Bloomberg Tradebook, an agency broker, has released a new execution algorithm for US equity traders that it claims tries to predict and respond to market movements like a trader.
The algorithm, called REACT, seeks to capture maximum price improvements by trying to predict and react to short-term price direction, and by dynamically adjusting the quantity, price and market venues in which to represent an order, Bloomberg said.
REACT bases its decisions on several factors, including bid/offer spread, volatility, real-time market trades, intraday stock trading performance and deviation from historical trading patterns.
Bloomberg believes that REACT will offer market participants a way of maximising opportunities in an increasingly fragmented market place. This is because it simultaneously represents orders in the most active venues before participating in these trends to seek price improvement.
Traders will then be able to monitor prices and market venues that the algorithm places orders in, to gauge how successfully it has performed.
REACT uses the data resources and analytic functionality of the Bloomberg Professional service and will be available via the Bloomberg Tradebook system.