Expressive Bidding in a Nutshell

One of the defining features of a Smart Market is the ability to express highly customizable bidding preferences over one or more securities. OneChronos offers direct and indirect users this capability through "Expressive Bidding" — an optional toolset for creating custom, confidential orders that can help VWAP, IS, Liquidity Seeking, and other trading algorithms:

• Respond dynamically to unique liquidity
• Receive customized fills
• Improve fill consistency
• Reduce or avoid unintended execution risks

Expressive Bidding also allows you to express flexibility, for example, across substitutable symbols or the amount of desired price improvement for a given quantity. By giving investors and traders the ability to express what they need and where they’re flexible, the potential for their orders to interact in the market and receive improved execution increases dramatically. Note that Expressive Bidding is currently enabled for "Pairs" only (i.e. Expressive Orders consisting of two symbols). For more information, please see our Form ATS-N.

A key building block of Expressive Bidding is bidder logic — code that allows you to describe your preferences and constraints using auction-time inputs such as imbalance, spread, price dislocation, passing volume, quote fade (NBBO consensus), and many other variables. Bidder logic can be used by brokers to enhance their algorithms and smart-routing strategies, or by indirect users to complement parent or child level strategies, and to seek portfolio-level efficiencies that aren't feasible using conventional execution tools. Bidder logic can capture powerful trading behaviors in just a few lines of code:

let spread = abs(mid(a) - mid(b));

/* Trade both at mid or better only if spread constraint is met */
[subject_to(const(spread) >= const(arg.bidder_data.spread),
place_notional(mid(a) * qty(a) + mid(b) * qty(b)))
];

Take a look at the Getting Started page if you're ready to take the next step, or reach out to your broker to see how they might incorporate Expressive Bidding into their algorithms or on a customized basis. Always feel free to reach out to us at [email protected] for more information and for help with Expressive Bidding.