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Citi introduces new suite of smart algorithms for listed derivatives

By Pavithra R

January 25, 2021

  • Citi
  • Europe

Citi has announced the launch of a new suite of intelligent execution algorithms for global listed derivatives. These algorithms are specifically engineered for the futures markets and are available across all major exchanges in North America, Europe and the Asia Pacific regions.

With the industry trend towards multi-asset trading desks and the convergence of best practices, sophisticated algorithms and TCA tools regularly used in equities are being adapted for fixed income and commodity trading.

The flagship algorithm, Arrival, is an implementation shortfall strategy that has been engineered from scratch on the new platform. It works to minimize slippage by balancing the cost trade-off between market impact and price volatility across various market conditions in real-time. Arrival combines multiple strategies, each tuned to specific market microstructure situations into one simple access point.

“We are delighted to announce the official launch of our new suite of smart algos, the result of a multi-year, strategic investment in our electronic execution capabilities. We’ve made a number of key hires to drive this effort, bringing in expertise and a fresh perspective on our clients’ needs. The result is a global solution that focuses on individual market microstructure,” said Sabrina Wilson, Global Co-Head of Futures, Clearing and FX Prime Brokerage (FCX).

Citi’s advances in algorithm development include capturing more detailed instrument and contract specific information to enable dynamic modeling of the order book and adaptive behaviour to optimize execution performance. The platform is built to accommodate different investment objectives and risk tolerances to offer solutions for clients’ diverse requirements.

“Our clients don’t want to enter numerous parameters to execute an order. The complexity of operating an intelligent algorithm and fine-tuning customizations sits with us, so our clients can focus on their overall investment and trading objectives,” said Gordon Ball, Citi’s EMEA Head of Futures Electronic Execution.

Citi’s suite of futures execution algorithms includes other intelligent benchmark algorithms such as VWAP, TWAP, and Close and a broad range of tactical strategies and smart order types.

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