Agency brokerage and financial technology firm ITG’s portfolio algorithm now allows users to execute baskets that include a mix of cash equities and equity index futures.
The algorithm, Dynamic Implementation Shortfall (IS), has recently an added equity index futures capability, enabling stock and futures contracts to execute simultaneously in a risk- and dollar-controlled manner, which allows traders to set precise limits on the dollar amounts of stock and futures contracts sold at any given time as the portfolio trade progresses.
According to ITG, Dynamic IS is most effective when the execution of futures contracts is dependent on the trading of stocks, such as when executing large portfolios hedged with futures contracts and replacing a fund’s equity futures positions with stock positions. The new algo is available via Triton, ITG’s execution management system.
“By combining execution capabilities across asset classes, Dynamic IS simplifies and reduces the risk of trading stock portfolios in concert with index futures,” said Hitesh Mittal, ITG’s head of liquidity management. “This new capability gives traders unparalleled control over portfolio execution.”