US-based broker ConvergEx has upgrades its algorithms to be able to deploy strategies during opening and closing auctions.
Enhancements to its Closing Price, POV and Abraxas algos will help clients optimise their participation in the NASDAQ, NYSE and NYSE Arca opening and closing auctions.
The algos will use a combination of historical and real-time auction imbalance data to determine the optimal number of shares to commit to auction to minimise market impact and determine how to trade shares that remain in the market.
On NYSE trades, the algo will allow the use of discretionary quote orders to be transmitted electronically to floor trades to close as close to end of day as possible.
“Our research shows the opening and closing auctions collectively account for approximately 5% of total trading volume,” said Gregory Voetsch, chief executive officer of ConvergEx Execution Solutions and head of brokerage services.
“It’s essential that investors have the same sophisticated tools for participating in the auctions as they do in the continuous market, and our enhanced algorithms provide powerful new ways for our clients to interact with this unique liquidity and maximise their trading performance.”