Lime Brokerage Customizes Benchmark and Smart Order Routing Algorithms for Automated Trading

Lime Brokerage is an agency only broker-dealer that offers Benchmark Algorithms and Smart Order Routing Algorithms for U.S. Equity trading. As one of the pioneers of algorithmic trading, Lime continues to provide systematic traders, financial institutions, proprietary trading groups, hedge funds, and asset managers with superior executions. Lime’s algorithms are built on their ultra-low latency infrastructure including very fast market data which provides order entry in microseconds.

“We are known for our innovative systems that have been developed to handle the demands of the automated trading community, and we continue to improve our product offerings,” stated Tom Gibb, Co-President of Lime Brokerage.

 

Benchmark Execution algorithms include:

VWAP: Creates a pre-trade schedule based on historical data, volume patterns, and targets the volume weighted average price.

TWAP: Executes desired quantity at a constant rate over a user-defined interval.

Implementation Shortfall: Minimizes risk-adjusted trading costs relative to the arrival price and dynamically adjusts aggression as a function of real-time market conditions relative to a chosen benchmark.

POV: Tracks and reacts to real-time market volumes to target a user-defined participation rate.

Close: Creates a backloaded execution schedule versus the historical VWAP pattern to better capture prices towards the end of an order.

 

Smart Order Routing algorithms include:

Lime Smart Router: Aggressive liquidity-seeking algorithm that optimizes speed to interact with displayed and non-displayed markets.

Dark Sweeper: Dark Sweeping algorithm that optimizes sourcing dark liquidity while lowering transaction costs.

Cost Effective: Aggressive liquidity-seeking algorithm with an objective to lower transaction costs on displayed and non-displayed markets.

Neutral: A neutral to aggressive algorithm with objective not to pay full spread on available liquidity.

Hidden: Accesses liquidity for all venues supporting invisible or hidden order types.

Any of these strategies can be custom modified to meet client needs by Lime’s expert advisors and quantitative consulting team. The brokerage firm works with clients to create user-defined strategies that incorporate individual risk tolerance while reducing transaction costs. Lime offers high-frequency trading with risk checks that are fully SEC Rule 15c3-5 compliant. These checks are performed in line with standard programming language.  Connection to the automated trading system is easy and efficient, Lime supports the industry standard FIX protocol. Lime also offers a full suite of connectivity options including an easy-to-use API in both JAVA and C/C++, supporting a wide range of front-end trading platforms as well as offering proprietary GUI and are fully FIX compatible.

For more information on Lime’s market access, customized benchmarks and smart order routing algorithms contact sales@limebrokerage.com.

About Lime Brokerage

Lime Brokerage LLC (Lime), is a FINRA and NFA member and a fully disclosed introducing broker-dealer based in New York City, Chicago, Boston, Los Angeles, and Platteville. Lime offers the industry’s most advanced trading technologies and execution services, providing traders superior access to the most automated, high-volume electronic trading markets. Lime’s systems provide unsurpassed reliability and scale with exceptionally low latency. Developed to handle the demands of the automated and electronic trading community, Lime’s technology caters to a diverse and sophisticated client base. The result is a robust, highly reliable, agency-only system that includes market data and trading platforms. It allows clients to trade efficiently and anonymously across all major lit and dark market venues.

For more information about Lime Brokerage, visit https://www.limebrokerage.com/

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