About TethysALGO

The TethysALGO suite of algorithmic trading strategies is offered across several asset classes including global equities, options and futures. Our products are highly performance driven and designed to achieve optimal execution by using advanced quantitative logic, while maintaining pure neutrality to all venues and brokers. Our technology was built with over a decade of input from our clients who care about liquidity, performance, stability, confidentiality and integrity. Client loyalty drives our business and the best results are our only objective.

The TethysALGO Difference

Tethys Technology is not a broker dealer and has completely un-conflicted algorithms that are tailored to extract maximum performance for our clients. Tethys is keenly aware that Traders and Portfolio managers work for the investor, and our algorithms are architected to maximize returns to investors by mitigating the intraday risk of trading and minimizing the transaction cost of trade execution. Tethys’ algorithms include embedded advanced statistical and game theory techniques developed over the past ten years. This allows the algorithms to be highly adaptive and take into consideration important profiles such as expected volume and volatility, which can be dynamically estimated thereby significantly reducing the slippage and removing the likelihood of being gamed or detected. A large number of control features allow clients to tailor the behavior of the algorithms to match their needs.

Tethys algorithms incorporate real-time models, which are continuously updated throughout the day for liquidity, risk, short-term alpha, game theory and smart-order routing. Ongoing market microstructure research allows Tethys to update its algorithms to reflect changes in the market and to provide optimal performance in varying market conditions.

The TethysALGO suite takes into considerations the following trade-specific characteristics:

  • Alpha Decay
  • Reversion or Momentum
  • Benchmark Tracking and Error
  • Participation Rate
  • Price Utility
  • Time Horizon to Completion
  • “Footprint” Information Leakage
  • Risk Aversion

The Tethys suite of algorithms is delivered as an algorithmic engine integrated via FIX or API to other applications or other execution management products. Clients can easily utilize existing exchange connections or choose broker DMA (Direct Market Access) pipes.

The TethysALGO Suite

  • TethysALGO Equities
  • TethysALGO Multi Asset
  • TethysALGO Options
  • TethysALGO Futures

TethysALGO Equities

With our advanced and real-world proven market impact, volatility, volume and covariance prediction models and seamless access to all sources of liquidity, TethysALGO Equities are programmed to balance trade cost with execution quality. As a result, we have among the industry’s top performance results coupled with highly efficient cost structures.

Tethys Pre-packaged Equities Algorithms

  • EMINI (Tethys Minimum Time Execution)
  • EVWAP (Tethys Volume Weighted Average Price)
  • ELINE (Tethys Curvilinear)
  • ETWAP (Tethys Time Weighted Average Price)
  • ESENS (Tethys Sensitive Execution)
  • ESCAL (Tethys Scaling Algorithm)
  • EPART (Tethys Volume Participation)
  • ESTLTH (Tethys Stealth)
  • EISFL (Tethys Implementation Shortfall)
  • EPEGE (Tethys Synthetic Peg)

Key features of TethysALGO Equities includes broker-neutral, client-oriented algorithms, strong performance relative to benchmarks, maximization of rebates for markets where available, short-term alpha capture models, real-time volatility and volume predictors, real-time, pre- and post-trade Transaction Cost Analysis (TCA), global co-location for all asset classes as well as a highly qualified team helping clients tackle the most complex and challenging trade execution.

Pairs Trading

Tethys offers sophisticated pairs/spread trading algorithms which are available for global equities and futures allowing clients to trade spreads across products and regions. Special features include cross asset spreading (future vs. equity), cross region (domestic vs. ADR), automated currency exposure hedging and multi-leg spreads.

Program Trading

High-quality execution of a cash balanced lists of securities is one of Tethys’ core competencies that stems from the company’s extensive history in statistical arbitrage. The TethysALGO program allows clients to choose the underlying execution tactic (i.e., SWAP or Arrival Price) and put a dollar imbalance limit on the program, as well as control the average execution rate of each constituent. The algorithm is available for global equities and futures trading. Limit prices, stops and finish prices are all supported.

The TethysALGO Equities Advantage

  • Anti-gaming Approach:  Minimizing and eliminating order footprint to avoid detection and real-time diagnostics that identify if the order being worked by our algorithms is targeted by gamers
  • Up-to-Date Algorithms:  Tethys algorithms are updated every three to six months to keep you attuned to evolving circumstances
  • Real Trading Cost: Tethys compares the SWAP benchmark and the Arrival Price benchmark to provide the real trading cost
  • Range Management: Tethys focuses on trading “the range.” This range is where most of the stocks predictability happens and the true character of the stock. The focus of Tethys’ range management is the key to the success of how the company models its strategies.

TethysALGO Options

Tethys Options Trading

Designed for volatility or price-based trading of options spreads and auto-calculation and execution of net delta hedges, Tethys’ robust application is suitable for trading a small number of orders or thousands of single-leg or multi-leg options spreads simultaneously. Clients are able to control model inputs via the user interface through rules defined using Tethys’ Scripting Language or externally through an API.

Tethys Options Sweep

This enables clients to select a range of strikes to set notional, quantity or Vega targets for execution. The Sweep algorithm will allocate optimally and route the resulting orders across multiple strikes and execution venues to achieve maximum liquidity at the given price level.

Tethys Volatility Surface Trading/Spreading

Allows traders to automatically generate orders from a fair value volatility surface. Clients can publish fair value volatility through an API, upload though a file or elect to use a snapshot for exponential moving average of market-implied volatility. Clients can set risk in terms of Vega or quantity, per order, per contract, per underlier and across all underliers. The algo also supports spreading one surface versus another using vega targets.

Tethys Options Portfolio

Enables clients to monitor and control portfolio risk in real-time and to auto-execute hedges using Tethys smart execution algorithms while controlling risk at the underlying level. This template offers multiple settings for initiating hedging and is highly customizable.

Tethys Dispersion Trading

Architected to allow traders to manage multiple dispersion trades in a cost and risk efficient manner, this high capacity template allows clients to set Vega targets and use dynamic fair value levels to initiate multi-leg dispersion trades. Fair values can be published into the application or set using market implied volatility available in the system. Seamless integration with Tethys Options Portfolio provides automated Delta hedging of dispersion positions.

TethysALGO Futures

Supported by a quantitative research team with extensive knowledge of market microstructure for global futures, options, equities and FX markets, algorithms for the futures market includes:

Tethys Futures Algorithms

  • EMINI (Tethys Minimum Time Execution)
  • EVWAP (Tethys Volume Weighted Average Price)
  • ELINE (Tethys Curvilinear)
  • ETWAP (Tethys Time Weighted Average Price)
  • ESENS (Tethys Sensitive Execution)
  • ESCAL (Tethys Scaling Algorithm)
  • EPART (Tethys Volume Participation)
  • ESTLTH (Tethys Stealth)
  • EISFL (Tethys Implementation Shortfall)
  • EPEGE (Tethys Synthetic Peg)

Differentiators

Tethys supports over 200 global futures contracts and additional products can be added with a minimal lead time. The algorithms can be used to trade outright futures as well as exchange traded calendar spreads or rolls and are available across all relevant sessions for each contract. Stop, Limit and Finish price parameters are available from all Algorithms and TAS and MOC orders are incorporate for the exchanges/products that offer these order types.

TethysEMS

Tethys Technology’s TethysEMS is a high capacity trade execution system supporting global trading of equities, options, FX and futures. In addition to supporting single orders, lists, and pairs, this multi-asset EMS platform offers broker-neutral algorithmic trading, strategy-based algorithms, and risk management, as well as pre-trade, post-trade and real-time execution analytics. Key features include:

  • Access to a global, multi-asset custom strategy offering
  • Ability to leverage cost structure of fix infrastructure across incremental client base
  • Broker-neutral, seamless integration to client OMS and in-house systems, quick-to-market hosted implementation
  • Unique capabilities to meet client demands to reduce slippage and hide trading footprint
  • Global hosted offering, including market data
  • Comprehensive pre-trade, real-time and post-trade transaction-cost measurement and benchmarking
  • Unique platform that allows clients’ access and develop trade-execution strategies optimal for their flow
  • Tick-data based trade simulation and testing engine
  • Pre-configured, customizable templates for all major strategies
  • Experienced, highly qualified team to help clients tackle the most complex and challenging trade execution

This flexible platform allows virtually any kind of investment or trading strategy to be implemented. These include:

Equities

  • Market-neutral trading
  • Pairs trading
  • Program/algorithmic trading
  • ETF and index arbitrage
  • Convertible and risk arbitrage
  • Statistical arbitrage

Futures

  • Trend following
  • Machine learning
  • Spread trading
  • Cross-asset and cross-market trading
  • Options strategies

Options

  • Options relative-value trading
  • Options volatility auto-quoting
  • Delta-gamma portfolio management
  • Dispersion

Tethys Consulting Services

Tethys offers a full suite of flexible, easily modified execution algorithms. Each algorithm can be tailored for the user’s particular needs including their alpha profile, execution preferences and risk parameters. Traders can make changes to any given security, buys, sells or the entire trading list along any execution parameter as the trades are being executed. The Tethys Market Microstructure research team is available to work with clients to test, determine and implement optimal execution strategies.

Let us help you find which Tethys solution is right for your business, email sales@tethystech.com.