Citi
Geographies and asset classes
Trading strategies and benchmarks
The bank
sees primary uptake of its algorithms from hedge funds and traditional asset managers
in the US. Most common strategies include overwriting strategies for alpha
generation and purchase of downside puts for equity protection and benchmark
algorithms.
In options,
Citi offers traditional order types such as sweep/post, reserve, hidden. In
futures, synthetic order types, execution algorithms and benchmarkstrategies
are available, and in FX the bank offers liquidity-linked and opportunistic strategies.
Access and functionality
FX, options
and futures algos can be accessed by a variety of order and execution management
systems, as well as Citi’s own global order management systems. Options
algos use proprietary advanced routing logic which splits orders across
multiple options markets when an order can’t be satisfied on one exchange.
Options strategies also use exchange specific price improvement mechanisms and
are engineered to avoid information leakage.
FX
algorithms have been designed and constructed with the bank’s FX business. They are
connected to all electronic interbank sources of liquidity and take no direct feeds
from other banks. Citi supports global co-location infrastructure that can be adapted
to a continually changing environment.
Pre- and post-trade reporting
Citi’s
execution quality reports include price improvement statistics and report
customisation is available upon request. For FX, the firm offers detailedpost-trade
reports, charts and data. Custom algos are available upon request, as partnership
opportunities.
Future developments
Citi plans
to expand its global algorithmic offering within its futures and options
execution platform. This includes a globally consistent set of synthetic order
types, benchmark algorithms, and spread trader capabilities to 44 listed
derivative exchanges globally. The bank is also in the process of launching a
new FX product offering.