Quantitative Brokers launches options on futures execution algorithm

Known as Striker, the algorithm will initially support execution of options in CME treasury futures.

Quantitative Brokers (QB) has launched an execution algorithm for options on futures markets, which it claims is the first of its kind in the industry.

Known as Striker, the agency algorithm will initially support options in CME treasury futures, and QB expects to expand coverage across other CME futures products throughout this year, including options on Eurodollars and equity index.

Christian Hauff, co-founder and CEO of QB, explained that while electronic trading of options on CME futures instruments has seen huge growth recently, execution is still undertaken manually on-screen.

“Striker will assist traders to greatly improve their productivity by using this advanced algorithm to seek liquidity at the best price,” Hauff added. “In an unprecedented time, with the CME floor closed due to the current global crisis with COVID-19, we are thrilled to bring this much needed solution to the market which has been seeking an intelligent and purpose-built agency algorithm for the options on futures market.”

Transactions from the algorithm will be available to view in QB’s complementary transaction cost analysis (TCA), which the futures and US cash treasury algorithm and analytics provider said was another first for the industry.  

The new algorithm also incorporates real-time cointegration and implied pricing calculations, alongside its passive and aggressive child order logic.

“Striker is the culmination of an extensive research effort by our team to understand how to successfully trade options on futures, where liquidity can be a challenge, and where the fair price on any individual contract is hard to determine without looking at the entire complex.”