Tan Phull

Whisper: A pegging and liquidity seeking algorithm from Bank of America

August 2023 in Dequantification

Tan Phull, Head FX Execution Trading Services, Bank of America tells us more about one of its most sophisticated FX algorithmic trading tools,

General overview: What is the FX algo called? Whisper, this algorithm aims to block match against the unique liquidity of BofA’s client franchise. What category does it fall into? Pegging and liquidity seeking. What does it attempt to do? The Whisper algorithm allows users to access our broad client franchise liquidity by letting them control the BofA price-skew externally. Matches via Streaming, RFQ and contra algos are passed directly back to the Whisper order. In simple terms, a client with General overview: What is the FX algo called? Whisper, this algorithm aims to block match against the unique liquidity of BofA’s client franchise. What category does it fall into? Pegging and liquidity seeking. What does it attempt to do? The Whisper algorithm allows users to access our broad client franchise liquidity by letting them control the BofA price-skew externally. Matches via Streaming, RFQ and contra algos are passed directly back to the Whisper order. In simple terms, a client with

General overview: What is the FX algo called? Whisper, this algorithm aims to block match against the unique liquidity of BofA’s client franchise. What category does it fall into? Pegging and liquidity seeking. What does it attempt to do? The Whisper algorithm allows users to access our broad client franchise liquidity by letting them control the BofA price-skew externally. Matches via Streaming, RFQ and contra algos are passed directly back to the Whisper order. In simple terms, a client with

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