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Article Preview: Anatomy of an Algo - Welcome to the Dry Side

Anatomy of an Algo in our Q1-2011 issue describes an intelligent liquidity seeking algo attempting to get a large order executed in a small cap Austrian stock. In this preview, Citigroup's Paul Bently offers some insights into the concept behind the algo.

Getting any order executed that represents a relatively high percentage of daily volume with minimal market impact is always going to be challenging. But when the name in question is a small cap stock traded on a market with a large number of predatory local traders adept at spotting the arrival of an institutional algo with a big order to execute, that challenge is compounded.

Paul Bently, Vice President, EMEA Algorithmic Products at Citigroup Global Markets talks on camera to Automated Trader's David Dungay about the intelligent liquidity seeking algo featured in the Q1-2011 issue of Automated Trader. Paul outlines the concept behind the algorithm, the type of liquidity it interacts with, including Citi's own CitiMatch mtf, and the anti-gaming logic employed.

Click HERE to read the full article "Anatomy of an Algo: Welcome to the Dry Side"