Citi shares features of algo suite re-platforming

Paul Goldberg
Paul Goldberg

Citi’s pioneering algo platform was one of the first to market. As part of its complete rebuild, the new platform will be introducing a host of new capabilities and benefits to clients. Paul Goldberg, Algo Execution Desk Head at Citi, explains what the changes will include, from leveraging market connectivity to refreshing the suite of strategies and expanding into NDFs.c

Please tell us about the progress so far with your algorithmic suite re-platforming initiative. When do you expect to complete the roll out?

Since this was a front-to-back rebuild of the entire algorithmic suite we felt it was important to have a rigorous period of internal testing before rolling out to external clients. Traders in Citi FX as well as other asset classes in Markets are some of our highest volume users and we wanted to take the opportunity to gather their feedback internally before bringing the new suite to market. This testing phase of the product is now complete, we have incorporated a great deal of internal feedback in how the algorithms behave and for the past couple of months we have been piloting with a small number of external clients. We are now live with clients on Velocity and we plan to ramp up the rollout through the second quarter across all distribution channels.

Can you share some of the standout features and new toolsets which this will introduce?

The new strategies are underpinned by our belief that best way an algo execution strategy can achieve low market impact is through internalisation against liquidity sourced from Citi’s principal FX desks, other internal liquidity sources, as well as other clients’ algorithmic interest. We have evolved our approach to internalisation and how we offer clients the ability to leverage our franchise in order to execute as close to mid-market as possible. All of our new algos will be able to source liquidity from Citi only; a hybrid of Citi & external liquidity or external liquidity only. As the rollout progresses, we will also be introducing several new liquidity pools, including Curex and dark pools.

In response to client feedback we have also added a dynamic element to some existing algos to allow them to adapt order placements as market conditions change. We are introducing time-weighted and volume-weighted average price algos that allow users to choose whether to track the execution schedule closely or prioritise trades that take advantage of favourable price conditions. Users can also choose whether the algo should aggress the market at the end of the period to complete the rest of the order, extend the time or simply expire when the time runs out. A new Volume Tracker algo allows users to set a target market volume participation level and, depending on the discretions given, can use live market data to change the pace of execution to take advantage of favourable prices or slow down and be more passive. We have also introduced an Implementation Shortfall algo into the product suite, named ‘Arrival’. This strategy uses adaptive techniques to forecast market dynamics and manage the trade-off between market impact and price risk. Later in the year we will also be enhancing the functionality around some key features such as our auto-roll functionality and Fill It Now feature.

The enhanced suite also expands into NDF algos. Can you tell us about this new offering?

All of the new algos will be available for NDF pairs, we wanted to build an NDF offering that would deliver functionality as close to the spot product as possible. By leveraging our local presence and liquidity, we will support trading in nine Asian and Latin American-denominated NDFs. These include Brazilian Real, Colombian Peso, Chilean Peso, Indian Rupee, Indonesian Rupee, Korean Won, Peruvian Sol, Philippine Peso and Taiwanese Dollar. The more liquid NDF pairs such as Brazilian Real and Korean Won are now a common feature of many algo platforms, however, we are expecting our support of less liquid NDFs such as Columbian Peso, Peruvian Sol and Chilean Peso to be particularly interesting for our clients, bringing a new level of transparency and flexibility to our clients who execute in these markets.

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