J.P. Morgan
J.P. Morgan differentiates its SOR through service, research and innovation. A large team of global market structure specialists and quantitative researchers drive continuous improvements in trading logic, predictive models, real-time streaming analytics and historical pattern studies to determine the most efficient execution approach across a wide range of market conditions and execution objectives. The SOR is backed by a dedicated trading desk.
Access and algorithmic integration
Clients can access the router
through most major execution
and order management
systems as well as via direct
FIX connectivity. J.P. Morgan”s
algorithmic strategies are fully
integrated with its router.
Destinations
The SOR is available in
Europe, the US and Asia. This
includes public exchanges,
multilateral trading facilities,
electronic communications
networks and the bank”s own
internal liquidity. Dark pools
are also included where
available. The SOR is
optimised to the unique market microstructure
environment of each region.
Order types and client reporting
The SOR supports a wide
range of commonly used
order types including market,
limit, iceberg/reserve, hidden/
stealth, peg, on-open,
on-close, immediate-or-cancel.
Clients are supplied with
post-trade reports that include
a wide variety of metrics to
help indicate overall execution
performance and the
distribution of routing
destinations. Reports and
analytics can be customised
upon request to meet
individual client requirements.
Data feeds
J.P. Morgan”s SOR uses
compressive real-time depth
of book market data from
major market centres utilising
direct feeds (when available),
as well as historical data.
Routing logic
The SOR is built within a
highly scalable, low-latency
environment, with headroom
for multiples of predicted
peak volume. It bases
decisions on current order book status, recent intraday
trading activity, historical
trading patterns, venue speed
and venue reliability, amongst
other elements. The router
employs heat maps and
orders are redirected based
on current market activity.
Clients are offered a
number of customisations
that can be implemented
upon request with the bank”s
service team.
Routing to lit venues is
focused primarily on lowlatency
precision tactics
optimised for price and size
improvement. The process for
routing dark orders is
concerned with a balance
(depending on situation and
client preference) of seeking
liquidity whilst avoiding
gaming and negative selection.
Stability and resiliency are
key cornerstones of the SOR,
which is based on fully
redundant, scalable and fault-tolerant
systems.
Future plans
Further improvements
around latency, number of
liquidity destinations,
sophistication of routing
strategies employed and
resiliency will be made in the
next 12 – 18 months.