Dynamic Close Algorithm Announced by Research Broker ITG
Independent execution and research broker ITG has announced the release of the new ITG Dynamic Close Algorithm.
The primary function of ITG’s Dynamic Close effort is to allow traders to tap the Liquidity Liquidity The term liquidity refers to the process, speed, and ease of which a given asset or security can be converted into cash. Notably, liquidity surmises a retention in market price, with the most liquid assets representing cash.The most liquid asset of all is cash itself.· In economics, liquidity is defined by how efficiently and quickly an asset can be converted into usable cash without materially affecting its market price. · Nothing is more liquid than cash, while other assets represent The term liquidity refers to the process, speed, and ease of which a given asset or security can be converted into cash. Notably, liquidity surmises a retention in market price, with the most liquid assets representing cash.The most liquid asset of all is cash itself.· In economics, liquidity is defined by how efficiently and quickly an asset can be converted into usable cash without materially affecting its market price. · Nothing is more liquid than cash, while other assets represent Read this Term available in the NYSE and NASDAQ closing auctions in a more precise manner than can be achieved by algorithms which are currently available.
The new algorithm recognizes that the majority of auction impact occurs at the imbalance announcement and it intelligently pursues open market liquidity in the pre-cut off period.
Traders are provided with both a flow and a rebalance setting, recognizing the tradeoff between minimizing Slippage Slippage In financial trading, slippage refers to the difference in price between the price an order was intended or expected to be filled and the actual price an order was filled. Slippage is a very contentious issue among retail traders, which can lead to issues. Many traders view levels of slippage at brokers as a key determinant for their business. For example, in forex trading, if a trader places a trade intending to enter a buy on the EUR/USD at 1.1080, but they only get into the market at a price In financial trading, slippage refers to the difference in price between the price an order was intended or expected to be filled and the actual price an order was filled. Slippage is a very contentious issue among retail traders, which can lead to issues. Many traders view levels of slippage at brokers as a key determinant for their business. For example, in forex trading, if a trader places a trade intending to enter a buy on the EUR/USD at 1.1080, but they only get into the market at a price Read this Term to the close in the former and reducing implementation shortfall in the latter.
Jeff Bacidore
ITG Managing Director and
Head of Algorithmic Trading.
ITG Dynamic Close is engineered to intelligently respond to the exchange imbalance feeds to minimize cost, capitalizing on imbalance opportunities as they arise.
ITG is regarded as a research broker with an impartial position within the technology sector, which has built its business by partnering with portfolio managers and traders. Since launching the POSIT crossing network back in 1987, ITG has concentrated its efforts on the provision of services to buy-side investors. The new algorithm will be internationally available and supported by ITG’s network of 17 offices.
"Our research demonstrates that traders targeting the close should focus more of their open market trading to the period prior to the imbalance announcement, not just prior to the close itself," said Jeff Bacidore, ITG Managing Director and Head of Algorithmic Trading.
"ITG Dynamic Close Algorithm provides a powerful tool to efficiently tap the liquidity in and around the closing auctions, with different behavior depending on whether the trade is part of a portfolio rebalance or a flow trade."
Independent execution and research broker ITG has announced the release of the new ITG Dynamic Close Algorithm.
The primary function of ITG’s Dynamic Close effort is to allow traders to tap the Liquidity Liquidity The term liquidity refers to the process, speed, and ease of which a given asset or security can be converted into cash. Notably, liquidity surmises a retention in market price, with the most liquid assets representing cash.The most liquid asset of all is cash itself.· In economics, liquidity is defined by how efficiently and quickly an asset can be converted into usable cash without materially affecting its market price. · Nothing is more liquid than cash, while other assets represent The term liquidity refers to the process, speed, and ease of which a given asset or security can be converted into cash. Notably, liquidity surmises a retention in market price, with the most liquid assets representing cash.The most liquid asset of all is cash itself.· In economics, liquidity is defined by how efficiently and quickly an asset can be converted into usable cash without materially affecting its market price. · Nothing is more liquid than cash, while other assets represent Read this Term available in the NYSE and NASDAQ closing auctions in a more precise manner than can be achieved by algorithms which are currently available.
The new algorithm recognizes that the majority of auction impact occurs at the imbalance announcement and it intelligently pursues open market liquidity in the pre-cut off period.
Traders are provided with both a flow and a rebalance setting, recognizing the tradeoff between minimizing Slippage Slippage In financial trading, slippage refers to the difference in price between the price an order was intended or expected to be filled and the actual price an order was filled. Slippage is a very contentious issue among retail traders, which can lead to issues. Many traders view levels of slippage at brokers as a key determinant for their business. For example, in forex trading, if a trader places a trade intending to enter a buy on the EUR/USD at 1.1080, but they only get into the market at a price In financial trading, slippage refers to the difference in price between the price an order was intended or expected to be filled and the actual price an order was filled. Slippage is a very contentious issue among retail traders, which can lead to issues. Many traders view levels of slippage at brokers as a key determinant for their business. For example, in forex trading, if a trader places a trade intending to enter a buy on the EUR/USD at 1.1080, but they only get into the market at a price Read this Term to the close in the former and reducing implementation shortfall in the latter.
Jeff Bacidore
ITG Managing Director and
Head of Algorithmic Trading.
ITG Dynamic Close is engineered to intelligently respond to the exchange imbalance feeds to minimize cost, capitalizing on imbalance opportunities as they arise.
ITG is regarded as a research broker with an impartial position within the technology sector, which has built its business by partnering with portfolio managers and traders. Since launching the POSIT crossing network back in 1987, ITG has concentrated its efforts on the provision of services to buy-side investors. The new algorithm will be internationally available and supported by ITG’s network of 17 offices.
"Our research demonstrates that traders targeting the close should focus more of their open market trading to the period prior to the imbalance announcement, not just prior to the close itself," said Jeff Bacidore, ITG Managing Director and Head of Algorithmic Trading.
"ITG Dynamic Close Algorithm provides a powerful tool to efficiently tap the liquidity in and around the closing auctions, with different behavior depending on whether the trade is part of a portfolio rebalance or a flow trade."