How much $$ are you leaving on the table?

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.