional analysis methods. With this invaluable knowledge at your fingertips, you can make informed and confident trading decisions, resulting in enhanced profitability.
Please contact us today to schedule a demo.
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