ContactTim Wildenberg Email: firstname.lastname@example.orgTel: + 44 (0) 20 7986 0706
All of Citi’s algorithms have been designed to make maximum use of dark liquidity. Aggressive algorithms will interact more aggressively with dark pools than more passive strategies.
Citi analyses every venue for liquidity, toxicity, latency and opportunity cost and notes marked differences between all dark and all lit venues across all these criteria. Citi does not connect to broker dark pools or allow any other broker dark pools to connect to it.
The broker leverages all available order types and parameters such as minimum quantity, pegged instructions, IOCs, etc. to fill as much liquidity without revealing client information.
Liquidity aggregation is part of the firm’s core offering and is embedded within its algorithms and smart order router. Liquidity is aggregated across all exchanges, multilateral trading facilities and the broker’s dark pool, Citi Match. If Citi does not know the identity of the underlying client they cannot rest orders in Citi Match.
Citi has a variety of antigaming features that aim to prevent information leakage and adverse selection.
Citi’s trading platform is supported globally by specialist sales traders on execution desks in London, New York, Hong Kong and Tokyo. Clients can also customise their interaction with Citi Match in relation to their need for aggression.
Service and reporting
Clients can access Citi’s dark liquidity algorithms directly from their order or execution management systems.
Orders are automatically routed to Citi Match. No client has asked to be turned off Citi Match so far. The broker also employs TCA that includes metrics such as spread capture, expected market impact and liquidity to help calibrate performance.
Citi has rolled out performance enhancements for its IS and VWAP algorithms that have delivered over 30% increase in spread capture with the same trading velocity.