New Autobahn algo targets US closing auction
Deutsche Bank Autobahn Equity has
released a new algo lets buy-siders efficiently and effectively seek liquidity
in the closing auction of US markets.
TargetClose, an algo originally launched in Europe in 2008, looks to
match closing prices on the date of a trade. It projects each day’s closing
volume based on real-time and historical market data, continuously adapting to
market conditions in order to minimise deviation from the closing price. To
improve performance, the algo sources liquidity from alternative trading venues, including dark
“Deutsche Bank is pleased to provide US clients its highly
configurable TargetClose algorithm,” said Jose Marques, global head of electronic equity trading. “This enhancement to our US suite of Autobahn Equity
products further demonstrates our commitment to delivering powerful liquidity
products to clients.”
Like all Autobahn algos, TargetClose is integrated into with
the Deutsche’s smart order router, adapting trade execution to all available dark
and displayed venues based on client preference.
The Autobahn offering is one of a number of recent algo launches in the US to work effectively in open or close auctions. In March, agency
broker and trading technology provider ITG unveiled ITG Dynamic Open – an algo
for trading US market opening auctions.