Lime Execution
LIME DIRECT ACCESS
What’s between you and the markets?
Lime Trading Corp. is a member of 14 Exchanges and many dark pools. Our colocated infrastructure allows you to route directly to these venues, with a focus on low latency.
Exchange mEmberships
| NYSE | Nasdaq | CBOE EDGX | MEMX |
| NYSE ARCA | Nasdaq BX | CBOE EDGA | IEX |
| NYSE American | Nasdaq PSX | CBOE BATS-Y | MIAX Pearl |
| NYSE National | CBOE BATS-Z |
Dark Pool/ATS mEmberships
| Barclays Capital LX Liquidity Cross | Global OTC ARCA | JP Morgan – JPMX |
| BIDS ATS | Goldman Sachs SIGMA-X | Level ATS |
| Citadel | Instinet CBX | Virtu Matchit – KMATCH |
| Coda Markets | Intelligent Cross INCR | XTX Direct |
| Credit Suisse CrossFinder | ITGP Posit |
Lime Smart Order Router
Is your smart order router smart enough?
We built our smart routing on top of our direct access infrastructure, giving you access to proven technology that can route for you, while maintaining your privacy and security.
Lime’s smart routing gives quant traders access to our connected venues via our low latency infrastructure.
The orders are customizable along many parameters, including number and goal of phases, venues available in each phase, aggression and display settings.
Highly customizable using multi-phase strategy
Sequential or parallel access to lit, inverted, and dark markets
Selectable aggression settings and order options (e.g., limit max display quantity)
Lime Smart Order Router
Lime’s Smart Order Router (LSR) was created for our most demanding low-latency clients so that they can achieve optimal execution that matches their goals.
The LSR is a highly customizeable system built on our low latency infrastructure.
Featured Equity Smart Order Strategies:
Lime Smart Router
Optimizes for speed, prioritizing visible liquidity while accessing both displayed and non-displayed markets. Seeks liquidity at full limit price, posting non marketable orders after unproductive sweeps.
Dark Sweep
Algorithm seeks to optimize sourcing dark liquidity while lowering transaction costs.
Hidden
Accesses liquidity for all venues supporting invisible or hidden order types then continuously sweeps dark pools and posts hidden orders on lit venues.
Cost Effective
Optimizes for low market center fees, consuming available liquidity across displayed and non-displayed markets first from more cost effective venues before moving on to higher cost venues, and then posts any remainder on venues with higher rebates.
Passive
A strategy that seeks to trade passively to avoid paying the full spread. Exhausts available mid-point liquidity with multiple sweep phases on dark, inverted, and lit markets.
Neutral
A strategy seeking to avoid paying full bid/ask spread that first sweeps dark, inverted and non-inverted lit markets with mid point pegging, then sweeps liquidity on dark and inverted markets without pegging, and finally sweeps and posts on lit markets as iceberg orders, seeking price improvement and low fee executions.
Lime Benchmark algos
Lime’s benchmark algo orders also take advantage of our direct access and smart routing infrastructure, expanding on those technologies to deliver the desired benchmark as closely as possible.
Benchmark Algorithms
Execute large orders with benchmark algorithms that seek to replicate those benchmarks. Algorithms are extensively customizeable. Orders are sent via our low latency network and utilize our smart order technology.
Featured Equity Benchmark Strategies:
Volume-Weighted Average Price (VWAP)
Minimizes the slippage against the volume weighted average price over the course of the order
Time-Weighted Average Price (TWAP)
Minimizes the slippage against the time weighted average price over the course of the order.
Percentage of Volume (POV)
Tracks and reacts to real-time market volumes to target a user-defined participation rate
Scaled Percentage of Volume (SCALEPOV)
Builds on the POV strategy by dynamically adjusting the target market participation rate as a function of real-time market conditions relative to a chosen benchmark.
Implementation Shortfall (IS)
Creates a front loaded execution schedule versus the historical vwap pattern to better capture prices at the arrival time of the order.
Close (CLOSE)
Creates a back loaded execution schedule versus the historical vwap pattern to better capture prices towards the end of an order.