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 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 to the close in the former and reducing implementation shortfall in the latter.
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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.”