The performance of the new “Intraday Optimization” model by IntelligentCross ATS, a subsidiary of Imperative Execution, exceeded expectations over the first quarter of 2024, Traders Magazine has learned.
The model delivered even more liquidity to subscribers in its Midpoint book with continued reduction in market impact, according to Roman Ginis, CEO of Imperative Execution and Founder of IntelligentCross.
Intraday Optimization is real-time technology that allows the platform’s Midpoint matching to adapt in response to market conditions during the live trading day.
When the ATS predicts the market will be more stable, it will match subscribers’ orders faster for more liquidity.
When the model predicts the market will be less stable, it will slow down matching to reduce market impact.
Intraday Optimization enables the ATS to optimize in real time over 66 million times a day, on average.
“We know how important “performant liquidity” is to our subscribers. Making sure they can trade when they want to trade, while delivering excellent performance outcomes, is critical to them – and to our success,” Ginis said.
He said that Intraday Optimization accelerates the calibration of their matching times based on real-time market conditions.
“That is a game changer,” Ginis told Traders Magazine.
“This allows us to support our subscribers’ execution tactics even more precisely throughout the trading day,” he said.
Since the beginning of the rollout of this real-time process in January of 2024, IntelligentCross provided its subscribers with an average of 45,000 more trades per day that had zero markouts – which means the orders did not experience adverse selection or impact within one second after execution.
This expansion of liquidity is possible because the platform now evaluates market conditions and self-optimizes quickly and continuously over 66 million times per day.
“We hoped we would see more liquidity – but it is thrilling to see 45,000 more trades on average per day, with zero impact (up to 1 second post trade),” Ginis said.
He further said that they were impressed by the results of the Q1 rollout, because generally, post-trade performance and liquidity are inversely correlated.
“People have unfortunately come to expect that they have to give up one to get the other. We succeeded in bringing our subscribers even more opportunities to trade without sacrificing performance,” he said.
The technology that enables to deliver Intraday Optimization incorporates machine learning (ML) in real time, according to Ginis.
He said that ML has been part of the IntelligentCross matching model since their inception.
“Our core matching logic, and the advanced, tailored analytics we provide to our subscribers on how they utilize our platform and can fine-tune their performance, has always been grounded in our machine learning capabilities,” he said.
“We use machine learning to enhance the timeliness of our order matching. What we do not do is ask subscribers to change their workflow. All the complexity is baked inside – it’s our job,” he said.
The upgrade to IntelligentCross Midpoint is provided automatically, requiring no change in a trader’s workflow.
Subscribers to the ATS will benefit from Intraday Optimization whenever they send orders to the Midpoint book.
“Our technology is designed to help subscribers’ strategies be even more adaptive to the market’s dynamics. Intraday Optimization amplifies the effectiveness of what our subscribers already do – it doesn’t change it. We believe that is important,” Ginis stressed.
