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1 Markets I: The Ecosystem and Exchange-Traded Marketsالأسواق عبر الإنترنت 2 Markets II: Rates, FX and Creditالأسواق عبر الإنترنت 3 Markets III: Commodities, Energy and Cryptoالأسواق عبر الإنترنت 4 Quantitative Methodsالأساليب عبر الإنترنت 5 Derivatives and Volatilityالمشتقات عبر الإنترنت 6 Rates, Credit, XVA and Riskالفائدة والائتمان والمخاطر عبر الإنترنت 7 Research Craft: Predictors, Backtests, Measurement, Portfoliosالبحث عبر الإنترنت 8 Strategies I: Equities and Futuresالاستراتيجيات عبر الإنترنت 9 Strategies II: Volatility, Relative Value, Macro and the Bank Desksالاستراتيجيات عبر الإنترنت 10 Microstructure and Executionالتنفيذ عبر الإنترنت 11 Market Making and High-Frequency Tradingصناعة السوق عبر الإنترنت 12 Machine Learning for Marketsتعلم الآلة عبر الإنترنت 13 Low-Latency Softwareالتكنولوجيا عبر الإنترنت 14 Networks, Hardware and Trading Infrastructureالتكنولوجيا عبر الإنترنت 15 Research, Data and Risk Platformsالتكنولوجيا عبر الإنترنت 16 The Desk and the Firmالشركة عبر الإنترنت 17 The Industry: Firms, Roles and Careersالمسارات المهنية عبر الإنترنت 18 The Interview Bookالمسارات المهنية عبر الإنترنت
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Quantitative Finance · المسرد

ما معنى Algo wheel؟

Definition 20.3 Microstructure and Execution · الفصل 20 — The Buy-Side Trading Desk and Its Brokers

An algo wheel allocates the desk’s low-touch orders among brokers’ algorithms by a rule rather than by the trader’s choice: at random, in rotation, stratified by the order’s difficulty, or weighted by past performance, so that each broker’s results can be compared on comparable flow.

The probability that a uniform wheel shows broker 2 significantly worse than broker 1 (a true difference of 3 basis points), against the months of flow: 300 simulated desks. Data: mx_wheel.power_study.
Figure 20.1. The probability that a uniform wheel shows broker 2 significantly worse than broker 1 (a true difference of 3 basis points), against the months of flow: 300 simulated desks. Data: mx_wheel.power_study.
The share of each month’s orders sent to the best broker by a Thompson-sampling wheel and by a uniform one, averaged over 60 simulated desks. Data: mx_wheel.thompson_study.
Figure 20.2. The share of each month’s orders sent to the best broker by a Thompson-sampling wheel and by a uniform one, averaged over 60 simulated desks. Data: mx_wheel.thompson_study.
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