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Quantitative Finance · Glossaire

Qu'est-ce que « Algo wheel » ?

Definition 20.3 Microstructure and Execution · Chapitre 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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