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Ember Algorithms

This section of documentation describes the standard execution algorithms provided with Ember out-of-the-box.

note

In addition to these ready-to-use algorithms, Ember offers an Algorithm Development API to develop custom execution algorithms and matching engines.

Execution Algorithms​

  • ICEBERG - An Iceberg order is a type of algorithmic trading execution strategy that allows traders to conceal the true volume of their trades. The visible portion of the trade is a small fraction of the total volume, while the remainder is executed in smaller pieces.
  • TWAP (Time-Weighted Average Price) - TWAP is an execution algorithm that is used to trade large orders over a specified period of time. It divides the total volume of the trade into smaller pieces and executes each piece at a different time, averaging the price of each piece.
  • PVOL (Percentage of Volume) - PVOL is an execution algorithm that is used to trade large orders while controlling the impact on the market. It executes the order over a specified period of time, executing a percentage of the total volume at a time.
  • VWAP (Volume-Weighted Average Price) - VWAP is an execution algorithm that is used to trade large orders over a specified period of time, while taking into account the volume of the market. It divides the total volume of the trade into smaller pieces and executes each piece at a different time, using the volume of the market to calculate the average price.
  • SOR (Smart Order Router) - Routes slices of order to exchanges that offer best price (taking into account things like exchange commissions, available balances, and past rejections).

Matching Engines​

  • NIAGARA - A simple CLOB matching engine, with open source code.
  • QUOTEFLOW ME - A full-fledged matching engine that typically requires a CryptoCortex license.
  • XOR - A Smart order router with internal crossing.
  • NOR - A Rule based order router with internal netting.

Market Simulators​

  • SIMULATOR - Simulation execution based on a live market data feed.
  • SIM - Scripted order execution.

Additional Information​

Please refer to the following sources for additional information:

  • Deltix QuantOffice - A platform for building trading algorithms in C# and Python.
  • Deltix QuantHub - A cloud platform for trading algorithm backtesting.
  • Deltix Algo Compass - Real-time selection of the optimal execution algorithm.
  • Deltix Transaction Cost Analytics - Post-trade algorithm performance analysis.