Agency broker ITG has released a new algorithm allowing traders to automatically switch between strategies for a single trade according to pre-set parameters.
The ITG Flex Algorithm lets traders select an initial strategy with various sub-strategies the algo can switch to as the market changes.
Benchmarks, price changes of percentage filled parameters are fed into the algo before a trade is made, and when they are breached, the algo can switch to a sub-strategy.
If another parameter is met, it can also switch again or revert back to the original strategy.
Jeff Bacidore, head of algorithmic trading for ITG, said the new offering would give traders increased freedom to automate complex orders.
“ITG Flex Algorithm offers the simplicity of a single dynamic algorithm combined with powerful customisation options,” Bacidore said. “ITG Flex Algorithm is an essential tool for buy-side traders seeking to use an adaptive, strategic approach to sourcing liquidity.”
The new algo and the agency broker's full suite of algorithms are available via ITG’s Triton execution management system and also via FIX connection to ITG from third-party trading systems.
The new ITG algo offers similar functionality to execution management system provider Portware’s Algorithmic Switching Engine, which the firm bought from now-defunct dark pool operator Pipeline earlier this year.
The Algorithmic Switching Engine selects the appropriate algorithms to use for a trade during its lifetime based on real-time analytics and market data and draws on 180 different algo strategies.