Morgan Stanley

Morgan Stanley Announces New Algorithmic Trading Product for Flow-Weighted Currency Execution

Mar 23, 2011

Provides institutional clients with ability minimize chance of trading on extreme prices in FX execution

New York —

Morgan Stanley (NYSE: MS) today announced the launch of Morgan Stanley Fix, an over-the-counter (OTC) algorithmic trading product which provides institutional clients with flow-weighted average pricing (F-WAP) in currencies.  Similar to volume-weighted average pricing (V-WAP) in exchange traded markets, F-WAP minimizes the chance of trading on extreme prices over an execution window.


“Institutional investors can incur significant additional cost if currency transactions are not carefully managed,” said, Paul Aston, Executive Director at Morgan Stanley.  By using Morgan Stanley Fix, clients can achieve efficiency improvements in FX execution which can improve portfolio performance.”

Because currency markets, unlike equity markets, trade over-the-counter, dealers do not officially report transaction volume.  To provide V-WAP for currencies, Morgan Stanley’s Quantitative Solutions and Innovations (QSI) Group, a unit on the FX sales and trading desk in Morgan Stanley's Fixed Income Trading Division, devised the Morgan Stanley Fix methodology which estimates foreign exchange volumes using a proprietary liquidity analysis framework* that takes into account intra-day liquidity cycles.  Morgan Stanley will publish the intra-day liquidity cycles that are used as a basis for the flow-weighted average pricing used in Morgan Stanley Fix.


Morgan Stanley introduced Morgan Stanley Fix to address institutional investor demand for transaction cost analysis (TCA) and currency execution benchmarking.  “Products that address transaction costs in FX are a necessary tool for international investment managers and traders seeking best execution in the foreign exchange markets,” says Aston.


To meet the overall TCA demands of institutional clients, and to provide maximum transparency, Morgan Stanley Fix is supported by various other TCA pricing tools developed by Morgan Stanley’s QSI Group.  These include: the pre-published intra-day liquidity cycles used to proportionately slice Morgan Stanley Fix orders over the execution window; a transaction cost calculator to assess spread cost and potential market impact pre-trade using observable factors; historical time-series of daily F-WAP prices for back testing; and detailed TCA execution reports.


Morgan Stanley is a leading global financial services firm providing a wide range of investment banking, securities, investment management and wealth management services.  The Firm's employees serve clients worldwide including corporations, governments, institutions and individuals from more than 1,200 offices in 42 countries.  For further information about Morgan Stanley, please

* Patent Pending

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Mary Claire Delaney, 212 761 2427