Jeff Bacidore, MD and head of Algorithmic Trading, ITG
"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."
New York - ITG, an independent execution and research broker, has announced the release of the new ITG Dynamic Close Algorithm.
ITG Dynamic Close aims to allow traders to tap the liquidity available in the NYSE and NASDAQ closing auctions in a more precise manner than competing algorithms. ITG Dynamic Close 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.
ITG Dynamic Close algorithm provides traders 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.
"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."