Liquidity Slicing Strategy
Neovest's Strategy Server is designed to let you set up various liquidity slicing strategies that you may then use to slice your large Basket orders into multiple smaller orders, for the purpose of minimizing market impact. By way of definition, Neovest refers to each initial large Basket order that you wish to slice as the "parent" order and each smaller order resulting from the parent order being sliced as a "child" order.
Using Neovest's proprietary slicing algorithm, you may (1) determine minimum and maximum share sizes and percentages for each child order, (2) specify do-not-send price parameters that will require each child order to fall within a specific price range before it is sent, (3) enter minimum and maximum time delays that will determine random pauses between the sending of each child order, and (4) determine automatic cancel and replace time and price settings that will allow you to cancel or replace your sent child orders if they have not been filled after a certain amount of time and are a certain price away from the current market price.
Once you set up, name, and save a liquidity slicing strategy and it appears on the "Slice Strategy" drop-down menu in the "Change Orders" section in a Neovest Basket window, you may select the liquidity slicing strategy to be used in connection with a single OTC or listed order, or a group of OTC or listed orders that are displayed in the Blotter section in a Basket window. Once you are ready to begin slicing the order(s) you have highlighted, you must click Slice or Slice and Execute to activate the liquidity slicing strategy you selected.
Once you click Slice or Slice and Execute, Neovest will prompt you to slice your large parent Basket order(s) into two, three, four or any number of slices using percentages. Once you determine the number of slices and click OK to begin the slicing, Neovest will utilize the liquidity slicing strategy you selected to further slice each of the percentage slices you specified.
For example, if you have created the "NeoSlice" liquidity slicing strategy and you wish to use it to slice a 10,000-share buy order on the symbol IBM, then you must ultimately click Slice or Slice and Execute to begin the slicing and execution of the order. Once you click either of these features, either the "Slice Orders" or "Slice and Execute Orders" box will appear. In either of these two boxes, if you choose to slice the 10,000-share order into two separate 5,000-share orders, then Neovest will utilize the "NeoSlice" liquidity slicing strategy criteria to direct its strategy server to slice each 5,000-share order to its ultimate execution. For more information on Neovest's Slice and Slice and Execute features, refer to the "Slicing Orders" section in the Basket chapter of Neovest's Help documentation.
The following instructions explain how you may use Neovest's Strategy Server to set up a liquidity slicing strategy, which you may then use in a Neovest Basket window to slice your large parent Basket orders into smaller child orders:
Click on the row number corresponding to the single order for which you would like to select a liquidity slicing strategy. For instance, if you wish to select a liquidity slicing strategy for the single order that is located on row "1," simply click on the number "1," and the entire row will become highlighted.
Note: Once you click on a row number the "Change Orders" section will update to reveal the order information corresponding to the highlighted row.
Note: At this point you may choose to highlight more than one row if you wish to select the same liquidity slicing strategy simultaneously for a group of orders. Neovest provides you with a number of ways to highlight more than one row in the Blotter section. For instance, if you wish to select a number of rows that are not in consecutive order in the Blotter section, simply press and hold the Ctrl key while you click on the row numbers that you wish to highlight. Additionally, if you wish to select a number of rows that are in consecutive order in the Blotter section, simply click on the number of the first row in the consecutive list of rows that you wish to highlight, then press and hold the Shift key, and then click on the number of the last row.
Click on the "Slice Strategy" drop-down menu to view the liquidity slicing strategy selections that are available to you, which are the liquidity slicing strategies you have previously created.
Note: The default options that appear are No Slicing and Order Slicing Setup. In this example, the "Slice Strategy" drop-down menu also contains the NeoSlice liquidity slicing strategy, which would indicate that you had previously created a strategy by that name. If you select No Slicing, then you are indicating that you do not wish to use an existing or set up a new liquidity slicing strategy. If you select Order Slicing Setup, then the "Define Order Slicing" box will appear, which will let you utilize Neovest's proprietary slicing algorithm to set up a liquidity slicing strategy to slice your large parent Basket orders into multiple smaller child orders. The following instructions will proceed as if you wish to set up a liquidity slicing strategy.
Select Order Slicing Setup.
Once the "Define Order Slicing" box appears, click Add Order Slicing.
Once the "Create New Order Slicing Strategy" box appears, enter the name in the "Name" field that you wish to give the new liquidity slicing strategy. (In the following example, "NeoSliceBasket" is used as the name.)
Note: Any liquidity slicing strategies you choose to create may be accessed in any Neovest Basket, Montage, and Order Entry Montage window.
Click Create.
Once the "Liquidity Order Slicing Setup" box appears, enter the information that you wish Neovest's Strategy Server to use to slice your large parent Basket orders into multiple smaller child orders.
Once you finish entering the information you wish Neovest's Strategy Server to use to slice your large parent Basket orders into multiple smaller child orders, click Finish.
The following table provides descriptions of the features in Neovest's "Liquidity Order Slicing Setup" box:
| Feature: | Description: |
| Shares | Lets you specify minimum and maximum share sizes and percentages for each child order. Once you specify the minimum and maximum share values you wish, Neovest will use the values to automatically generate random sizes for your child orders between your minimum and maximum range. |
| Price | Lets you specify minimum and maximum price parameters for each child order.
Once you specify the minimum and maximum price values you wish, Neovest will verify that each automatically generated child order's price falls within your minimum and maximum price range before it is sent. You may choose via this feature's drop-down menus to use a particular symbol's "Bid," "Ask," "Last," or "Mid Price" price as the price criteria, and you may also specify a positive or negative price offset. In addition, you must check mark the check boxes to the left of "Minimum Price" and "Maximum Price" to cause Neovest to continuously verify that each child order meets your minimum and maximum price range requirements. If the check boxes aren't checked, then Neovest will continue to send child orders, regardless of the prices of the child orders, until a particular entire parent order is filled.
 Note: Once you set up a particular liquidity slicing strategy and select it to be used in connection with a single OTC or listed order or a group of OTC or listed orders that are displayed in the "Blotter" section in a Neovest Basket window—Neovest's Strategy Server will begin to utilize the liquidity slicing strategy criteria you specified to slice your parent Basket order or orders. |
| Delay | Lets you enter minimum and maximum time delays that Neovest will use to determine random pauses between the sending of each child order. |
| Auto Cancel/ Replace Settings | Lets you determine automatic cancel and replace time and price settings for each child order. Once you specify the time and price values you wish, Neovest will automatically allow you to cancel or replace each sent child order that has not been filled after your specified amount of time and is more than your specified price away from the current market price. |
| Feedback Color | Note: This feature lets you specify a feedback color for the Action Button panels in the market maker, ECN, and regional exchange section in either a Neovest Montage or Order Entry Montage window and does not apply to any of the features in Neovest's Basket window. |
Once the "Define Order Slicing" box appears, click on the liquidity slicing strategy you just created, or click on an alternate liquidity slicing strategy you have previously created.
Click OK to select the liquidity slicing strategy and return to the Neovest Basket window.
Once you verify that the liquidity slicing strategy you selected appears on the "Slice Strategy" drop-down menu in the "Change Orders" section, click Update to apply the liquidity slicing strategy to the order(s) you have selected.
Once you wish to slice and execute your order(s), click Slice or Slice and Execute.
Note: For information on Neovest's Slice and Slice and Execute features, refer to the "Slicing Orders" section in the Basket chapter of Neovest's Help documentation.