Citi Launches New Futures Algorithm Platform
Citi has launched a new suite of intelligent execution algorithms for global listed derivatives. These algorithms have been specifically engineered for the futures markets and are available across all major exchanges in the North America, Europe and Asia Pacific regions.
“We are delighted to announce the official launch of our new suite of smart algos, the result of a multi-year, strategic investment in our electronic execution capabilities,” said Sabrina Wilson, Global Co-Head of Futures, Clearing and FX Prime Brokerage (FCX). “We’ve made a number of key hires to drive this effort, bringing in expertise and a fresh perspective on our clients’ needs. The result is a global solution that focuses on individual market microstructure.”
The flagship algorithm, Arrival, is an implementation shortfall strategy that has been engineered from scratch on the new platform. Named after its price benchmark, Arrival works to minimize slippage (deviation of the actual price from the benchmark) by balancing the cost trade-off between market impact and price volatility, across a variety of market conditions in real time. Arrival combines into one simple access point a collection of strategies, each tuned to specific market microstructure situations.
“Our clients don’t want to enter numerous parameters to execute an order,” said Gordon Ball, Citi’s EMEA Head of Futures Electronic Execution. “The complexity of operating an intelligent algorithm and fine tuning customizations sits with us, so our clients can focus on their overall investment and trading objectives.”
With the industry trend towards multi-asset trading desks and the convergence of best practices, the more sophisticated algorithms and TCA tools regularly used in equities are now being adapted for fixed income and commodity trading. “It was critically important for us to build algorithms specifically for listed derivatives, catering to the unique characteristics of these diverse instruments and their market microstructures,” added Wilson.
Citi’s advances in algorithm development include the capture of more detailed instrument and contract specific information to enable dynamic modeling of the order book and adaptive behavior to optimize execution performance. The platform is designed to accommodate different investment objectives and risk tolerances, providing solutions for clients’ diverse requirements.
Citi’s suite of futures execution algorithms include other intelligent benchmark algorithms such as TWAP, VWAP and Close; as well as a broad range of tactical strategies and smart order types.
Citi, the leading global bank, has approximately 200 million customer accounts and does business in more than 160 countries and jurisdictions. Citi provides consumers, corporations, governments and institutions with a broad range of financial products and services, including consumer banking and credit, corporate and investment banking, securities brokerage, transaction services, and wealth management.
Actual introduction of the product is dependent upon applicable laws, regulations and approvals.
Streaming blocks change the basis of matching and price discovery so institutions can find new liquidity.
Clients can fine tune their pricing function via APIs and exposed user-defined settings.
Orders executed away from public markets can have measurable implications on execution costs.
To level the playing field the rules should apply to both systematic internalisers and trading venues.
The new business line is expected to generate €150m in revenues within five years.