[ A L G O R I T H M I C T R A D I N G S U R V E Y ]
Citi
Citi received 23 responses from hedge fund managers in this year ’ s survey , placing the bank in eleventh place amongst its peers . Citi ’ s overall average score of 5.50 underperforms the survey average by 32 basis points and drops four basis points below the bank ' s 2020 score of 5.54 . Disappointingly , the firm recorded scores lower than the benchmarks in all 15 categories under review . Most significantly , Citi ’ s score in increase trader productivity ( 5.34 ) was 0.64 points below the category average ( 5.98 ). Client ’ s perception of service areas such as reduce market impact ( -0.41), execution consistency ( -0.33), speed ( -0.26), price improvement ( -0,24), customer support ( -0.46) and access to dark pools ( -0.56) provides the bank with plenty of opportunity for improvement . Even though Citi has much progress to make , there are signs of improvement . The bank increased its year-onyear score across seven service categories , including data on venue / order routing logic or analysis (+ 0.28 ), flexibility and sophistication of smart order routing
(+ 0.23 ) and customisation (+ 0.20 ). Citi ’ s highest-scoring category this year was for ease of use , which came in at 5.93 , the upper end of the Good range ( 5.00 – 5.99 ). Nearly half of the respondents to Citi represented hedge funds managing over US $ 10 billion in AUM . Respondents commented that they would like to see better automated feedback loops for TCA , more advice regarding habits or approaches to certain types of execution , the tendering of the best available commission rates as provided by PT desks , cash-neutral portfolio algos , aggregation with live pro-rata fills for multiple swap and cash lines , holistic venue overview performance data for the platform from the last five years , and the ability to monitor algo performance . Earlier this year , the firm rolled out a new trading platform with a suite of execution algorithms for futures markets , available across all major exchanges in the US , Europe and APAC . The platform includes benchmark algos such TWAP , VWAP and Close , as well as other strategies and smart order types .
CITI RATINGS FOR ALGORITHMIC PERFORMANCE
Increase trader productivity |
Reduce market impact |
Execution consistency |
Cost Speed Anonymity |
Price improvement |
Customisation |
Ease of use |
5.34 5.36 5.43 5.67 5.67 5.43 5.31 5.55 5.93
Order routing logic / analysis |
Customer support |
Execution consulting |
Dark pool access |
Flexibility / sophistication of SOR |
Algo monitoring |
Average score |
5.57 5.59 5.28 5.46 5.55 5.38 5.50
KEY STATS
5.93 Highest score
( ease of use )
|
5.28
Lowest score ( execution consulting )
|
0.28
Most improved ( order routing logic / analysis )
|
-0.37
Least improved ( customer support )
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74 // TheTRADE // Summer 2021 |
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