Thought Leadership

The Conditional Order Type
Enhancing the Discovery of Block Liquidity

The conditional order type is a useful and efficient tool for sourcing block liquidity. In this paper, we seek to provide more clarity on conditional order function and the benefits in the context of a block-seeking algorithmic order.

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October 2021
Global Equities
and FX Market Structure Monthly

NOVEMBER 15 , 2021

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Read the APAC report >

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3Q 2021
Equity and FX Global Cost Review

NOVEMBER 15 , 2021

See the full breakdown within the 2Q 2021 Equity and Volatility, spreads and equity trading costs increase in developed markets while FX spreads decline a third consecutive quarter

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Workflow Technology Case Study

Breaking New Ground with an Electronic RFQ Process for Swaptions on Credit Default Swaps (CDS)

How Union Investment re-imagined process-intensive
order handling via Virtu’s RFQ-hub.

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August 2021
Global Equities
Market Structure Monthly

SEPTEMBER 23 , 2021

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Read the full EMEA report >

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Read the full APAC report >

Analytics in Action: Open Technology (API) Use Case

Determining an Optimized FX Algo Trade Horizon

Identify the ideal trading horizon for your FX Algo trade given a risk tolerance level.

The FX Cost Curve data API on Virtu’s Open Technology platform facilitates trade horizon selection for your FX algos. Using the programming language of your choice, you can use this tool to help determine the optimal duration for your orders based on your cost and risk tolerances.

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August 2021
Global FX
Market Structure Monthly

SEPTEMBER 23 , 2021

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2Q 2021
Equity and FX Global Cost Review

AUGUST 23 , 2021

See the full breakdown within the 2Q 2021 Equity and FX Global Cost Reviews.
FX costs are measured as the spread costs of executions against the quoted market mid-price at the time of execution. Equity Implementation Shortfall costs are defined as the weighted average execution price vs. order arrival price.

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July 2021
Global Equities
Market Structure Monthly

AUGUST 23 , 2021

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Read the full EMEA report >

Read the full US report >

Read the full APAC report >

July 2021
Global FX
Market Structure Monthly

AUGUST 23 , 2021

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Analytics in Action: Open Technology (API) Use Case

Data Mining Historical Blocks for Liquidity Trends

Block Volume API is the latest release on Virtu’s Open Technology platform, designed to integrate data-driven analytics into your execution processes.

Using your preferred programming language, use a simple call to retrieve historical block liquidity and associated bid/ask spreads for a single security or trade lists.

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June 2021
Global FX
Market Structure Monthly

July 30, 2021

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May 2021
Global FX
Market Structure Monthly

June 28, 2021

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Desk Notes

Unpredictable Liquidity
The pitfalls of relying on historical averages to make routing decisions

In the US equity market, liquidity can be unpredictable across venues. Though venues’ market share over time, in aggregate, appear to be stable, on an individual stock basis, there may be episodic events that result in volume distributions across venues that differ greatly from historical averages.

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April 2021
Global FX
Market Structure Monthly

June 11, 2021

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FX Agency Cost Estimator
Supporting trade horizon decisions for schedule-based FX algos

In this paper, we review TWAP and other strategy-based analytics available via Virtu Analytics’ FX Cost Curves. Using the tool, a trader only needs to provide a single parameter that quantifies the level of volatility-risk sensitivity, and an optimal trading horizon can be obtained from the cost and risk profiles contained within the new FX Agency Cost Estimator (ACE) model.

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1Q 2021 Global Cost Review
Trading costs in the Americas decline, bringing global aggregate costs back to pre-pandemic levels

MAY 21 , 2020

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1Q 2021 Nordic Cost Review
Aggregate trading costs in the Nordic region remain flat QoQ, with cost decreases in Sweden and Norway offsetting increases in other markets.

MAY 21 , 2020

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February 2021
Global FX
Market Structure Monthly

May 3, 2021

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Big Data Analytics Utilities

Open Technology (API) Use Case
Forecast MOC Trading Costs for Projected Fund Growth

The Auction Market Impact API is the latest release on Virtu’s Open Technology platform and was created to help you integrate value-add analytics within your in-house processes and workflows. Using your programming language of choice, subscribers can leverage Auction Market Impact to help estimate the cost of trading in the open or closing auctions.

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