Citi has launched a new US alternative trading system (ATS), combining the firm’s internal retail and institutional liquidity.
Citi Cross, which was originally planned for launch in Q4 last year, uses a proprietary matching engine which grants buy- and sell-side clients access to the bank’s order flow before it hits the open market.
The venue will use an even allocation matching algorithm to fill orders on a per-participant basis, offering an alternative to the price-time priority and pro-rata conventions that are traditionally used. This removes the notion of queue position, which means the system does not favour participants with the fastest technology.
The algorithm crosses orders based on where the majority of liquidity lies within the spread of a stock. Once this is determined, orders are then matched on a per capita basis, regardless of size or the time an order was entered.
“Citi Cross allows our clients with varying trading styles to provide a valuable source of liquidity to institutional and retail flows,” said Hannes Greim, head of Citi Cross ATS. “By mitigating those factors which have generated market micro-structure advantages on other platforms, we have created a venue on which historically eschewed flows can interact in a controlled, equitable, and even manner.”
“Citi Cross levels the playing field, affording a low latency platform with commonality in how price improvement is shared across all market participants,” added Dan Keegan, global head of cash equities, Citi.