Možda u Vama probudim volju za istraživanjem pa donosim neke podatke o algoritmima kojima se služe velike kuće od kojih ću navesti samo neke:

Goldman Sachs
Goldman Sachs Electronic Trading multi-asset suite of algorithms that includes equities, ETFs, futures, synthetics and options. By trading with Goldman Sachs, clients gain access to a range of resources, including pre-, intra-, and post-trade analytics, transaction cost analysis and execution strategy consulting. Twenty-four hour seamless global support provides continuous service across North America, Europe and Asia. VWAP, TWAP, Target Volume, Arrival Price, Portfolio Algorithm, Percent of Volume, Small Order, Scaling, DMA/Smart Order Router, Crossing Algorithm Accessing Internal, Crossing Aggregator, Spread (Pairs) Trading, Market on Close

Morgan Stanley
MS Benchmark Execution Strategies (BXS)
Morgan Stanley Electronic Trading provides a complete spectrum of services from pre-trade analytics, execution, post-trade execution performance analysis and commissions management.Comprehensive algorithmic trading suite and various direct market access (DMA) strategies, including our smart order routing technology and our dark liquidity pool aggregator. Our Passport(SM) execution management system provides seamless access to trade portfolios, single stocks, ETFs, options, futures, swaps, and foreign exchange. We also offer Delta Hedging, Gamma Hedging, Contingent and Pairs Trading Tools and a customizable API. VWAP, TWAP, Target Volume, Arrival Price, Percent of Volume, Scaling, Gamma Hedge, Delta Hedge, Pegging, Discretion, DMA/Smart Order Router, Crossing Algorithm Accessing Internal, Crossing Aggregator, Spread (Pairs) Trading, Market on Close, Manage the Close, Switching Algorithm,

Wachovia Securities
Wachovia Automated Trading Solutions (WATS) offers a full suite of algorithms the covers the spectrum from stealth to aggressive participation, while using sophisticated short-term price and volume forecasting. VWAP, TWAP, Target Volume, Arrival Price, Percent of Volume, Scaling, DMA/Smart Order Router, Market on Close

Credit Suisse
AES: Award winning provider of global multi-asset algorithmic solutions. VWAP, TWAP, Target Volume, Arrival Price, Index Arbitrage, Portfolio Algorithm, Percent of Volume, Small Order, Scaling, Gamma Hedge, Delta Hedge, Pegging, Discretion, DMA/Smart Order Router, Crossing Algorithm Accessing Internal, Crossing Aggregator, Spread (Pairs) Trading, Market on Close, Manage the Close, Switching Algorithm, Customizations

Barclays Capital
LMX® is the Barclays Capital global suite of model-driven order execution strategies, providing convenient automated execution for equities, futures, FX, and options. Crossing Aggregator, Spread (Pairs) Trading, Market on Close, Manage the Close, Switching Algorithm

Bank of America
Electronic Algorithmic Strategy Execution (EASE™)
EASE, Banc of America Securities’ algorithmic suite, offers a variety of strategies including Fusor™, our proprietary liquidity aggregator that reduces your market impact and preserves anonymity. The EASE offering provides greater efficiency, execution capability and customization across its algorithmic strategies. VWAP, TWAP, Target Volume, Arrival Price, Percent of Volume, Scaling, DMA/Smart Order Router, Crossing Aggregator, Market on Close, Manage the Close, Ambush®, Instinct®

Velike kuće i hedge fondovi trguju isključivo preko algoritama.Čak i ako dođu u posjed kvalitetne informacije,sve na njoj temeljene transakcije će izvršiti preko algoritama kojima se koriste.Npr.ako namjeravaju kupiti 100000 dionica neke firme,neće to učiniti odjednom,pošto ni ponuda pri fiksnoj cijeni nije tolika,već će transakciju usitniti u trenucima dovoljne likvidnosti ili obrnuto,ako se znatnije hoće utjecati na cijenu(i ne samo likvidnosti) kako ne bi utjecali na cijenu u nepovoljnom smjeru.Tako je uz sve osnovne parametre koji se koriste,jako bitam parametar i vrijeme.Većinu važnih algoritama koriste svi i na njih treba obratiti pozornost,a manjina je posebni proizvod svake kuće.Međutim međuinterakcije svih poznatih algoritama su također specifične za svaku kuću.Jedan od najčešće korištenih algoritama koji je vrlo jednostavan je i Volume Weighted Average Price (VWAP).Iako jednostavan,vrlo je vrijedan jer ga svi koriste.Tako iz tih algoritama koji se koriste možemo razvijati i vlastite...Npr.

Open: $24.75
High: $25.50
Low: $24.00
Close: $25.25

Total Shares Traded: 1,000,000
Total Value of Shares Traded: $24,990,000
VWAP iznosi $24.99

TOS KOD ZA VWAP
plot VWAP = TotalSum(Volume * Close) / TotalSum(Volume);

Iz VWAP a je izveden i TWAP

TWAP is the average price of contracts or shares over a specified time.A variant of Value Weight Average Price (VWAP) that evaluates the quality of an order execution relative to the time the price spent at each level rather than the volume traded at each level.
TWAP is also sometimes used to describe a TWAP trading strategy, that is a strategy that will attempt to execute an order and achieve the Time Weighted Average Price or better. A TWAP strategy underpins more sophisticated ways of buying and selling than simply executing orders en masse: for example, dumping a huge number of shares in one block is likely to affect market perceptions, with an adverse effect on the price. High-volume traders use TWAP to execute their orders over a specific time so they trade to keep the price close to that which reflects the true market price. TWAP orders are a strategy of executing trades evenly over a specified time period. VWAP balances execution with volume. Often, a VWAP trade will buy or sell 40% of a trade in the first half of the day and then the other 60% in the second half of the day. A TWAP trade would most likely execute an even 50/50 volume in the first and second half of the day.

Dakle Market kratkoročno nije "random" već se sve zna unaprijed.Zašto onda imamo dojam da je kretanje cijene slučajno?E pa "lukavci" se služe posebnim strategijama da im ne bi mogli ući u trag.
TWAP (Time Weighted Average Price)
Trade order evenly over time, reducing obvious auto-trading footprint through randomisation of time, quantity and destination.
LINK NA PRIMJER

U budućnosti ću se i ovdje malo pozabaviti tim algoritmima.. kliknite ispod na koji pdf,vrjedni su.