Dynamic Close Algorithm Announced by Research Broker ITG
by
Andrew Saks McLeod
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.
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 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.
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."
Institutional FX Demand Continues to Climb in April
Network, Learn, Grow | FMAS:24
Network, Learn, Grow | FMAS:24
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From May 20-22, 2024, the Sandton Convention Centre in Sandton, South Africa, will be the hub for over 3,500 attendees to engage in unparalleled networking opportunities, learn from over 150 industry-leading speakers, and explore innovations from 120+ exhibitors.
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Join 3500+ Attendees at FMAS:24 | Africa's Premium Financial Event
Join 3500+ Attendees at FMAS:24 | Africa's Premium Financial Event
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Where the Prop Trading Industry Goes from Here | Finance Magnates Podcast
Where the Prop Trading Industry Goes from Here | Finance Magnates Podcast
Explore the tumultuous world of prop trading in this Finance Magnates podcast episode, featuring insights from Head of Axi Select, Greg Rubin.
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Explore the tumultuous world of prop trading in this Finance Magnates podcast episode, featuring insights from Head of Axi Select, Greg Rubin.
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The Axi Select programme is only available to clients of AxiTrader Limited. CFDs carry a high risk of investment loss. In our dealings with you, we will act as a principal counterparty to all of your positions. This content is not available for AU, NZ, EU and UK residents. For more information, refer to our Terms of Service. Standard trading fees apply.
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