HSBC has added a new basket algo to its existing FX algo suite which enables clients to upload a basket of FX orders into HSBC’s single dealer platform, HSBC Evolve. As part of HSBC’s Global Intermediary Services offering, the HSBC basket algo determines how best to net and optimise the execution of that basket, based on the correlation of those currency pairs. Netting multiple currency pairs into smaller orders reduces bid-ask costs for clients, after which the algo executes those orders at times during the day according to an optimisation schedule, which is generated by the algo based on the correlation of currencies the client holds. “We affectionately call it a ‘correlation aware’ algo,” says Vivek Sarohia, Global Head of FX Alternative Execution Services. “The HSBC basket algo looks at the underlying currency pairs that the client is trading and then at their correlation, before executing, accordingly, to reduce risk and costs. Clients may trade many currencies – and the HSBC basket algo understands that, so it will look at what happens, for example, if a client trades one currency more aggressively and how it might impact other currency positions the client also holds in their portfolio.”
