Very Passive
Very Aggressive
RBC Algorithm Quick Guide
Variable
Aggression
Levels
Algorithm
DMA
THOR IT!
Description
Trade Examples
Works Best…
Utilizes THOR routing technology; manages display size using RBC’s
proprietary posting logic.
* Use of a limit price is strongly recommended.
(WILL COMPLETE IF MARKETABLE)
Buy 500,000 MSFT at $24.25.
When willing to buy or sell stock at
a specific price point.
RBC NOW
I Would
Aggressively seeks liquidity while managing market impact.
* Use of a limit price is strongly recommended.
(WILL COMPLETE IF MARKETABLE)
Buy 500,000 MSFT with a $24.25 top,
I would.
In aggressive/urgent situations.
RBC Eclipse
In-line/ Work
Uses stock-specific triggers to opportunistically source liquidity.
(MAY NOT COMPLETE)
Buy 250,000 HRZ, I would in-line or
participate lightly with volume.
When willing to work the order while
attempting to source liquidity.
Implementation
Shortfall (IS)
Best Way
Follows a front-loaded schedule quantitatively optimized to balance
market impact and opportunity cost.
(WILL COMPLETE IF MARKETABLE)
Buy 200,000 DIS best way.
When balancing the trade-off between
market impact and time risk.
POV
Work
Tracks volume at a specified participation rate.
(MAY NOT COMPLETE)
Buy 200,000 IBM, be 20% of
the volume.
In situations where a desired rate
of participation is known.
VWAP/TWAP
Spread Out
VWAP follows a schedule based on current market conditions and the
stock’s historical profile. TWAP follows a straight-line schedule.
(WILL COMPLETE IF MARKETABLE)
Buy 100,000 XOM over the day.
When executing an order over a specified
time frame.
RBC Dark
Be Discreet
Dark aggregator that actively accesses liquidity in 20+ pools.
(MAY NOT COMPLETE)
Buy 50,000 ZOLT with an $8.00 top. Do not
display any part of the order.
For intelligently accessing
dark liquidity.
RBC Select
Trading Urgency
Liquidity-seeking strategy that utilizes a single aggressiveness parameter
to drive execution. Default setting is Level 3 – Neutral.
(LEVELS 4 & 5 WILL COMPLETE IF MARKETABLE)
• Level 1 – Least Aggressive
Varies based on selected aggressiveness level: For capturing liquidity in lit and dark by
using a single parameter.
• Level 5 – Most Aggressive
RBC Algorithm Parameters
RBC Capital Markets
DMA
RBC NOW
RBC Eclipse
RBC Select

Pre/Post Mkt.

Peg To

Peg Offset

Discretion Offset

Max Display

Include Open

Post in Lit

T
urbo
Sweep to limit, aggressive time trigger

Include Open

Post in Lit

Aggression
Passive: ↓ MinPOV, ↑ liquidity trigger,
↑ MinQty
Standard
Aggressive: ↑ MinPOV, ↓ liquidity trigger, ↓ MinQty

Aggression
Level 1: Least Aggressive
Level 2:
Level 3: Neutral
Level 4:
Level 5: Most Aggressive
Implementation Shortfall (IS)
POV
VWAP/TWAP
RBC Dark

Include Open

Max % Volume

I Would Price

Aggression
Passive
Standard
Aggressive

Style
Reversion: ↑ participation on favorable
move; ↓ unfavorable
Standard: No scaling
Momentum: ↓ participation on
favorable move; ↑ unfavorable

I Would Price

Include Open

Include Close

Max % Volume

I Would Price

Aggression
Passive: Suitable dark pools
Standard: Suitable dark & grey pools
Aggressive: All available dark
& grey pools
Default setting. Note: algorithm parameters are subject to change; please speak with your RBC representative for the most up-to-date parameters.
Sales & Trading Contacts: U.S. +1.212.618.7700 | Canada +1.416.842.5326 | EMEA +44.20.7002.2552
THOR has been patented by the U.S. Patent and Trademark Office. Corresponding patent applications have been filed in other geographies including Canada, Australia and the European Union.
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