ITG, an agency research broker and financial technology firm, has announced that average daily volume (ADV) in its POSIT crossing network was 96 million shares in January 2011, a 26% increase over the fourth quarter of 2010 and a new monthly volume record.
Overall average daily volume from POSIT Alert, ITG's institutional block-crossing network, was up 80% during January 2011 compared to the fourth quarter of 2010. ITG's POSIT Alert executed the largest midpoint block crossed in the entire US equity market in January, with a print of 10 million shares, counted single-sided.
During the month, POSIT Alert crossed nearly 700 trades that were 10% or greater than the stock's ADV and 20 trades which were 100% or more of the stock's ADV.
POSIT Alert, alerts traders to block crossing opportunities from order flow in POSIT and ITG algorithms, which has over 600 million shares of standing buy-side liquidity and an average trade size of 41,000 shares.
ITG today also announced new forthcoming internal research measuring the use of POSIT Alert in conjunction with ITG's suite of algorithms. The research, which analyses over one year of trade data, indicates that orders distributed evenly between POSIT Alert and the algorithm suite experience average trade performance improvements of 10 basis points.
Commenting on the findings, Hitesh Mittal, ITG's head of liquidity management, said, “This research quantifies the value for buy side institutions in accessing POSIT Alert liquidity, either directly or through our algorithms. We believe our philosophy of focusing on natural buy-side liquidity is helping to grow the POSIT Alert network.”
ITG is currently rolling out the next generation of ITG Channel (the POSIT Alert trader interface), with substantially enhanced functionality and even more seamless workflow.