NEWS UPDATE
DERIVATIVES
Citi launches futures algo trading platform
New futures algo platform at Citi includes TWAP , VWAP , Close algos and smart order types , as well as the flagship Arrival implementation shortfall strategy .
US investment bank Citi has rolled out a new trading platform with a suite of execution algorithms for futures markets across all major exchanges in the US , Europe , and Asia Pacific .
The new platform includes benchmark algos such as time-weighted average price ( TWAP ), volume-weighted average price ( VWAP ) and Close , as well as other strategies and smart order types .
Its flagship algorithm is an implementation shortfall strategy , known as Arrival , which Citi said has been engineered from scratch on the platform . The bank added that Arrival was designed to minimise slippage by reducing the cost tradeoff between market impact and price volatility across various market conditions in real-time .
Arrival also combines multiple strategies that are specifically tuned to micro market microstructure environments into one access point for reduced complexity .
“ Our clients don ’ t want to enter numerous parameters to execute an order ,” said Gordon Ball , EMEA head of futures electronic execution at Citi . “ The complexity of operating an intelligent algorithm and fine-tuning customisations sits with us , so our clients can focus on their overall investment and trading objectives .” The initiative was a multi-year project at Citi , and part of continued efforts to invest in its electronic execution services and capabilities , according to global co-head of futures , clearing and FX prime brokerage at Citi , Sabrina Wilson .
“ 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 .” Wilson added
In October , Wilson and Chris Perkins were promoted to global co-heads of futures , clearing and FX prime brokerage following the departure of Jerome Kemp who retired after nine years with Citi . Both were tasked with growing Citi ’ s client franchise and increasing electronic distribution .
“ It was critically important for us to build algorithms specifically for listed derivatives , catering to the unique characteristics of these diverse instruments and their market microstructures ,” added Wilson .
10 // TheTRADE // Spring 2021