Aqua: Can You Hit the Sweet Spot?

Available to institutional trading clients, Aqua is an algorithmic trading strategy that intelligently seeks liquidity while managing market impact.

Using Aqua, you’ll benefit from J.P. Morgan’s state-of-the-art analytical models seeking to optimize execution performance.

Aqua’s Urgency Levels

Aqua’s five, user-specified urgency levels range from passive dark participation to aggressive liquidity taking. Urgency levels are customizable and may be configured towards your individual trading objectives.

Urgency Objective Trading Behavior Order Example
Dark Seek undisplayed liquidity at the mid-point price or better. Post orders across multiple undisplayed venues. Use real-time fill rate information to allocate shares to venues with the highest fill probability. “Sell 25,000 CVS working passively in dark pools.”
Low Seek undisplayed liquidity and trade opportunistically in the lit markets. Work the order passively across lit and undisplayed venues. Capture liquidity in the event of favorable price and size opportunities. “Buy 30,000 COP. Work the order in dark venues, taking size from lit markets when available.”
Medium Participate while searching for undisplayed and outsized liquidity. Participate at a moderate percentage of the market volume. Post orders across lit and undisplayed venues. Take liquidity in the event of favorable price and size opportunities. “Buy 35,000 KO. Trade in-line but post dark and grab outsized liquidity when available.”
High Decisively take liquidity but pace execution to limit impact and allow the order book to replenish. Trade aggressively while allowing for liquidity in the order book to replenish. Simultaneously post passively in lit and undisplayed venues. “Sell 20,000 CSX. Capture stock frequently to complete the order.”
Get Done Aggressively take liquidity up to the limit price. Send an oversized order to sweep up to the limit price. Post in lit and undisplayed venues when the order is not marketable. "Buy 15,000 JNJ, taking stock up to the limit."

White Papers on Aqua Quantitative Models*

* Requires a client login for J.P. Morgan Markets.

Disclosures

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