
UBS unleashes Orca for rates clients
Machine learning algo trawls liquidity pools to slash US Treasury trading costs

Agency-style execution driven by smart-routing algorithms has become the norm in fast-moving equity and foreign exchange markets. In the rates market, by contrast, principal-based execution via request-for-quote (RFQ) protocols has largely gone unchallenged – at least until now.
UBS made its optimal routing control algorithm, dubbed Orca for short, available to clients in the $500 billion a-day US Treasury market in the third quarter of 2018. The hybrid approach, which combines RFQ with
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