Optimizing liquidity flows

ITG Delivers New Algorithm Designed for Retail Brokers

The ITG Smart Limit Retail Algorithm is designed to assist retail companies in managing their order flows better

One of the leading execution and research brokers, ITG (NYSE:ITG), announced the launch of its ITG Smart Limit Retail Algorithm (also dubbed SLimit). The solution is catering to a retail order-specific version of the already released ITG Smart Limit Algorithm.

The algorithm is designed to improve passive trading performance in a highly competitive, fragmented market. ITG SLimit Retail is effectively routing passively priced orders, while using real-time and historical indicators. In this way, the exposure of the order is maximized and chances to get a fill at various NMS-protected venues are increased.

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the algorithm is designed to improve passive trading performance

The algorithm is intelligently routed orders by considering both the order book queue and the fill rate consumption at all protected exchanges. Routing decisions are made, while fill rates are maximized without regard for fees/rebates.

ITG SLimit Retail is available as a stand-alone algorithm within existing ITG algorithms and as part of ITG Smart Retail – a robust order routing and liquidity-seeking tool built to enhance liquidity and execution quality.

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ITG’s Head of Sell-Side Sales and Derivatives, Dan Weingarten, commented in the announcement, ”ITG Smart Limit Retail Algorithm is our latest innovation to help retail firms better manage the dynamic nature of liquidity and continue to achieve best execution.”

SLimit provides an increased fill rate to retail investor orders

“By taking into account quote velocity and depth of book, SLimit provides an increased fill rate to retail investor orders, allowing them to compete for liquidity on more equal footing while maximizing the exposure of their displayed limit orders,” he explained.

Since ITG SLimit logic uses historical and real-time data on average queue length and consumption rates to optimally allocate shares it is able to adapt quickly to changes in market conditions. During the first month of the NASDAQ pricing pilot, ITG saw a nearly 35% increase in its fill rates at NASDAQ for stocks in the pilot group.

The Director of Algorithmic Trading at ITG, Phil Pearson shared, “SLimit reacted to the real-time changes in the resting order books in the pilot stocks and the data is further evidence of the value of a dynamic routing strategy.”

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