All Citi's algorithms have the ability to source liquidity from non-displayed trading venues. The bank works with clients to define how this interaction should be structured and which venues are appropriate for their trading style.
In EMEA, Citi’s algos access a range of non-displayed venues, including the bank’s own Citi Match pool.
The algorithms allow clients to choose whether or not to access dark liquidity. The nature of the interaction is different for each algorithm and for each aggression setting.
Clients can access Citi’s dark algorithms and dark liquidity either directly through the algorithmic trading platform, the portfolio trading desk or their cash sales trader.
Citi’s smart order routing process allocates order flow to a venue according to fill probability derived using proprietary data. The firm dynamically reallocates orders between dark venues according to realised fill rates.
All routing decisions between lit and dark venues are made by the bank’s smart order router. The extent to which each venue is accessed to fill an order will be a function not only of liquidity but of the client’s willingness to display information on the order to increase fill rate. For aggressive, liquidity-taking strategies such as Dagger, for example, interaction with lit and dark venues will likely show size and cross the spread.
Citi’s anti-gaming measures include randomisation of order size and temporary dark trading halts where a stock price move is excessive.
In addition, the bank measures venue toxicity in real time and will turn off a venue if it believes there is a significant risk of client order flow being gamed.
The dark venues accessed and the type of interaction with those venues is client customisable by strategy.
The Citi algorithmic platform allows a client to specify how aggressive they want to be in the pool and who they interact with.
Through customisation, Citi allows clients to develop bespoke, multi-layered trading strategies that leverage a pool’s liquidity in different ways at different times and price levels.
Service and reporting
Citi’s dedicated execution desk offers trading support. The bank provides venue breakdowns in real time and post-trade, as well as posttrade venue analysis via its TCA team.
Citi plans to continuously improve its algorithmic product and optimise the algos’ access to its Citi Match dark pool. Additional new products such as pairs will be offered as part of Citi’s product suite.