"Algo" a four-letter word!

Algorithmic trading is all about using systems to beat other market participants on any given day. Managing shortfalls, masking size and fulfilling a TCA mandate are all parts of the same argument. Incidentally, that is the same guiding principal behind (gasp) systematic day-trading!

Picking mainstream vanilla algorithms such as VWAP, TWAP or time-slice does not truly define a sophisticated algo trading strategy. Similarly, a smart-order-routing algorithm should be viewed as nothing more than basic functionality that has to be standard fare in all order-management systems and/or broker sponsored applications.

True algo trading is all about constantly refining adaptive systems to capitalize on changing market conditions and dynamic execution criteria. At its simplest form, the ability to combine two or more mainstream algos into an execution strategy, should be the norm. (example: apply VWAP between 9:35 and 9:55am then use a time-slice algorithm until 3:25pm followed by a VWAP algo into the close)

The point I'm trying to emphasize here, is that buy-side do-it-yourself practitioners need more control over their algo trading than simply using a pick-list of canned offerings from their broker or OMS vendors. Trading algorithms must be viewed and treated as unique intellectual property of a profound strategic value. No different from the value placed upon the talents of traders on a buy-side desk.

Others might just want to continue pegging their orders against popular benchmarks and paying their executing brokers for those services.