Execution and research broker ITG has launched an upgraded version of its dynamic portfolio trading algorithm, offering real-time strategy adjustments.
The ITG Dynamic Implementation Shortfall Algorithm 2.0 (DIS 2.0) enables users to execute portfolio trades in a co-ordinated manner, including imbalanced and illiquid portfolio trades.
DIS 2.0 incorporates intraday patterns in cost and risk to formulate its trading strategy and dynamically updates its strategy as conditions change over the execution horizon.
Jeff Bacidore, managing director and head of algorithmic trading at ITG, said: "Some dynamic implementation shortfall algos can be very static in their approach to portfolio trades. However, ITG 2.0 can identify patterns and opportunities, for example if it finds an opportunity to sell a less traded name then it can react to that and help reduce the risk."
By adapting to the market environment in real-time, Bacidore said the algorithm would be able to not only prudently manage risk but also trade opportunistically.
The algo also takes into account time of day and historic trading patterns as well as adapting to current market movements.
ITG 2.0 also features an intuitive graphical user interface for portfolio traders, creating streamlined workflow for them. It is available via ITG's Triton execution management system or through a FIX connection from a third-party trading system.
Additionally, traders can use ITG Prism to get real-time visibility into the activity of the algorithm.