Citi
Citi''s Colorbook SOR uses analytic-based smart liquidity posting, has a normalised interface with child order characteristic synthesis as needed and supports sponsored broker access.
Access and algorithmic integration
Clients can access Colorbook
via direct FIX (DMA), vendor
systems, and Citi algorithms.
The SOR normalises
interfaces to all execution
venues and adapts to regionspecific
business rules as
needed.
Destinations
The Citi SOR is available in
North America, Europe and
Asia. This includes all NMS-protected
venues, the
LavaFLOW ECN, Citi Match
and other dark pools and
liquidity partners. Market
data feed handlers and
routing execution handlers
are developed as soon as
specifications are available
from new destinations.
Order types and client reporting
Colorbook supports the
following order types:
conventional order types, e.g. day and immediate-or-cancel;
probe; probe and post; sweep;
sweep and post; market;
market and post;
simultaneous and sequential
ping; ping at multiple price
levels; smart triggers to
control start/end time,
quantity, start/stop price;
dollar value risk limits; and
move to primary for open/
close/halt. A range of
different analytics can be
customised into a report
upon request for any client.
Data feeds
The router uses SIP, as well as
direct exchange real-time
depth of book feeds. Routing
decisions are based on both
real-time data and historical
statistics.
Routing logic
Routing logic is based on:
Reg NMS protection for
protected venues; best
execution price for client
order; smart order type
characteristics; pre-configured
route ranking/
preferencing; pre-configured
oversize preferencing;
analytical-based smart
posting; and pre-configured
posting preferences.
Colorbook uses heat maps to access the best source of
liquidity. Lit venues have
stronger protection in terms
of trade-through, while dark
venues are accessed via ping
processing, or if known dark
liquidity has passed through
the SOR.
Smart order types
determine how child orders
are dynamically routed based
on changes in the market and
order instructions. Posted
orders can be re-routed based
on market changes.
Clients can fully customise
the routing logic for their
order flow, according to
venue and whether to take or
post liquidity.
Extensive partitioning,
primary and backup
processes, disaster recovery
and automated and manually
initiated self-help
declarations are among the
fail-safes included in
Colorbook.
Future plans
Citi plans to make
continuous hardware
upgrades, co-location
improvements to Colorbook
in the next 12-18 months.
Furthermore, an expansion
of the order router to futures
and options is also expected.