When a model manager submits an order, their broker sometimes breaks down the order into multiple fills for execution to optimize the price achieved.
For example, a model manager enters an order to Buy 1,000 ICXT. The broker is able to fill 400 immediately at two different prices and breaks down the remaining 600 into 3 equal lots of 200 which are all filled 10 minutes later on 3 different exchanges. This executes the manager’s order in full and results in a total of 5 fills.
Our real-time feed from the model manager’s broker account provides us with this stream of fills. To date our systems have replicated each of these fills for clients. Using the above example, this would result in the creation of 5 client orders for replication.
Yesterday we changed our trade replication algorithm to aggregate model manager fills that are executed by the broker at the same time. Using the example above, we would now create 2 client orders for replication instead of 5. This matches the number of trades the model manager would see as having been executed on their broker statement.
As always, if you have any questions do contact our client relations team.
