BAML - Electronic Trading Guide

Global Execution Services
Electronic Trading Guide

Asia Pacific
Global Execution Services
Global Execution Services is BofA Merrill Lynchs
electronic trading and related services platform.
Offering a full suite of leading multi-asset
trading solutions, it is enhanced by the Firms
vast global resources, access to superior
liquidity, world-class technology and leading
scale positions in capital markets. The range of
offerings includes multi-asset class direct
market access and our powerful algorithmic
trading platform backed by 8 groups within
Execution Services.
Execution
Services
Trader Instinct

Global Equities Trading and Consulting Platform
TM

Trader Instinct

TM

Table of Contents
Asia Pacific Algorithmic Strategy Overview
SMA (Smart market access)
VWAP (Volume-weighted average price)
TWAP (Time-weighted average price)
IS (Implementation Shortfall)
POV (Percentage of volume)
QMOC (Quantitative market on close)
AMBUSH
INSTINCT
Blockseeker
TM

1
3
4
5
6
7
8
9
10
11
Trader Instinct

TM

Crossing Advanced Algorithms Standard Algorithms SWAP Futures
Instinct X AMBUSH INSTINCT Blockseeker
TM
VWAP TWAP POV IS SMA (Peg, Iceberg) QMOC DMA/Algo DMA
Australia
Hong Kong
India
Indonesia
Japan
Korea
Malaysia
Singapore
Taiwan
Thailand
Strategy Summary by Market
Strategy Parameters
Start/End Time Urgency Min % Vol Max % Vol Auction Get Done Price Others
AMBUSH Allow post
INSTINCT
Urgency (1-5)
Force Completion (Configuration only)
Blockseeker
TM

Minimum Cross Quantity, Instinct X only,
Cross Limit Price, Mode
VWAP
TWAP
POV Target % Volume , Speed Price, Speed Target %
IS
Scaling (Momentum, Neutral, Reversion),
Force Completion (Configuration only)
SMA (Peg, Iceberg)
Allow Post, Display size, Trade session
Peg to, Peg offset, DiscrOffset
QMOC Start time MOC only
OMS/EMS Parameter Click through
1
Equities | Options | Futures | FX | GCM | Execution Consulting | Clearing | Portfolios | ETFs Trader Instinct Global Equities Trading and Consulting Platform
Style Description Try using when When to be careful Remember
Advanced Algorithms
AMBUSH
Liquidity seeking strategy
Increasing Urgency from Low to Medium to Get Done.
Adapts to every quote & print to maximize liquidity
Take liquidity without a footprint (with Allow Post
unchecked)
Take liquidity with less impact than a DMA order
Use a price limit if the stock is illiquid.
Execution affects wait time sensitivity
Aggressively takes liquidity
Posts when Allow Post is selected
Uses dark and lit venues
INSTINCT
Realizes alpha with 5 settings to tune urgency
Quantitative model varies participation intelligently with
order size, queue time, real-time volatility, real-time
volume prediction, and target vs. actual fill rates
Implementation Shortfall benchmark
A go-to algorithm for any order in any environment
Stocks with low trade frequency (few trades per day) Higher urgencies result in faster trading rates and higher
potential market impact
May finish quickly if circumstances allow
Force completion configurable upon request
Blockseeker
TM
HK & JP: Posts in Instinct X only, BofAMLs dark pool. Can
peg to MID, BID, ASK, NEAR or FAR
AU: Posts in Instinct X, Centre Point and Chi-X mid peg.
Can peg to MID, BID, ASK, NEAR or FAR. All crossings in
accordance with ASIC Meaningful Price Improvement
rules.
Seeking natural crossing and liquidity while minimizing
information leakage
Use a limit price as protection from volatility Posts at mid unless specified otherwise
Does not participate in open/close auctions

Standard Algorithms
VWAP
Executes an order over a specified time interval to achieve
a volume-weighted average execution price
Alpha neutral trades
Where impact is a concern
Will aim to complete if no constraints, so use max % or a
price limit for orders with large % of ADV
If momentum is against you, a more optimal strategy such
as IS may be advisable
TWAP
Executes an order in equally-sized slices over a specified
time interval to achieve a time-weighted average
execution price
Maintaining a neutral Delta on multiple names
Even market participation into the close
Periods with less volume than usual
Can be visible in illiquid markets
Will aim to complete if no constraints, so use max % or a
price limit for orders with large % of ADV
To unwind a stock vs. a futures position especially in
non-auction expiries
POV
Tracks market volume to ensure a specified target
participation rate
Tracks volume more closely than IS Can be aggressive in keeping up with volume
Can be visible in illiquid markets
Remember this strategy is primarily volume reactive, not
price sensitive
Be careful with names with large spreads
IS
Uses market impact estimates to schedule a trade in order
to minimize implementation shortfall
Price sensitivity parameter (Momentum or Reversion)
speeds up down as price moves in/out of favor
Scaling participation up/down for Momentum or
Reversion
Control Minimum and Maximum participation rates

Performance may suffer if the stocks actual movement
does not match the Scaling setting
Days with company results or news
May finish quickly if volume allows
Can configure Urgencies Target participation rate
Force completion configurable upon request
Neutral Scaling has most consistent performance
SMA (Peg, Iceberg)
Simulates iceberg/reserve/display, discretion, pegging,
other DMA attributes and order types to simplify trading
across all markets
Takes liquidity up to limit price then posts residual
Iceberg sweeps up to limit price, then posts/refreshes
display quantity
Pegging posts /refreshes display quantity at the bid (buys)
offer (sells)
Most of residual balance rests in Instinct X for crossing
opportunities
QMOC
Targets the Close Price benchmark by starting larger
orders earlier
Entire order can be sent as an MOC, subject to time
constraints
Targeting Close Price benchmark
Minimizing impact on Close Price and reversion to next
days Open Price
Orders >10% ADV may start early
Orders sent very near the Close may create impact
Start Earlier (aka Low) starts early with least impact on
Close price
Start Later (aka High) leaves more quantity for the Close
2
Trader Instinct

TM

SMA
Smart Market Access
The Key Dynamics
WALK | ICEBERG | PEG
What It Does
A series of strategies providing direct market
access with capability to trade in the
fragmented market landscape
WALK A smart routing market order used
to aggressively exhaust liquidity across
lit/dark venues one price level at a time until
filled or limit is hit
ICEBERG Sweep up to the limit price, then
post/refresh display quantity
PEG Passively peg order to near touch
across consolidated book
User Controls
Trading Ticket Parameters:
Mandatory Controls: Stock, Side,
Quantity, [Peg To]
Display Size Set a custom iceberg peak
size to keep order discreet. Large orders
without a display will have one
defaulted
Peg To Price point to peg to
(BID/ASK/NEAR/FAR). Mandatory for
PEG
Use when:
You want to aggressively sweep up the
liquidity from consolidated market
(primary/lit/dark) instead of DMA -
WALK
You want to take liquidity from order
book while minimizing the impact -
ICEBERG
You want to passively capture incoming
order flow at market price - PEG
Be careful:
To avoid undue market impact as these
strategies provide direct access to the
market
To always consider trading with limit
WALK
1
ICEBERG
2
PEG
3
AGGRESSIVE ORDERS
Concurrently sweeps all available liquidity within the limit.
Passively posts the residual quantity and stays until new quotes update or the order gets fully filled/
cancelled/ amended.

PASSIVE ORDERS
Directly posts to the exchange.
If limit is too passive, WALK either rejects or queues:
1) Japan/Thailand: If limit is more passive than day high/low, rejects.
2) Hong Kong: If limit is more passive than 24 ticks from the same side best, price-queues and re-evaluates
on quote updates.
3) Singapore: If limit is more passive than the forced spread from Last Traded Price, price-queues and re-
evaluates on quote update.
The forced spread is:
Exchange +/- 20 ticks for stocks traded in SGD.
Exchange +/- 30 ticks for ETFs.
Exchange +/- 10 ticks for the rest (traded in HKD and JPY).

PROTECTION
Caches during auction or when market data has an error.
Provides protection against swift price movement for market orders:
1) Australia: Last Traded Price +/- 5% Limit.
2) Hong Kong: Last Traded Price +/- 10% Limit with max 4 ticks cap.
3) Japan: Last Traded Price +/- 10% for Sell/Buy, +/-15% for Short Sell.
4) Other countries: Traded Price +/- 10% Limit.

WALK is a Smart Order Routing strategy. The two typical scenarios are provided as follows:

ICEBERG sweeps up to limit price, then posts and refreshes display quantity.
If there is no limit price, ICEBERG uses Fair price* as limit price.
If max display quantity is not specified by user, ICEBERG optimally decides based on historic average quote size.
*Fair price: Dynamically calculated limit price for Market Order short-term VWAP plus (for buy) or minus (for sell)
an adjustment which depends on stocks volatility and spread.
PEG passively rests whole order quantity at user specified price (BID/OFFER/NEAR/FAR/MID).
PEG updates limit price periodically as market price evolves.
User can use peg threshold to determine how much change on the order book before re-pricing.
PRISM
Primary
Market
Quotes
Child Orders
Venue A
Venue B
Parent Order
Fill Info
3
VWAP
Volume Weighted Average Price
The Key Dynamics
Volume Profile Generation | Slice Management
What It Does
VWAP executes an order over a specified
time interval by scheduling slices according
to historical/predicted volume, aiming to
achieve Volume Weighted Average Price
Benchmark: Interval VWAP
User Controls
Mandatory Controls: Stock, Side and
Quantity
Start time: Time at which order begins
(Default: The time of submission/open)
End time: Time at which order expires
(Default: The end of day)
Auction participation: Participation in
open and/or close auctions by default
Max % of volume: Ensures that any slices
submitted will not breach the max % of
volume (Default: No restriction)
GetDone Price: User-specified price that
will trigger order to switch to GetDone
when stock reaches the threshold
Examples of Customizations:
Speed Up: Customizing levels at which
the participation rate can increase or
decrease to. Triggers include:
Price threshold
Percentage of price move (bps) in a
particular direction
# of ticks in a particular direction
Look Ahead: Slicing the behind schedule
quantity of ideal curve to INSTINCT X
before crossing the spread
VWAP volume profile adjustment:
Skewing volume profile so that front-
loading or back-loading can be done
Contact your sales rep for more
customizations available
Use when:
Your benchmark is interval VWAP
You trade alpha neutral stocks where
market impact is of concern
You aim to complete your order
Volume Profile Generation
1
Slice Management
2
IDEAL CURVE
Ideal execution curve assuming VWAP follows historically realized volume profile.
Generated based on the historical volume curve and order size.

MIN CURVE
Minimum quantity VWAP must achieve.
Shifted down from Ideal curve by 10%/5%/2%.
Min curve converges to Ideal curve gradually in the last 20 minutes.

MAX CURVE
Maximum quantity VWAP can achieve.
Shifted up from Ideal curve by 10%/5%/2%.
Max curve takes into account queue time for adjustment.
Max curve converges to Ideal curve gradually in the last 20 minutes.
DYNAMIC PARTICIPATION RATE
Participation rate is dynamically calculated by dividing ideal quantity in the next 20 minutes by market volume
expected in the next 20 minutes.
Ideal quantity in the next 20 minutes is calculated based on Ideal curve.
Market volume expected to be realized in the next 20 minutes is estimated based on historical average daily
volume (ADV), volume profile and real time market volume.

PASSIVE QUEUE vs. SPREAD CROSSING
If current accumulated filled quantity is;
Behind Min curve, VWAP will cross spread to catch up to ideal quantity.
Between Ideal and Max, VWAP passively takes the queue.
Between Min and Ideal, VWAP decides whether to passively queue or to cross the spread by using Risk and
Reward Model which utilizes order book imbalance.

DARK CROSSING
With Dark Crossing enabled, VWAP posts the behind-schedule quantity at midpoint to INSTINCT X.
Example Order Detail
- Stock: 7203 JP
- Side: Buy
- Quantity: 1M Shares
- Start Time: 12:30PM
- End Time: 15:00PM
-
0.1
0.2
0.3
0.4
0.5
0.6
0.7
0.8
0.9
1.0
12:30 12:45 13:00 13:15 13:30 13:45 14:00 14:15 14:30 14:45 15:00
Ideal Curve
Min Curve
Max Curve
Ideal/Min/Max Volume Profile
Dynamic Participation Rate
VWAP estimates market volume during
13:00-13:20PM to be 1.5M shares and
ideal curve tells to complete 0.30M shares.
As a result VWAP acts as a 20% POV during
the period.
20% may change dynamically according to
real-time data.
ASK QTY PRICE BID QTY POST QTY TOTAL QTY
4,000 100
99 10,000 2,500 12,500
98 20,000 5,000 25,000
97 50,000 12,500 62,500
96 10,000 2,500 12,500
95 3,000 750 3,750
4
Trader Instinct

TM

TWAP
Time Weighted Average Price
The Key Dynamics
Volume Profile Generation | Slice Duration Calculation | Slice Management
What It Does
TWAP executes an order over a specified
time interval by scheduling trade slices
evenly throughout the interval, aiming to
achieve Time Weighted Average Price
User Controls
Mandatory controls: Stock, Side and
Quantity
Start Time: Time at which order begins
(Default: The time of submission/open)
End Time: Time at which order expires
Max % of volume: Ensures that any slices
submitted will not breach the max % of
volume (Default: No restriction)
Auction Participation: Participation in
open/close auctions by default (No
participation during close in Japan)
Limit price: User-specified price to set
the price limit
GetDone price: User-specified price that
when stock reaches the threshold
TWAP strategy seeks dark liquidity by
default. Orders with the GetDone
parameter may complete before End
time at prices better than GetDone price
Use when:
You want to spread out your execution
evenly over time while maintaining a
neutral Delta on multiple names, but do
not want to track stock-specific volume
patterns
You want to participate in the close
You want to trade IPO stocks on IPO day
and following days
Volume Profile Generation
1
Slice Duration Calculation
2
Slice Management
3
TWAP splits order quantity into equally sized slices to provide evenly balanced market participation.
Flat volume profile for TWAP:
- Stock: 7203.T
- Side: Buy
- Quantity: 2.4M Shares
- Start Time: 10:00Am
- End Time: 13:00PM
TWAP Volume Profile vs. Market Volume Profile
- Order Duration: 120mins
- Slice Duration: 5mins
- # of slices: 24
- # of shares/slice: 100K
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TWAP Volume Profile
000's
Price Determination
Passively posts with limit price or other soft limit constraints.
Becomes aggressive as End Time approaches by 1) Seeking dark liquidity or 2) Crossing the spread.

Alternative Venues
Gets access to alternative venues in Japan, Hong Kong and Australia, aiming to minimize market impact.

Volume Cap
Trades larger orders with user-specified max% of volume to control market impact.
Scenario
SIZE BID OFFER SIZE
2,500 5,790 5,800 22,100
31,600 5,780 5,810 14,000
50,000 5,770 5,820 11,200
SIZE BID OFFER SIZE
31,600 5,780 5,800 19,600
50,000 5,770 5,810 14,000
21,000 5,760 5,820 11,200
1) TWAP passively slices at 5,790.
2) If slice does not get filled and End Time approaches, then TWAP scans the dark venues.
3) If no dark liquidity is available, then crosses the spread to catch up.
Slice volume depending on slice duration:
Cross the
spread
Volume/min =
Order Qty
Order Duration (mins)
Volume/slice = volume/min x Slice Duration
5
IS
Implementation Shortfall
The Key Dynamics
Real Time Volume Prediction | Trade Schedule | Scaling Parameters (Reversion / Momentum)
What It Does
IS uses market impact estimates to schedule
a trade in order to minimize implementation
shortfall and to determine the optimal
trading duration. It seeks to complete all
orders by the end of the day (subject to
impact constraints) in the absence of a limit
price or volume constraint
Benchmark: Snap (Arrival Price)
User Controls
Mandatory controls: Stock, Side,
Urgency (Low, Mid, High) and Quantity
(Default: Now)
(Default: The End of day)
GetDone price: User-specified price to
trigger orders to GetDone when stocks
reaches this threshold
Max/Min Volume Participation:
Maximum % of volume to be targeted
(default: No restriction)
Auction Participation: Participation
during open and close auctions by
default when applicable
(No participation during close in Japan)
IS seeks dark liquidity by default
Orders with the GetDone parameter may
complete before End time at prices
better than the Get Done prices
Scaling (momentum / reversion) speeds
up or slows down as price moves in/out
of favor
Use when:
Your benchmark is arrival price
You want to control market impact and
time risk
Real Time Volume Prediction
1
Trade Schedule
2
Scaling Parameters (Reversion/Momentum)
3
Real Time Volume Prediction model generates two different predicted market volumes in the current time bin
using real time and historical market volume during trading hours.
Based on real-time volume prediction, IS estimates market impact to schedule orders while trying to balance
market impact with time risk.

Illustration of IS Scheduling
Target participation rate changes based on stock volatility.

Target Participation Change Dynamics
Periodic
Calibration
Predict
Interval
Market Volume
Current-to-Close
Market Volume
Real Time Realized
Market Volume
Prediction
Model
Historical
Market Volume
Market Open
Market Close
Current
Time-Bin
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Realized Historical Prediction Participation Rate (%)
Order Details
- Stock: 7203 JP
- Side: Buy
- Start Time: 12:30PM
- End Time: 14:45PM
- Urgency: Mid
- Target Volume%: 2%
*IS order targeting 2% on average is front-loaded
to 2.6% and finished before market close

The Scaling parameters allow IS to increase the target participation if stock price moves onside (Reversion) or
offside (Momentum) of the arrival price when IS order arrives.
Reversion Momentum
*IS Low/Initial Target: 10%/Buy order TIME
ARRIVAL PRICE ARRIVAL PRICE
TIME
Style Risk Factor
Price Moves In Favor Price Moves Away
Target Speed Up Target Speed Up
Reversion
Low 10% 15% - -
Medium 20% 30% - -
High 30% 45% - -
Momentum
Low - - 10% 15%
Medium - - 20% 30%
High - - 30% 45%
Neutral All - - - -
15% TARGET
10% TARGET
PRICE
15% TARGET
10% TARGET
Summary of Scaling Parameters
6
Trader Instinct

TM

POV
Percentage of Volume
The Key Dynamics
Real Time Volume Tracking | Trading Schedule | Dynamic Adjustment
What It Does
POV tracks market volume to ensure user-
specified target participation rate
User Controls
Mandatory controls: Stock, Side, Target
participation rate and Quantity
(Default: Time of submission/open)
Auction Participation: Participation in
open and close auction by default (No
participation in close auction in Japan)
Limit Price: User-specified price to set
the price limit
GetDone Price: User-specified price to
trigger orders to GetDone when stock
reaches this threshold
Speed Up Price: The price level that
would trigger Speed Up
Speed Up Target %: Target % of volume
when Speed Up is triggered
Speed Up: Levels that are triggered to
increase the participation rate to
specified target rate. Triggers include
absolute or symbolic price
Dark Exposure: Percentage of orders
exposed to dark pools
Risk factor: Low/Standard/High (Default:
Standard)
Use when:
You want to spread out an order over a
specified time frame while closely
tracking real time volume pattern
You want to trade larger orders with
minimal impact
You want to use additional features such
as Speed Up parameters or GetDone
price to adjust participation rate
Real Time Volume Tracking
1
Trade Schedule
2
Dynamic Adjustment
3
1) POV passively slices at 5,790.
2) If it falls behind the schedule, then POV scans the dark venues.
3) If no dark liquidity is available, then crosses the spread to catch up.
POV dynamically tracks the real time market volume with client-specified target percentage of volume.
The desired quantity is posted on the order book up to the price level.
No trading schedule is generated.
Example
- Stock: 7203 JP
- Side: Buy
- Quantity: 150K
- Target Volume%: 20%
ASK QTY PRICE BID QTY POST QTY TOTAL QTY
5,810
20,000 5,800
5,790 24,000 6,000 30,000
5,780 25,600 6,400 32,000
5,770 16,000 4,000 20,000
5,760 22,400 5,600 28,000
SPEED CONTROL
Max % and Min % are determined by Target % and Deviation with default being 5%.
ORDER MANAGEMENT
Passively slices up to Max%, aiming to fill at better prices.
If filled quantity falls behind Min% by the end of slice duration, POV becomes aggressive by:
1) Scanning dark venue to cross with dark liquidity.
2) Aggressively crossing the spread to catch up, if no dark liquidity available.
If ahead of the schedule, POV scales back and passively queues.
Scenario
SIZE BID OFFER SIZE
2,500 5,790 5,800 22,100
31,600 5,780 5,810 14,000
50,000 5,770 5,820 11,200
SIZE BID OFFER SIZE
31,600 5,780 5,800 19,600
50,000 5,770 5,810 14,000
21,000 5,760 5,820 11,200
SPEED UP CUSTOMIZATION
Speed Up looks ahead of execution and
prepares to speed up by putting more
quantity at the passive side of the book.

GRADUAL CATCH-UP
Gradual catch-up prevents Algo from
aggressively following abnormal price
volume spikes in the market.
Splits large trade into multiple smaller
trades and catches up on passive side with
gradually increasing POV%.

K FACTOR
K factor decides passive posting levels
based on stock volatility and the distance
from the mid price.
Illustration of Gradual Catch-Up
Volume surge at 10:07AM triggers Gradual Catch-up.
Determines to catch up over the next 10 minutes.
Splits 86,708 shares into 10 slices.
Each slice trades at each minute until 10:17AM.
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10:00 10:03 10:06 10:09 10:12 10:15 10:18 10:21 10:24 10:27 10:30
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Cross the
spread
7
QMOC
Quantitative Market-On-Close
The Key Dynamics
Optimization | Scheduling | Special Treatment
QMOC utilizes a quantitative optimizer to calculate an optimal split of shares between continuous session
and closing auction.
Optimization
1
What It Does
QMOC executes an order into the close by
scheduling trade slices based on volatility
and liquidity characteristics of the stock,
aiming to strike a balance between variance
to the closing price and market impact
Benchmark: Close Price
User Controls
Quantity
(QMOC decides by default. If user
specifies the start time, QMOC uses
whichever is later)
(Default: Close auction)
Auction participation: Participation in
close auction only
Urgency: High/Low/Medium which
controls the average trading speed in
continuous session (Default: Medium)
The behavior for last 1 minute for
QMOC in Hong Kong can be customized
(i.e. Switching between passive queue
and liquidity taking or liquidity taking
only at every 15 seconds)
Use when:
Your benchmark is closing price
You trade large orders and the impact
to closing price need to be minimized
There is no official closing auction on
exchange such as Hong Kong and India

Optimal
Split Ratio*
Stock Characteristics

Order Characteristics

Quantitative
Optimizer

Order
Size

Urgency
MOC
Volume
Spread
Intraday
Volatility
Closing
Impact
* Quantitative optimizer finds optimal splitting ratio that maximizes [Performance - *std dev(Performance)]
|where Performance refers to theoretical QMOC performance, is a constant used to control the penalty from
standard deviation of the Performance (Default =0.25)
Scheduling
2
Total order quantity splits into two portions based on the optimal split ratio:

Close Auction Session
QMOC reserves the portion of shares to be traded in close auction session.

Continuous Session
Start time is determined based on 1) the quantity to be traded in continuous session, 2) average daily volume
and volume profile of stock and 4) participation rate (15%/20%/25% for Low/Medium/High Risk factor).
The trading schedule in continuous session is similar to reversed IS where trading speed slowly increases.
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0
1
1
:
4
5
1
2
:
0
0
1
2
:
1
5
1
2
:
3
0
1
2
:
4
5
1
3
:
0
0
1
3
:
1
5
1
3
:
3
0
1
3
:
4
5
1
4
:
0
0
1
4
:
1
1
1
4
:
1
6
1
4
:
2
1
1
4
:
2
2
1
4
:
2
5
1
4
:
3
5
1
4
:
3
6
1
4
:
4
1
1
4
:
4
5
1
4
:
5
0
1
4
:
5
5
1
4
:
5
9
1
5
:
0
0
C
u
m
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l
a
t
i
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e

F
i
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l

R
a
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e
s
Continuous Trading Session MOC
Optimal Portion to be traded in
Continuous Trading Session
Optimal Portion to be traded in Closing Auction
Order Arrival
Special Treatment
3
HONG KONG
Closing price is reported as the median of 5 price snapshots taken at every 15 seconds in last 1-minute:
15:59:00, 15:59.15, 15:59:30, 15:59:45, 16:00:00 (HST).
In the last 1 minute, QMOC in Hong Kong aggressively takes liquidity at the volume peaks (i.e. every 15
seconds) if necessary, and passively queues at other times
0%
10%
20%
30%
40%
50%
60%
70%
80%
90%
100%
9
:
3
0
:
0
0
9
:
5
0
:
0
0
1
0
:
1
0
:
0
0
1
0
:
3
0
:
0
0
1
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:
5
0
:
0
0
1
1
:
1
0
:
0
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1
1
:
3
0
:
0
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1
1
:
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0
:
0
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1
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:
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1
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0
1
3
:
1
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:
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1
3
:
3
0
:
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3
:
5
0
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4
:
1
0
:
0
0
1
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3
0
:
0
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1
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0
:
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1
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1
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:
0
0
1
5
:
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1
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1
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9
:
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1
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:
5
9
:
0
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1
5
:
5
9
:
0
9
1
5
:
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9
:
1
3
1
5
:
5
9
:
1
8
1
5
:
5
9
:
2
1
1
5
:
5
9
:
2
4
1
5
:
5
9
:
2
9
1
5
:
5
9
:
3
2
1
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5
9
:
3
6
1
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9
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0
1
5
:
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9
:
4
4
1
5
:
5
9
:
4
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1
5
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9
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C
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s
Continuous Trading Session Last 1 Minute
Optimal Portion to be traded
in Continuous Trading Session
Aggressive Liquidity Taking
Passive Queue
INDIA
India closing price is determined by the last 30-minutes Volume Weighted Average Price (No closing auction)
QMOC works as VWAP in the last 30-minutes
8
Trader Instinct

TM

AMBUSH
Liquidity Seeking Algorithm
The Key Dynamics
Allow Post vs. No Post | Passive Leg Posting & Dynamic Evaluation | Urgency-Specific Characteristics
What It Does
AMBUSH intelligently lifts liquidity and
reacts quickly to stock movements. It
constantly monitors stock volatility and
re-evaluates market signals
Benchmark: Arrival Price
User Controls
Quantity
Allow Post: With this switched on,
AMBUSH passively posts an intelligent
and dynamic quantity on the order book
(Default: On)
(Default: Time of submission/open)
(Default: The end of Day)
Urgency: 3 Urgency modes affect the
relative participation level: Low, Medium
and GetDone (Default: Medium)
when Far touch is onside of it
Allow Post: Allow Post enables to post
passively on the book using intelligent
posting logic to minimize signaling risk
while maximizing queue priority at the
limit price. Selecting No Post should be
used only in specific cases when posting
will negatively impact the execution
Use when:
You want to take the available liquidity
without showing your order to the
market
You are more concerned with order
completion than price impact
Allow Post vs. No Post
1
Passive Leg Posting & Dynamic Evaluation
2
*Fair price: Dynamically calculated limit price for Market Order short-term VWAP plus (for buy) or minus
(for sell) an adjustment which depends on stocks volatility and spread.
Limit Order (Limit Price: 65.20)

1) Slices out 52K at 65.05 and 140K at 65.10 and take 192K First Sweep of 2 Price Levels
2) Posts dynamically calculated iceberg quantity at 65.05 and 65.10 Passive Leg Posting
3) Slices out 29K at 65.15 to takes 29K and posts iceberg quantity at 65.15 Passive Leg Posting
4) Slices out 59K at 65.20 (Limit Price) ands take 59K (280K in total)
5) Posts 20K at 65.20 (Limit Price) Passive Leg Posting
6) Keeps evaluating its trade position upon any quote changes or every time interval Dynamic Evaluation
7) Decides whether to wait/cross/amend

Market Order

1) Computes 65.10 as an initial Fair price
2) Slices out 52K at 65.05 and 140K at 65.10 and take 192K First Sweep of 2 Price Levels
3) Posts dynamically calculated iceberg quantity at 65.05 and 65.10 (Current Fair Price) Passive Leg Posting
4) Keeps evaluating its trade position upon any quote changes or time interval Dynamic Evaluation
5) Decides whether to wait/cross/amend
Example Order Details
Limit Order Market Order
Allow
Post
Aggressively takes liquidity onside the limit
Posts intelligent, iceberg quantity at the limit
Waits for replenishment at the limit
Computes the fair price* (In the Money Price)
Aggressively takes liquidity onside the fair price
Posts intelligent, iceberg quantity at the fair price
Waits for replenishment at the fair price while
continuously computing the dynamic fair price
No
Post
Keeps crossing the spread onside the limit
(i.e. Never posts any quantity on the book)
May post in dark venues during auctions
Computes the fair price
Keeps crossing the spread onside the fair price
May post in dark auction
Total Size Bid Ask Size Total
91.6K 91.6K 65.00 65.05 52K 52K
125.6K 34K 64.95 65.10 140K 192K
177.6K 52K 64.90 65.15 29K 221K
272.4K 94.8K 64.85 65.20 59K 280K
304.4K 32K 64.80 65.25 16.8K 296.8K
- Side: Buy
- Quantity: 300K
- Urgency: Medium (Default)
- Allow Post: On (Default)
Urgency-Specific Characteristics
3
* Liquidity sensitivity is a flag to increases the aggressiveness of liquidity taking for AMBUSH
** The actual number of price levels to be swept depends on limit price (or fair price), urgency and available liquidity
9
Characteristics
Urgency
Low Medium GetDone
Allow Posting Enabled Yes Yes Yes
Dark Enabled (Max %) Yes (50%) Yes (50%) Yes (50%)
Liquidity Sensitivity* (Default) Normal Normal Normal
First Sweep
Liquidity Sensitivity = Normal Up to 1 level** Up to 2 level Up to 3 level
Liquidity Sensitivity = High Limit Price Limit Price Limit Price
Target Volume
Percentage
Allow Post
Continuous
30% 40% 50%
Lit Auction
40% 40% 40%
No Post
Continuous
40% 50% 60%
Lit Auction
N/A N/A N/A
Suitable For Small Cap Middle Cap Large Cap
INSTINCT
IS with Dynamic Signaling
The Key Dynamics
Urgency | Tradability | Participation Rate Determination | Dynamic Adjustment
What It Does
INSTINCT is an adaptive and predictive
algorithm that trades according to an
urgency level set by the client/trader
Benchmark: Arrival Price (Snap)
User Controls
Mandatory controls: Stock, Side,
Urgency and Quantity
(Default: Time of submission)
when stock reaches this threshold
Max % Volume: Maximum % of volume
to target (Default: No restriction)
Auction Participation: Participation
during open and close auctions by
default when applicable
(No participation during close in Japan)
INSTINCT seeks dark liquidity by default
Orders with the GetDone parameter may
complete before End time at prices
better than the GetDone price
INSTINCT adjusts participation rate
based on Max % restriction
Use when:
Your benchmark is arrival price
You want to minimize market impact
while capturing liquidity opportunities
Urgency
1
Tradability
2
Each Urgency level (1 5) corresponds to a stock-specific expected alpha.
Dynamic Adjustment
4
Urgency 1 Urgency 2 Urgency 3 Urgency 4 Urgency 5
Low
Speed
High
Speed
Patient
Urgent
Liquidity
Taking
High
Alpha
Moderate
Alpha
Low
Alpha
Market Impact is estimated based on spread, order size, volatility and queue length. It is recommended to:
Trade larger order at faster rate to capture alpha and to reduce time risk
Trade faster in volatile market to reduce time risk, and post wider to improve performance
Trade faster for long queue names to exploit liquidity opportunity. At lower Urgencies, prioritize queue position
over trading speed
Participation Rate Determination
3
Each urgency targets specific market impact as a function of order size and specific level of daily volatility
Participation rate is determined by matching target market impact with model estimation from stock tradability
Urgency 1 2 3 4
Target Daily Volatility (Ratio
to Daily Volatility)
1/4 1/3 1/2 2/3
Participation Rate by Order Size and Urgency
*This chart is generated with
typical JP stock:
- 20bps spread
- 1.4% daily volatility
- 1.1% of ADV
INSTINCT SIGNAL
Detects the ultra-short-term price trend based on the recent real-time liquidity history.
Guides INSTINCT to speed up or slow down the execution accordingly.

FAIR PRICE MODEL
Saves INSTINCT by halting execution on short-term abnormal price movement, and waits for price reversion.
INSTINCT SIGNAL FAIR PRICE MODEL
513
514
515
516
517
518
519
520
9:10 9:11 9:12 9:13 9:14 9:15 9:16 9:17 9:18 9:19
Liquidity balanced,
Signal is neutral
Liquidity on ask side,
indicating price is likely to rise,
speed up (down) for buy(sell)
Strong liquidity signal on
ask side, continue speeding
up(down) for buy(sell)
Bid
Ask
Trade
110
115
120
125
130
135
13:00 13:05 13:10 13:15 13:20 13:25 13:30
Fair Price Limit for Buy
Fair Price Limit for Sell
Stop buying above the range
Stop selling below the range
10
Urgency 1
Urgency 2
Urgency 3
Urgency 4
0%
10%
20%
30%
40%
50%
60%
0%-1% 1%-3% 3%-5% 5%-10% 10%-15% 15%-20% 20%-25% 25%-30% 30%-35%
S
p
e
e
d

(
%

o
f

v
o
l
u
m
e
)
Order Size (% of ADV)
Urgency 5
BLOCKSEEKER
Dark Liquidity Seeking Algorithm
The Key Dynamics
Fill Allocation| Order Types Supported | Execution Price by Location within BBO on INSTINCT X
What It Does
BLOCKSEEKER
TM
maximizes block-and-flow
level crossing opportunities by capturing
both internal and external dark liquidity
while reducing market impact and
information leakage
User Controls
Mandatory Controls: Stock, Side,
Quantity
Auction Participation: Does not
participate in the open and close
auctions
Pegs to mid unless otherwise specified
Use when:
You seek natural crossing and liquidity
while minimizing information leakage
Fill Allocation
1
Order Types Supported
2
Only day orders are supported: Market and Limit order.

Execution Price by Location within BBO on INSTINCT X
3
Japan and Australias higher crossing rate at mid implies more chances for BLOCKSEEKER to cross at mid.
Hong Kongs lower crossing rate at mid is due to less liquidity on INSTINCT X in Hong Kong.
*Source: BofAML In-House Database. September 2013.
Market Order Limit Order
1) Scanning INSTINCT X as Market order
2) Posting to CP only and sending Tentative to INSTINCT X
3) Converting Market to Limit order with price = ref. Price +/- 5% (TBI*)
4) If market moves away, order is cancelled and kicked out (TBI)
1) Scanning INSTINCT X at limit price.
2) Sending Tentative to INSTINCT X
3) Posting to CP and CHI-X

* To Be Implemented
AUSTRALIA JAPAN/HONG KONG
Order PRISM
CENTREPOINT
CHI-X
95%
5%
Tentative
Firm Up
INSTINCT X
Firm Order
Order PRISM INSTINCT X
AUSTRALIA
1) SCANNING
PRISM initially scans entire quantity in INSTINCT X if order is aggressive within bid/ask spread.
2) POSTING
PRISM sends Tentative slice to INSTINCT X and multi-posts with static weight to CP(95%) and CHI-X(5%).
3) FIRMING UP
Case 1: If INSTINCT X can fully cross, PRISM sends firm order to INSTINCT X as IOC while cancelling other slices.
Case 2: If INSTINCT X gets partial fills, PRISM sends firm order to INSTINCT X while amending down other slices
and sending another Tentative to INSTINCT X.
Case 3: If INSTINCT X gets no fills, PRISM keeps posting on CP and CHI-X as well as Tentative slice on INSTINCT X.
4) FILL CHASING
If CP gets full fills and CHI-X has open slice, CHI-X slice is cancelled and sent to CP.
No reallocation if CHI-X gets full fills.

JAPAN/HONG KONG
1) PRISM sends entire quantity to INSTINCT X as there is no other dark venue available.
2) After initial routing, slice stays on INSTINCT X until it gets filled/amended/cancelled.
Scenario 1 (Given 1K@99/1K@101 as Bid/Ask on Primary; 1K@100 on INSTINCT X; 1K@100 on CP)
- Stock: CBA AU
- Side: Sell
- QTY@LIMIT: 2K@99
- Scan INSTINCT X with 2K@99
- 1 Partial Fill with 1K@100
- Post to CP with 950@99
- Post to CHI-X with 50@99

- 1 Full Fill in CP at 100
- Cancel CHI-X slice
- 1 Full Fill in CP at 100

Scenario 2 (Given 1K@99/1K@101 as Bid/Ask on Primary; 1K@100 on INSTINCT X; 1K@100 on CHI-X)
- Stock: CBA AU
- Side: Sell
- QTY@LIMIT: 2K@99
- Scan INSTINCT X with 2K@99
- 1 Partial Fill with 1K@100

- 1 Full Fill in CHI-X at 100
- Another Sell 2K@101 arrives
- Post to CP with 1.9K@101

JAPAN
HONG KONG
AUSTRALIA
4.5%
3.6%
83.9%
3.6%
4.5%
NEAR
NEAR - MID
MID
MID - FAR
FAR
22.6% 0.1% 54.7% 0.1% 22.6%
98.2% 0.1% 0.1%
11
Instinct is a trademark or registered trademark of Bank of America Corporation in the U.S. and other countries.

This information is provided to you solely for informational purposes by Bank of America Merrill Lynch and is designed to serve as a
general summary of the trading services and products that Bank of America Merrill Lynch may offer from time-to time. This document is
not intended to constitute advertising or advice of any kind, and it should not be viewed as an offer or a solicitation to buy or sell
securities or any other financial instrument or product. Bank of America Merrill Lynch makes no representation, warranty or guarantee,
express or implied, concerning this document and its contents, including whether the information (which may include information and
statistics obtained from third party sources) are accurate, complete or current. The information in this document is subject to change at
any time, and Bank of America Merrill Lynch has no duty to provide you with notice of such changes. In addition, Bank of America Merrill
Lynch will not be responsible or liable for any losses, whether direct, indirect or consequential, including loss of profits, damages, costs,
claims or expenses, relating to or arising from your reliance upon any part of this document. Before determining to use any service or
product offered by Bank of America Merrill Lynch, you should consult with your independent advisors to review and consider any
associated risks and consequences. This document has been prepared without regard to the specific investment objectives, financial
situation and needs of any particular recipient. Bank of America Merrill Lynch does not render any opinion regarding legal, accounting,
regulatory or tax matters. Any use of the trading services and products offered by Bank of America Merrill Lynch must be preceded by your
acceptance of binding legal terms and conditions. This document is confidential, for your private use only, and may not be shared with
others. This document, including all trademarks and service marks relating to Bank of America Merrill Lynch, remains the intellectual
property of Bank of America Merrill Lynch. For other important legal terms governing the use of this document please see:
http://www.ml.com/legal_info.htm.

"Bank of America Merrill Lynch" is the marketing name for the global banking and global markets businesses of Bank of America
Corporation. Lending, derivatives and other commercial banking activities are performed globally by banking affiliates of Bank of America
Corporation, including Bank of America, N.A., member FDIC. Securities, strategic advisory, and other investment banking activities are
performed globally by investment banking affiliates of Bank of America Corporation ("Investment Banking Affiliates"), including, in the
United States, Merrill Lynch, Pierce, Fenner & Smith Incorporated and Merrill Lynch Professional Clearing Corp., both of which are
registered as broker-dealers and members of FINRA and SIPC, and, in other jurisdictions, by locally registered entities. Merrill Lynch,
Pierce, Fenner & Smith Incorporated and Merrill Lynch Professional Clearing Corp. are registered as futures commission merchants with
the CFTC and are members of the NFA. Retirement Services discussed are provided through Bank of America Merrill Lynch, which is a
marketing name. Banking activities may be performed by wholly owned banking affiliates of Bank of America Corporation ("BAC"),
including Bank of America, N.A. Brokerage services may be performed by wholly owned brokerage affiliates of BAC, including Merrill Lynch,
Pierce, Fenner & Smith Incorporated. Investment products offered by Investment Banking Affiliates: Are Not FDIC Insured * May Lose
Value * Are Not Bank Guaranteed. Instinct and Trader Instinct are trademarks of Bank of America Corporation in the U.S. and other
countries.

2013 Bank of America Corporation. All rights reserved.

Execution Desk Contacts

Hong Kong: +852.2161.7550
Mumbai: +91.22.6632.8718
Singapore: +65.6678.0205
Sydney: +61.2.9226.5108
Tokyo: +81.3.6225.8398

Email: dg.apes_et@baml.com
Bloomberg: MSG MLAPDSA<GO>

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