Agency broker Instinet is launching a new algorithm, Wizard PRO, which integrates a Northfield Information Services' risk model to optimize full portfolio performance. Wizard PRO is the second algorithm that Instinet has developed with Northfield, following the launch this fall of Wizard, which is used for single stocks. Wizard PRO uses the same risk model as Wizard but extends it to a full portfolio, Instinet spokesman Mark Dowd said.
Northfield has designed a 20-factor risk model and optimizer. Based on these parameters, Wizard PRO builds a trading schedule that adapts to changing scenarios as the portfolio is being traded to optimize the outcome.
The two Wizard algorithms seek to reduce the difference or "slippage" that exists between the price of a stock at the time the portfolio manager decides to trade it and the price at which the stock is actually traded, including commissions.