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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 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 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 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 the 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.

Request For Quote Algorithms​

  • RFQ - A Request For Quote algorithm that generates quotes based on the current order book, and forwards previously quoted orders to a configured destination.
  • RFQR - A Request For Quote Routing algorithm that forwards RFQ requests to multiple liquidity providers, selects the best quote and routes previously quoted orders to the liquidity provider with the best quote.

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.