Citibank – CitiFX Intelligent Orders

Key functionality

Citi offers the following strategies for FX:

TWAP: A direct
market access time slicing strategy that executes an order in a linear fashion
over a client determined series of intervals. Order placement is optimised to
capture as much bid/offer spread as possible during the execution.

Silent Partner:
A liquidity linked strategy that targets an execution schedule based on a
historical liquidity profile for the currency pair transacted. Order sizes and
target thresholds are refined to adapt for the predicted liquidity available
within each minute of the day and adjust in real-time as market conditions
shift.

Ripple: A flow
linked internalisation strategy that works orders against flow in electronic
customer base in an opportunistic fashion. It does not deal on an uncompetitive
price and accelerates against deals executed within the firm’s risk book in
correlated pairs, helping an order to progress without touching the external
market.

Dagger: A series of
strategies for active traders that can be run at a range of aggression levels.
The most passive setting allows clients to sit and float at the bid/offer in an
attempt to capture spread, the most aggressive setting will sweep the interbank
markets for all displayed and hidden liquidity.

Market coverage

The company offers spot FX execution in G10 and
liquid emerging market pairs and over 200 crosses.

Customer support

Client orders are monitored by a support team
outside of the traditional sales and trading business.

Customisation

Customisation is not currently offered, but enhancements are
progressively introduced into the execution logic

Future plans

Citi plans to introduce synthetic cross capabilities into the direct market access strategies over the next quarter and add two new strategies to the product suite in Q3.