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Global Execution ServicesAlgorithmic TradingMaking the world liquidEQUITY MARKETSCORPORATE & INVESTMENT BANKING / INVESTMENT SOLUTIONS / SPECIALISED FINANCIAL SERVICES
2Content03Our Algorithmic Trading04Our Execution ServicesNatixis Algorithmic Trading StrategiesVolume Driven AlgorithmsVolume Weighted Average Price05 – 06Time Weighted Average Price07 – 08Participate09 – 10Target Close11 – 12Price Driven AlgorithmsSteps13 – 14Momentum/Value15 – 16Hunt17Implementation ShortfallNatixis Execution Algorithms in a Nutshell18 – 1920
3Our Execution ServicesNatixis delivers high value-added tailor-made services combining Quant Research, Sales Trading andExecution expertise in a team of 50 specialists with an outstanding understanding of local needs.Beyond our focus on European Markets and major MTF, we are constantly improving our service offerand expanding our worldwide network. We can offer a wide diversity of services ranging from pureDirect Market Access (DMA) to Direct Capital Access (DCA) and Direct Strategy Access (DSA).Our expert proprietary algorithmic strategies provide opportunistic event-driven execution and robust riskcontrol. They are back-tested daily and are continuously evolving.Natixis algorithms are developed in-house using all Natixis execution and market expertise and embeddedspecific cash and derivatives techniques. Natixis Execution tools allow our clients to trade in line with themarket, capture liquidity, and increase alpha return.WHAT WE OFFERWe Provide Clients with Broad Access to Equity Markets Direct access or via external brokers Direct Market Access (DMA) / Sales Trading execution Long standing markets and alternative platforms Institutional, corporate and retail network clients Commission Sharing Agreement (CSA)Algorithmic Execution In-house algorithms with proven track records Direct Strategy Access (DSA)Direct Capital Access (DCA) Electronic access to cash equity market making Trading for size at best bid/offerMarket Making – Cash Equity, ETF, Convertible Bond, Flow Derivatives Dedicated desks for each activityLeader in Order Routing for Retail Network and Small Asset ManagersSynthetic prime brokerage Access to Natixis repo and financing capabilities Integrated with our execution facilitiesSmart Order Router Access to a broad spectrum of alternative platformsInternal Matching Recognised cross-network capacityCustomized Single Order Execution 10 pan-European traders-dealersProgram Trading – Pair Trading Customized product rangeBest Execution Analytics Market watch publications Client-based transaction cost analysis (TCA) Client assistance to formulate best execution strategies
4Our Algorithmic TradingSimplicityNatixis algorithms are easy to use and require minimum user input: numerousparameters are automatically determined by the algorithms according to thecharacteristics and value of the targeted markets.InnovationOur experts are constantly developing prototypes to improve algorithms already inproduction. We run daily performance analyses of our algorithms and focus ourefforts on sub-optimal executions.FlexibilityOur algorithms are the result of pure in-house developments. This allows for adynamic evolution of algorithms according to changing market conditions and QuantResearch innovation. Such flexibility is also leveraged to offer fast customisation andtailor-made solutions to our clients.Focus on multi-venueIn order to cope with the fragmentation of modern financial markets, Natixis algorithmsare designed to trade on any available source of liquidity and our benchmarkedalgorithms integrate multimarket price sources.The opportunity to connect to and trade on new external and internal liquidity pools ispermanently screened by our expert team with a view to finding the perfect balancebetween latency, coverage and costs while maximising execution quality. Ourexecution team can also access third party algorithms for specific purposes such asliquidity hunting on dark pools.Integration of standard order typesIn addition to our Price and Volume Driven Algorithms, Natixis Equity Markets hasleveraged its trading and IT infrastructure to offer the whole range of standard orders(Market on Open/Close, Peg, Iceberg).
VWAP5The VWAP algorithm aims to execute a global quantity at an average price close to theMarket Volume Weighted Average Price over a defined period of time.CharacteristicsParticipateA strategy that releases waves into the markets (Primary exchange and MTFs) usingstock specific historical volume profiles in order to execute the order close to the VolumeWeighted Average Price (VWAP) over a chosen period of time, with some randomizationto reduce gaming risks.Target CloseVolume Weighted Average Price To limit the market impact by executing a largequantity not too quickly.Market volumeAlgo volume15 To execute totally an order (without guaranteeif the order is limited).1050OpenTimeClose Suitable for a liquid security with a stable volumeprofile from one day to the next.Main ParametersDescriptionStart / End timeBy default, start time is at reception of the order, potentially includingmarket open if received before the opening auction.Trading styleConservative, neutral and aggressive. The conservative option suitsa favorable price variation while Aggressive option applies better toan adverse price trend.Optional ParametersDescription%VolumeThe strategy will limit the participation rate to this maximumvolume constraint. Order may not be completed. As soon as thelimit constraint is respected, the strategy spreads the volume over ashort period in order to reduce market impact.Price limitThe strategy will apply the price limit to orders. Orders may notbe completed. As soon as the limit constraint is respected, thestrategy will spread the volume over a short period in order toreduce market impact.Would priceThe strategy will aim to complete the order if the stock trades at theWould price or better. The use of the Would option may significantlydeviate the execution price from the benchmark price.MOMENTUM/VALUE20huntNo. of shares (‘000)25STEPSVWAP is to be favoured in the following casesimplementation shortfall1.0TWAPNatixis Algorithmic Trading Strategies (Volume Driven Algorithms)
VWAP6To go further.Adjustments are automatically applied to the execution strategy if the algorithm detectssignificant spreads between the price estimations and/or volumes and the intraday prices/volumes. The algorithm uses iceberg orders on exchanges where this order type is available.VWAP ParametersParticipateTarget CloseThe period is broken down into execution intervals, the duration of which is determinedoptimally by the algorithm to reduce the market impact. Trading strategy will adapt to realtime market conditions in order to limit and reduce the risk of price deviations.STEPSDuring the related period, the algorithm regularly sends orders to the market accordingto a distribution function of the representative curve of the considered stock historicalvolumes.MOMENTUM/VALUEVWAP Algorithm SpecificitieshuntVolume Weighted Average Priceimplementation shortfall1.0TWAPNatixis Algorithmic Trading Strategies (Volume Driven Algorithms)
VWAP7Time Weighted Average PriceA wave trading strategy that releases waves into the markets (Primary exchange and MTFs)using evenly divided time buckets between start and end time, with some randomizationto reduce gaming risks.Participate2.0TWAPNatixis Algorithmic Trading Strategies (Volume Driven Algorithms)TWAP is to be favoured in the following casesNo. of shares (‘000)2520 Anticipation of high volume periods with adverseprices (TWAP better than VWAP in that case).Market volumeAlgo volume15 To limit the market impact by not executinga large quantity too quickly.10STEPSCharacteristicsTarget CloseThe Time Weighted Average Price (TWAP) algorithm aims to execute a quantity byfollowing a linear volume allocation profile.5CloseMain ParametersDescriptionStart / End timeBy default, the start time is at reception of the order, potentiallyincluding market open if received before the opening auction.Trading styleConservative, neutral and aggressive. The conservative option suitsa favorable price variation while the aggressive option appliesbetter to an adverse price trend.Optional ParametersDescription%VolumeThe strategy will limit the participation rate to this maximumvolume constraint. Order may not be completed. As soon as thelimit constraint is respected, the strategy spreads the volume over ashort period in order to reduce market impact.Price limitThe strategy will apply the price limit to orders. Orders may notbe completed. As soon as the limit is respected, the strategywill spread the volume over a short period in order to reducemarket impact.Would priceThe strategy will aim to complete the order if the stock trades at theWould price or better. The use of the Would option may significantlydeviate the execution price from the benchmark price.huntTimeimplementation shortfallOpenMOMENTUM/VALUE0
VWAP8To go further.Execution Strategy adjustments are automatically applied if the algorithm detectssignificant spreads between price and/or volume estimations and intraday prices/volumes.The algorithm uses iceberg orders on exchanges where this order type is available.TWAP ParametersParticipateTarget CloseThe execution is made so as to minimize market impact. The user can act on the impact’slevel by configuring the level of aggressiveness (on the price). When a limit price is reached,executions are suspended as long as the limit is not met. The linear allocation profile ofthe executed quantities might not be respected (the price condition has priority over thevolume) and the order may not be completed at the end of the period.STEPSDuring the related period, the algorithm regularly sends the markets equal quantities oforders to execute. In order to avoid suffering a sudden temporary market variation, amaximum percentage of participation might be added.MOMENTUM/VALUETWAP Algorithm SpecificitieshuntTime Weighted Average Priceimplementation shortfall2.0TWAPNatixis Algorithmic Trading Strategies (Volume Driven Algorithms)
VWAP9Participate algorithm aims to follow (live) the exchange volumes on the market byrespecting a target level of participation.CharacteristicsParticipateThe Participate strategy, also known as Percentage of Volume (POV) trades at a userdefined percentage of the current market volumes on primary exchanges and MTFs untilthe order is completed or market closes. This strategy can be strict or dynamically adaptedto market conditions.Target CloseParticipate20 Satisfied with current prices.Market volumeAlgo volume Willing to limit the market impact on theexecution period.15100OpenTimeCloseMain ParametersDescriptionStart / End timeBy default, start time is at reception of the order, potentially includingmarket open if received before the opening auction. End time willapply if the order has not been completed before.Trading styleConservative, neutral and aggressive. The conservative option suitsa favorable price variation while the aggressive option appliesbetter to an adverse price trend.%VolumeTargeted participation rate.MOMENTUM/VALUE5huntNo. of shares (‘000)25STEPSParticipate is to be favoured in the following casesOptional ParametersDescriptionPrice limitThe strategy will apply the price limit to orders. Orders may not becompleted. Volume traded outside the price limit is not taken intoaccount by the strategy.Would priceThe strategy will attempt to complete the order if the stock tradesat the Would price or better. The use of the Would option maysignificantly deviate the final participation rate from the targetedparticipation rate.implementation shortfall3.0TWAPNatixis Algorithmic Trading Strategies (Volume Driven Algorithms)
VWAP10Until the quantity to be executed is completed, the algorithm sends orders to the marketto be executed, according to the defined participation ratio, and according to the volumetraded in the markets.In order to adjust the execution to market conditions, the algorithm may get behind/aheadthe level of target participation, but still respecting a maximum spread (which is determinedaccording to the security, etc ).Furthermore, trading style is customizable. If you consider that favorable market conditionsshould apply, then select the conservative trading style. In the case of adverse marketcondition, the aggressive style would suit better. Executions are suspended as long as thelimit is not respected.This algorithm does not guarantee completion of the order on the current day (the risk isgreater if the order is limited).ParticipateParticipate Algorithm SpecificitiesTarget CloseParticipateSTEPS3.0TWAPNatixis Algorithmic Trading Strategies (Volume Driven Algorithms)To go further.huntimplementation shortfallParticipate ParametersMOMENTUM/VALUEA possible delay is gradually caught up to limit the market impact.
VWAP11Target CloseThe Target Close strategy manages the market impact of the order on the closing priceby defining the strategy’s optimal start time based on historical volumes and real-timemarket conditions.Participate4.0TWAPNatixis Algorithmic Trading Strategies (Volume Driven Algorithms)No. of shares (‘000)2520 This strategy allows the user to participatein auction phases without any concern aboutthe opening/closing hours as well as auctionorder characteristics.Market volumeAlgo volume151050OpenTimeClose Reduce market impact on closing price ofsignificant orders while minimizingmarket risks.Main ParametersDescription% Intraday volumeMaximum intraday volume participation rate estimated fromhistorical intraday volumes.% Close volumeMaximum auction volume participation rate estimated fromhistorical auction volumes.STEPSTarget Close is to be favoured in the following casesMOMENTUM/VALUECharacteristicsTarget CloseThe strategy is designed to require minimum input from user.Price limitThe strategy will apply the price limit to orders. Orders may notbe completed. Volume traded outside the price limit is not takeninto account by the strategy.implementation shortfallDescriptionhuntOptional Parameters
VWAP12ParticipateTarget CloseTarget Close ParametersSTEPSAccording to specific market auction characteristics, the strategy uses the StockExchange standards to send orders.This strategy will automatically define the optimalstart of the order, will use the VWAP strategy during continuous trading and send theremaining quantity during the auction, while targeting % volume parameters based onhistorical data.MOMENTUM/VALUETarget Close Algorithm SpecificitieshuntTarget Closeimplementation shortfall4.0TWAPNatixis Algorithmic Trading Strategies (Volume Driven Algorithms)
VWAP13The Steps strategy trades at a user defined percentage of the primary exchange andMTFs volumes and increases or decreases this participation rate when the stock pricereaches user defined levels.ParticipateStepsR3R2R1OpenTime The strategy makes it possible to simulateother algorithm behaviours such asMomentum, Value or ImplementationShortfall while offering better controlsover specific constraints.CloseStock priceAlgo ParticipationSTEPSParticipation RatePrice limitSteps is to be favoured in the following casesTarget CloseCharacteristicsStart / End timeBy default, start time is at reception of the order, potentiallyincluding market open if received before the opening auction.End Time will apply if the order has not been completed before.% VolumeTargeted participation rate.Trading styleConservative, neutral and aggressive. The conservative optionsuits a favorable price variation while the aggressive optionapplies better to an adverse price trend.Optional ParametersDescriptionPrice limitThe strategy will apply the price limit to orders. Orders may notbe completed. Volume traded outside the price limit is not takeninto account by the strategy.Direction / Price level/ Ratio %Direction is either above or below. New participation rate shouldapply when the stock price is “Above or Below” the Price Level.Maximum consistency controls are applied to these parametersat the start of the strategy. The user can define up to 3 ranges.huntDescriptionMOMENTUM/VALUEMain Parametersimplementation shortfall5.0TWAPNatixis Algorithmic Trading Strategies (Price Driven Algorithms)
VWAP14ParticipateTarget CloseSTEPSMOMENTUM/VALUESteps ParametershuntStepsimplementation shortfall5.0TWAPNatixis Algorithmic Trading Strategies (Price Driven Algorithms)
VWAP15The reference price can be automatically defined by the strategy or entered by the user.The Value Strategy will increase the participation rate when the stock price movesfavorably and decrease it when the stock price moves away from the reference price.The Momentum Strategy adopts the opposite behaviour.CharacteristicsParticipateThe two strategies trade at a targeted percentage of the current volumes on primaryexchanges and MTFs, and dynamically adjust this participation rate to stock price variationsbenchmarked to a reference price.Target CloseMomentum/ValueOpenTime The Value Strategy suits mean-revertingtrading belief.STEPSPrice limitParticipation RateMomentum/Value is to be favoured in the following cases The Momentum strategy suitstrend-following belief.CloseStock priceAlgo ParticipationMain ParametersStart / End timeBy default, start time is at reception of the order, potentiallyincluding market open if received before the opening auction.End Time will apply if the order has not been completed before.Trading styleConservative, neutral and aggressive. The conservative optionsuits a favorable price variation while the aggressive optionapplies better to an adverse price trend.huntDescriptionimplementation shortfallDescriptionMOMENTUM/VALUE6.0TWAPNatixis Algorithmic Trading Strategies (Price Driven Algorithms)Optional ParametersPrice limitThe strategy will apply the price limit to orders. Orders may notbe completed. Volume traded outside the price limit is not takeninto account by the strategy.Would priceThe strategy will attempt to complete the order if the stocktrades at the Would price or better.Reference priceThe strategy replaces the mid-point bid offer with the definedreference price as the benchmark price.
VWAP16ParticipateTarget CloseSTEPSMOMENTUM/VALUEMomentum/Value ParametershuntMomentum/Valueimplementation shortfall6.0TWAPNatixis Algorithmic Trading Strategies (Price Driven Algorithms)
VWAP17The Hunt strategy provides the opportunity to execute an order on the primary exchangeand MTFs while never being placed in the market and thus to minimize information leakage.CharacteristicsParticipateHuntVolumePrice limit Suitable for illiquid instruments.100%0%OpenTime To execute an order at a limit price withoutbeing visible to the market.Target CloseHunt is to be favoured in the following casesCloseSTEPSStock priceAlgo ParticipationMain ParametersBy default, start time is at reception of the order, potentiallyincluding market open if received before the opening auction.End Time will apply if the order has not been completed before.Price limitThe strategy reacts to liquidity offered at the price limit or better.Optional ParametersDescriptionMinimum quantityHunt ParametersThe strategy will react to favorable price only if available liquidityis above the Minimum Quantity so as to reduce informationleakage for small quantities.huntStart / End timeMOMENTUM/VALUEDescriptionimplementation shortfall7.0TWAPNatixis Algorithmic Trading Strategies (Price Driven Algorithms)
VWAP18The strategy is designed to trade on primary exchanges and MTFs, requiring minimuminput from the user.CharacteristicsParticipateThe objective of Implementation Shortfall is to minimize the execution cost of anorder. The aim is to try trading off the real time market impact cost of the order and theopportunity cost of delayed execution. The strategy will increase the targeted participationrate w
Synthetic prime brokerage Access to Natixis repo and financing capabilities Integrated with our exec
