ITG unveils algos for index futures

Agency broker and trading technology provider ITG has launched a new series of algorithms for futures trading in an effort to expand its multi-asset class offering.
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Agency broker and trading technology provider ITG has launched a new series of algorithms for futures trading in an effort to expand its multi-asset class offering.

The futures can currently be used to trade US and other equity index futures. ITG expects to expand usage to commodity futures in the near future.

“These new algorithms provide a range of flexible strategies for investors seeking to take positions or hedge portfolios using futures,” said Patrick Read, head of derivatives, ITG.

The futures strategies include: time-weighted average price, which is based on contracts traded per second and tries to float passively to earn the spread; a synthetic peg order type that has three pegging styles and updates based on real-time quote movements; Raider, an aggressive algo that uses immediate-or-cancel orders and does not post; and Reserve, which uses iceberg-style display tactics.

The futures algorithms will be added to ITG's existing derivatives capabilities, which include high-touch trading services and low-latency application programming interfaces (APIs) for black-box DMA strategies. ITG's share of Options Clearing Corporation's listed options is around 1.5%, according to the broker's own figures.

ITG's new algos will be made available via its Triton execution management system, its Matrix front-end and API for derivatives trading and through third-party trading systems.

“The launch of futures algorithms illustrates our commitment to multi-asset trading capabilities,” said ITG's head of liquidity management, Jamie Selway. “We intend to expand the derivatives suite to cover a broad range of products as we work to enhance the scale and scope of our independent trading platform.”

While ITG announced cuts to its workforce in July, the firm has also expanded its range of services, including the purchase of independent research house Ross Smith Energy Group in June and the expansion of its POSIT Marketplace dark pool aggregator to Japan in September.

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