Currenex upgrades algorithms

State Street-owned Currenex has recently upgraded its suite of algorithms, which have been carefully developed to play to its core value proposition.

Currenex upgrades algorithms

State Street-owned Currenex has recently upgraded its suite of algorithms, which have been carefully developed to play to its core value proposition. Rick Schonberg, Currenex’s Global Head of Product, explains that it has a strong liquidity offering drawn from its wide variety of liquidity providers. And its pre-trade to post-trade servicing is a key attraction for its clients. “Then we have our basic suite of algos.” he says. “We are not looking to compete with the big banks who do a lot of research. But when it comes to basic liquidity-seeking algo types we have smart limits and IOCs. We have the basic range of slicing algos like TWAPS, they randomise and they can look at how much liquidity is in the market and be very dynamic that way. They can put in controls so that they don’t go beyond a certain level of price. We also offer TWAPs that are set up to run to the WM benchmark window.” Added to that Currenex offers a range of floating order types. “Given that we sit on top of this large liquidity pool we are able to set up some smart floating logic so that the client can float passively or float aggressively and the logic can float and weave with the liquidity in the market. We’ve had a lot of success with those orders as well. And we’ve upgraded these since the Summer. Now, if there are cheeky orders in the market that arrive close to a client’s passive interest, we will aggress them. Since the Summer we’ve also made changes to the benchmark order types in conjunction with the changes to WM,” says Schonberg.