Please tell us about your new product Citi Velocity Dynamic Algos.
Citi Velocity Dynamic Algos have been engineered from the ground up as part of our algorithmic suite replatforming initiative. The algos are based on a combination of our experience in research and advanced quantitative techniques together with our next generation market making technology.
We recognise that low market impact is arguably the most important characteristic for an algorithm to have, and the best way to deliver that to clients is in two ways: firstly, maximizing internalization and secondly, smart business logic for flows that are routed externally. By co-locating our client algorithms on the same platform as our market making business, we aim to deliver against both of these objectives, while maintaining safeguards against information flow between the principal market making and client algorithmic activity.
The suite includes a number of brand new strategies that we have not offered previously, together with significantly enhanced versions of some of our popular, pre-existing strategies, all of which benefit from the significant advancements in execution design of our new platform.
We are particularly excited about our offering in Latam NDFs
Arrival, an implementation shortfall algorithm, is one of our new strategies and is designed to minimise slippage to the arrival price benchmark. It manages the trade-off between market impact and price risk in real time, whist a configurable Engine Mode can be used to tailor that balance to be more or less aggressive depending on client preference.
We have a further three benchmark strategies in TWAP, VWAP – which is also a new strategy – and Volume Tracker. Volume Tracker dynamically scales passive and aggressive order placement based on real-time volumes and a target participation level.
Our Sweep and Post & Sweep strategies are liquidity seeking strategies that deploy our expertise in targeting liquidity aggressively.
To round out the full Citi Velocity Dynamic Algo suite we have Peg, a passive strategy that looks to capture liquidity whilst tracking the market and can be controlled with an Engine Mode similar to Arrival.
Your new suite features comprehensive support for NDFs, can you tell us why this was important to you?
NDF trading is one of Citi FX’s strengths given our footprint in emerging markets and we could see being able to execute these algorithmically becoming ever more important to our clients. We wanted support for NDF execution to be designed into the new system from the ground up and to deliver functionality on a par with deliverable spot within the new suite from day one.
All of our strategies benefit from the significant advancements in execution design of the new platform
In engineering our new NDF algo offering we were able to draw on a powerful combination of expertise in both algorithmic execution and electronic NDF market making, given our position as the market leader in that space.
We offer Asian and Latam NDF execution via all of our new strategies, accessing both external (on and off SEF) and internal sources of liquidity. This depth of offering will only increase over time and will benefit greatly from Citi’s extensive global network. We are particularly excited about our offering in Latam NDFs, particularly in some less liquid pairs, where we look forward to bringing greater transparency to the market for our clients.
Citi has one of the largest franchises on the street, how has that advantage been further harnessed by Citi Velocity Dynamic Algos?
All Citi Velocity Dynamic Algos have the option of executing solely against Citi’s internal liquidity pool, and that includes in all the NDFs we offer. Depending on the client’s execution objectives, not all orders will suit being executed solely against Citi’s liquidity, and we work with clients to determine the most appropriate liquidity pools for them to include in their orders. But for some it presents an almost unparalleled opportunity to work an order against flows most other Liquidity Provider’s cannot provide and can lead to significant reductions in market impact. Very few, if any, algorithm providers will be able to match off algorithmic flows against passive corporate or payments flows to the same extent as Citi FX.
What do you have planned in the future for Citi Velocity Dynamic Algos?
This replatforming of our algorithms is just the beginning of the road. We are now able to rapidly deliver incremental improvements in business logic and additional liquidity pools in the same way we do for our principal trading business.
We still have a lot we want to do and are engaging clients on what they see as the most important future developments in the algo marketplace, watch this space.
