Citi Enhances Equities Algo
Citi has introduced significant enhancements to Dagger, its leading 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-seeking algorithm for equity markets. Dagger now provides clients access to greater liquidity within Citi's dark pool, Citi Match, and across a range of lit and dark venues, as well as new technology to further protect client orders from gaming and undue market impact.
A decline in institutional volumes coupled with an increase in short-term, high-frequency market-making has made European equity markets increasingly difficult to trade. As a consequence, the gap has expanded between apparent and actual tradeable volume. Such dynamics particularly affect liquidity-seeking (rather than schedule-based) algorithms, which can be tricked into trading on short-term price spikes.
"The new Dagger algorithm combines state-of-the-art access to lit and dark liquidity with a far greater control over the price at which they execute. Clients have made it clear: they want more liquidity, control and protection than many broker algorithms currently provide. The enhanced Dagger algorithm delivers this," said Tim Wildenberg, Head of EMEA Electronic Trading at Citi.
The liquidity-seeking algorithm develops a detailed picture of the real-time liquidity and Volatility Volatility In finance, volatility refers to the amount of change in the rate of a financial instrument, such as commodities, currencies, stocks, over a given time period. Essentially, volatility describes the nature of an instrument’s fluctuation; a highly volatile security equates to large fluctuations in price, and a low volatile security equates to timid fluctuations in price. Volatility is an important statistical indicator used by financial traders to assist them in developing trading systems. Traders In finance, volatility refers to the amount of change in the rate of a financial instrument, such as commodities, currencies, stocks, over a given time period. Essentially, volatility describes the nature of an instrument’s fluctuation; a highly volatile security equates to large fluctuations in price, and a low volatile security equates to timid fluctuations in price. Volatility is an important statistical indicator used by financial traders to assist them in developing trading systems. Traders Read this Term characteristics of a stock to decide where to place orders in the book, what capacity the market has to provide liquidity at a specific price point and whether that price represents fair value.
"Many liquidity-seeking algorithms in the market fail to take proper account of the impact their own trading is having on a stock price and the true fair value of the asset at any point in time. As a result, clients tell us time and time again of situations where a broker's algorithm is effectively gamed into trading in size at the wrong price. This is increasingly a problem in the current liquidity environment and Dagger has been specifically designed to help avoid this," said Takis Christias, Citi's Head of EMEA Algorithmic Products.
Citi has introduced significant enhancements to Dagger, its leading 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-seeking algorithm for equity markets. Dagger now provides clients access to greater liquidity within Citi's dark pool, Citi Match, and across a range of lit and dark venues, as well as new technology to further protect client orders from gaming and undue market impact.
A decline in institutional volumes coupled with an increase in short-term, high-frequency market-making has made European equity markets increasingly difficult to trade. As a consequence, the gap has expanded between apparent and actual tradeable volume. Such dynamics particularly affect liquidity-seeking (rather than schedule-based) algorithms, which can be tricked into trading on short-term price spikes.
"The new Dagger algorithm combines state-of-the-art access to lit and dark liquidity with a far greater control over the price at which they execute. Clients have made it clear: they want more liquidity, control and protection than many broker algorithms currently provide. The enhanced Dagger algorithm delivers this," said Tim Wildenberg, Head of EMEA Electronic Trading at Citi.
The liquidity-seeking algorithm develops a detailed picture of the real-time liquidity and Volatility Volatility In finance, volatility refers to the amount of change in the rate of a financial instrument, such as commodities, currencies, stocks, over a given time period. Essentially, volatility describes the nature of an instrument’s fluctuation; a highly volatile security equates to large fluctuations in price, and a low volatile security equates to timid fluctuations in price. Volatility is an important statistical indicator used by financial traders to assist them in developing trading systems. Traders In finance, volatility refers to the amount of change in the rate of a financial instrument, such as commodities, currencies, stocks, over a given time period. Essentially, volatility describes the nature of an instrument’s fluctuation; a highly volatile security equates to large fluctuations in price, and a low volatile security equates to timid fluctuations in price. Volatility is an important statistical indicator used by financial traders to assist them in developing trading systems. Traders Read this Term characteristics of a stock to decide where to place orders in the book, what capacity the market has to provide liquidity at a specific price point and whether that price represents fair value.
"Many liquidity-seeking algorithms in the market fail to take proper account of the impact their own trading is having on a stock price and the true fair value of the asset at any point in time. As a result, clients tell us time and time again of situations where a broker's algorithm is effectively gamed into trading in size at the wrong price. This is increasingly a problem in the current liquidity environment and Dagger has been specifically designed to help avoid this," said Takis Christias, Citi's Head of EMEA Algorithmic Products.