May 25, 2006

Abbreviation: VWAP
Name: Volume Weighted Average Price
Type (B/A)1: B
Goal: Reduce market impact by breaking up trades and minimizing trading predictability; designed to achieve a better price than the VWAP end-of-day benchmark.

Abbreviation: TWAP
Name: Time Weighted Average Price
Type (B/A)1: A
Goal: Reduces opportunity costs by completing the trade in the specified time period; allows traders to "time slice" a trade over a certain period of time.

Abbreviation: MOC
Name: Market on Close
Type (B/A)1: B
Goal: Aims to beat the MOC benchmark; measure of the last price obtained by a trader at the end of the day against the last price reported on the exchange.

Abbreviation: VP
Name: Volume Participation
Type (B/A)1: A
Goal: Designed for trades in liquid stocks and for taking advantage of the market's liquidity; allows you to trade at a certain percentage of the daily volume.

1B = An algorithm that is described in terms of the benchmark (B) that it tries to match.
A = An algorithm that is described in terms of the internal algorithm (A) logic/process.

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Tool Kit Providers - Enables buy side to trade in-house with customizable algorithmic tool kits (e.g., Apama, FlexTrade, Portware).

Agency Brokers - Trade exclusively for clients using proprietary algorithms (e.g., Lime Brokerage, Neovest, UNX) with no threat of leakage.

Bulge Brackets - Full-service firms with algorithm trading services (e.g., BofA, Goldman, Credit Suisse) bundled into broader offerings.

Technology Firms - Provide a wide variety of technology building blocks (e.g., QSG, Xenomorph, BT Radianz).