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

The TethysALGO Difference

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 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

With its 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)
  • EPEGE (Tethys Synthetic Peg)
  • EVWAP (Tethys Volume Weighted Average Price)
  • ETWAP (Tethys Time Weighted Average Price)
  • ELINE (Tethys Curvilinear)
  • ESENS (Tethys Sensitive Execution)
  • EPART (Tethys Volume Participation)
  • EISFL (Tethys Implementation Shortfall)
  • ESTLT (Tethys Stealth)
  • ESCAL (Tethys Scaling Algorithm)
  • ESPRD (Tethys Spread Trading)
  • EPORT (Tethys Portfolio Trading)

Key features of TethysALGO Equities includes broker-neutral, customer-oriented algorithms, strong performance relative to benchmarks, maximization of rebates (average 21 mils per share for VWAP class algos (US Equities)), short-term alpha capture models, real-time volatility and volume predictors, TC real-time, pre- and post-trade, 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 a sophisticated multi-legged, pairs/spread trading algorithm which is available for global equities and futures allowing clients to trade spreads across products and regions.

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., VWAP 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 process, 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
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.

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:

  • 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)
  • ESPRD (Tethys Spread Trading)
  • EPORT (Tethys Portfolio Trading)
TethysALGO FX

As part of our comprehensive and homogeneous algo suite, Tethys also offers FX algos, designed for both FX investment strategies and hedging. Similar to the other asset classes, users are able to trade liquidity seeking as well as schedule (profile) algos. Clients can trade all currency pairs for both spot and forwards. Our advanced statistical and game theory logic monitors and reacts to quote spreads, depth, volatility etc., measured in real time and dynamically estimated using historical and real-time data.

  • EMINI (Tethys Minimum Time )
  • ETWAP (Tethys Time Weighted Average Price)
  • EVWAP (Tethys Volume Weighted Average Price)
  • ESENS (Tethys “Sensitive” Looks at Volume, Spread and Volatility)
  • ELINE (Tethys Linear (Time Weighted) Average Price)
  • ESTLT (Tethys Stealth Execution)
  • EPEGE (Tethys Synthetic Peg) EMINI (Tethys Minimum Time Execution)
  • EISFL (Tethys Implementation Shortfall)
  • ESPRD (Tethys Spread Trading)
  • EPORT (Tethys Portfolio Trading)