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 trade-off 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.