VWAP, TWAP, implementation shortfall, Iceberg,
open, close, participate, Dagger (liquidity seeking), pairs, dark only (Citi
Match), small order, smart peg, scaling, multi-step.
Citi Electronic Market’s algorithmic suite seeks
out the maximum available liquidity in lit and dark markets, whilst limiting
price signalling and market impact. Unique access is provided to the firm’s own
liquidity via Citi Match. Citi’s smart algorithms respond to changing stock
trends and volumes on the order book in real time, and can be customised to
suit execution objectives.
Citi’s electronic trading platform is global and
modular. Individual components such as order placement, dark interaction and
trade scheduling can be configured according to specific client requirements.
Online Citi services such as BECS 2.0 provide clients with pre- and post-trade
analysis of execution quality, measuring factors including the ratio of
passive/aggressive fills, reversion and venue toxicity. Citi’s team of
execution, connectivity, analytics and quant specialists work together to
provide clients with coordinated coverage, analysis and trading support.
Clients access Citi’s algorithmic suite via most
order management and execution management systems and data providers and Citi
works with clients on bespoke proprietary connections.
Citi algorithms route orders via the Citi Smart
Order Router to multiple venues including primary exchanges and dark sources of
liquidity. Clients also have access to Citi’s internal dark pool Citi Match.
By leveraging flexibility within the platform, Citi
will expand the range of customisation options offered to clients, both in
terms of how markets are traded and what liquidity (both lit and dark) is
accessed on a client’s behalf.