Despite their expanding popularity for both crypto and equities, there is a trade-off that comes with using off-exchanges which investors must consider. The lack of transparency that is associated with these private platforms is often cited as a potential problem because it is perceived to affect the ability to get the best price. In his bestseller “Flash Boys: A Wall Street Revolt” author Michael Lewis lays out some of the predatory tactics used by HFTs to front-run large block trades performed in off-exchanges.
Larry Tabb TABB Group – “with a new governance structure, a new and better consolidated tape could tackle some major issues: … Reducing the latency associated with how data is aggregated, normalized, and redistributed. … Increase the depth-of-book levels incorporated in the consolidated tape … Fix or revise the professional versus non-professional definitions that determine how much a firm needs to pay the SIP per user. … Putting odd-lot quotes into the consolidated quote. “
Michael Mollemans – TABB Group “The problem with algo wheels, however, is that they tend not to account for the risk factors underlying the fat-tail distribution of algo returns, and algo wheel selection processes often turn into a game of guessing the finer points in the algo wheel’s logic. The better the guess, the better the fit to the algo wheel, the better the ranking.
InfoReach TMS Algo Wheel includes:
- Broker and algo selection backed by machine learning
- Best execution reporting
- Improved performance
- Decision making based on
- Historical performance with a variety of benchmarks
- Commission schedules and commitment levels
- Which broker has received orders in the same instrument
TMS’s Algo Wheel is an excellent option for many buy-side teams.