Smart Algorithms Get Smarter06.05.2013
Citi has launched an extensive set of features for its algorithmic and smart order routing platforms, the result of six months of collaboration with buy-side traders and external technology providers to improve execution quality, liquidity discovery tactics, and trader workflow options available to institutional clients.
The enhancements include a new “Open” and “Close” algorithmic trading strategy, an upgrade to its smart order router, and a redesigned order entry ticket. The open and close algorithms are considered strategic enhancements because they enable new trading strategies.
“Intraday volume patterns have grown more concentrated on the Open and in the immediate aftermarket. In this environment, our clients have focused on getting more involved in the early part of the session,” said Tim Reilly, head of global electronic execution sales, Americas, at Citi.
Initially introduced as a custom strategy, the Open strategy is now available as a standalone algorithm.
Utilizing premarket exchange feeds, individual stock profiles and a disciplined post-open execution model, the algorithm strategically trades on the primary open and in the immediate aftermarket.
U.S equity markets have also established a durable pattern of increased volume over the final thirty minutes of the trading day. Citi has re-engineered its Close algorithm to trade large orders more intelligently “into the close,” or the final minutes before closing.
“Our previous Close strategy focused almost exclusively on the closing auction,” said Reilly. “Especially for larger orders, our execution tactics evaluate market conditions into the close, as opposed to only the closing print.”
Speed, cost and agility continue to be key concerns to traders and investors outside the United States as well.
Thomson Reuters has launched Elektron Managed Services in Australia and China to provide international and domestic financial institutions with cost-effective access to its real-time market data infrastructure and content.
Elektron Managed Services will be deployed in co-location with the Australian Securities Exchange (ASX) in Sydney as well as through a key financial services data-center facility in Shanghai to respond to market needs for increasingly sophisticated trading strategies and risk management solutions in local as well as international markets.
The co-location facility at ASX’s state-of-the-art data center in Sydney provides financial institutions with high-speed and cost-effective connectivity to financial markets data to support programmatic trading strategies in Australia as well as a fully managed version of Thomson Reuters market-leading Enterprise Platform.
“ASX welcomes Thomson Reuters into the expanding financial community in the Australia Liquidity Centre (ALC),” said David Raper, ASX general manager, trade execution and information services. “Thomson Reuters Elektron will greatly extend the range of services and business opportunities available to the ALC community, particularly in terms of providing low-latency solutions to customers.”
Elektron Managed Services gives clients the ability to scale their businesses rapidly and access low latency data and services while lowering the typical costs of deploying and managing equivalent solutions in-house.
The expansion of Elektron Managed Services into China and Australia further extends Thomson Reuters Elektron managed services centers in Asia-Pacific following launches in Hong Kong, Tokyo, Singapore, Taipei and Mumbai.
Reuters Elektron is a high performance, cross-asset data and trading infrastructure that connects financial institutions and trading venues across the world. Thomson Reuters Elektron provides real-time data from more than 400 markets, including exchanges, alternative trading venues and OTC markets, to trading and investment applications, systematic and algorithmic trading engines and desktops such as Thomson Reuters Eikon.