Citi

All algorithms in Japan, Hong Kong and India source liquidity from multiple sources including Citi Match.

Venues and connectivity

Citi constantly runs in-depth analysis of the market microstructure over all venues, accessing venues which satisfy safe liquidity requirements and do not have excessive information leakage.

Clients can access the algorithms through a wide range of vendor OMSs including Bloomberg.

Liquidity and routing logic

Liquidity-seeking algorithms take liquidity both passively and aggressively and alter the bias by taking into account the aggression level, customisation settings, bid-offer price and size dynamics, and custom price indicators.

The firm’s proprietary routing logic loos at the price, available liquidity and spread across multiple venues. It also analyses probability of fill, estimated impact and venue toxicity across different venues.

Gaming protection

Citi’s liquidity-seeking algorithms use fair value, which prevents the algorithms from being gamed and printing at bad prices during a price spike or temporary market imbalance.

Customisation

Along with customisation of strategies, Citi provides a host of reports and services including monthly Microstructure Monitor, Asia Microstructure Review issues, BECS pre-trade analytics tool, Citi Stock Categorisation, post-trade Citi TCA and bespoke execution research for our clients to help them analyse market microstructure and algorithmic performance.

Future plans

Cit has stated that it will continue to focus on developing innovative solutions for the ever changing liquidity landscape and needs of the clients.