Tactical Hybrid Order Router (simply known as THOR) is an
electronic trading platform that manages securities
orders in order to dodge certain tactics used in
high-frequency trading.
The program was created by Allen Zhang while working for the
Royal Bank of Canada (RBC) in a team led by
Brad Katsuyama.
Trading process
Katsuyama noticed that placing a single large order that can be fulfilled only through many different
stock exchanges
A stock exchange, securities exchange, or bourse is an Exchange (organized market), exchange where stockbrokers and stock trader, traders can buy and sell security (finance), securities, such as share (finance), shares of stock, Bond (finance) ...
was being taken as an advantage by
stock scalpers. Scalpers, noticing the order would not be able to be fulfilled by one single exchange, would instead buy the securities in the other exchanges, so that by the time the rest of the large order arrived to those exchanges the scalpers could sell the securities at a higher price.
(HFT) are large market players that invest their money using advanced algorithms,
in this case, to exploit the microsecond differences in arrival times across exchanges whenever others try to send all their sub-orders simultaneously.
Katsuyama created THOR to route orders in a way that could not be influenced by HFT.
THOR delays each sub-order differently so that they arrive simultaneously at all exchanges.
See also
*
Millennium Exchange
References
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Electronic trading platforms