xWAY Smart Router

In today’s complex market environment, the demand for an intelligent and customizable next-generation smart router is fueled by the realities of an evolving trading world impacted by multiple forces:

  • Recent proliferation of new market models like Reg NMS and MiFID
  • Multitude of new trading venues
  • Dark pools
  • Explosion of electronic trading across asset classes
  • New industry pricing structures
  • High-speed, low-latency, algorithmic-driven trading

Engineered for the expressWay™ trading system, Mantara’s xWAY™ is a new generation smart router that empowers traders to discover liquidity and pricing advantage. xWAY’s capabilities go well beyond smart routers that simply link orders with the market centers.

xWAY provides a broad range of functionality and user control. It can process a multitude of instructions in parallel, from monitoring venue connectivity, to working price strategies that utilize optimal sweeping algorithms designed to take into account liquidity and execution statistics of trading venues — all while maintaining cost-effective rules and best execution benchmarks for multiple asset classes. 

Providing xWAY with the fuel it needs; expressWay’s integrated ticker plant provides access to extremely low-latency market data. The minimization of the time gap between timely market data and order execution increases the effec­tiveness of trading algorithms and the chance an order generated on that data is filled.  

 

xWAY Overview

 

The xWAY smart router:

  • Provides extremely low latency, high capacity for trading in multiple asset classes
  • Offers a multitude of market center connectivity for accessing liquidity
  • Creates profitable trading opportunities with aggressive and passive ‘sweeping’ strategies utilizing top-of-book or depth-of-book market data for assessment of available liquidity 
  • Offers asynchronous sweeping strategies, while utilizing one of three sweeping algorithms for accessing displayed liquidity it can search for hidden liquidity using its optimal algorithm for dark pools 
  • Determines the best method for sweeping by utilizing dynamic sweeping strategies, combining historic liquidity statistics and real-time trading data to achieve maximum results 
  • Provides a full audit of the smart order lifecycle, is Reg NMS-compliant, a best execution solution, and is integrated with industry-standard compliance reporting requirements

 

xWAY Sweeping Algorithms 

xWAY offers a flexible framework for customized routing hier­archies and trading rules for sweeping strategies. It processes marketable orders by sweeping liquidity from a variety of sources in an intelligent, configurable way for all asset classes.  

  • Sweep Limit – The algorithm begins with the inside price level as the starting price. The Sweep Limit continues until the limit price is reached, the order is no longer marketable or the order is complete.  
  • Sweep To-Limit – The algorithm utilizes multiple price levels from each venue to make routing decisions. If a venue has multiple quotes at various price levels, the algorithm generates multiple orders for each price level for all of the venue’s quotes within the order’s limit price. 
  • Sweep Market – As with a Sweep Limit order, the algorithm keeps working at the current inside price, exhausting the current inside price level before moving to the next level. It will neither sit idle, nor post, since it’s a market order.
All sweep algorithms will use either top-of-book or depth-of-book market data

 

xWAY Sweeping Algorithm Modifiers  

  • Oversize Order for Hidden Liquidity – The algorithm will add additional shares to routed orders based upon displayed size to probe for hidden reserves and to achieve larger execution size from venues. 
  • Smart Post Balance – The algorithm will post any unexecuted shares to a preferred venue when there is no longer available liquidity within the indicated limit price. 
  • Ping – The Ping feature enables clients to allocate a percentage of the order’s total shares for pinging dark pools and hidden liquidity.
  • LIFO/FIFO or Preference Ranking Allocations – On an order-by-order basis, clients can choose to allocate orders for displayed size by ranking the venues or by choosing between the newest or oldest updated quotes at each price level.

 

Buy-Side Benefits 

Multi-Broker Sweeping

xWAY offers buy-side clients anonymity when utilizing xWAY sweeps. Clients can create unique predefined allocations that split up ‘child’ orders of the sweep by sponsor broker ID, so executions of the sweep are split across multiple sponsor brokers. As a result, ‘parent’ order information is protected and information leakage is minimized as sweeping strategies utilizing real-time, multi-broker algorithms are difficult to detect by sponsor firms.

Real-time, multi-broker allocations can be predefined by:

  • Percentage – assigns a percentage of the total shares to each sponsor broker ID
  • Absolute – assigns an absolute share amount to each sponsor broker ID
  • Distribute – distributes any remaining shares in the allocation evenly across sponsor broker ID

 

Sell-Side Benefits 

Minimize Trade Cost Sweeping

xWAY offers sell-side clients the ability to minimize trading cost by utilizing xWAY sweeps. The cost of outbound order flow can be expensive and how clients access these market centers has become a major factor in order routing. Clients can utilize the sweeping algorithm, which adjusts the routing schemes to maximize revenue by adding liquidity to a market center and to minimize the cost of taking liquidity out of a market center, and whenever possible, allocating shares to the venues with the lowest fees.