Financial services firm Bank of America Merrill Lynch has enhanced its algorithmic trading suite using the combined quantitative data and skill set created through the merger of Bank of America and Merrill Lynch last September.
The enhancements, which are designed to improve execution performance for clients, will be applied across multiple strategies and include enhanced limit order placement, expanded implementation shortfall algorithms, enhanced anti-gaming protection for liquidity seeking algorithms and customised solutions for mid- and small-cap trading flow.
“As our electronic business expands into new asset classes and regions, we continue to enhance our core algorithmic trading platform to help our clients navigate changes in market structure and trading conditions,” said Michael J. Lynch, head of Americas execution services, in a statement. “As part of that effort, we redesigned our limit order model and saw a nearly 20% improvement in VWAP performance, based on a three-month review of several hundred thousand orders.”
Bank of America Merrill Lynch’s algorithmic trading platform provides a suite of 15 core equity and six core options algorithms.