Agency research broker ITG today announced the release of a new algorithm designed to help traders tap the liquidity available during opening auctions of the New York Stock Exchange and NASDAQ.
Dubbed ITG Dynamic Open, the algo aims to minimize price impact from over-participation. It is specifically tailored to the processes of each exchange and employs data from real-time imbalance feeds.
Jeff Bacidore, ITG managing director and head of algorithmic trading, told Traders Magazine that historically, algorithms have not been as thoughtful in terms of how they interact with the pre-market imbalance information and how much impact they might have at the open.
“Traders tend not to like to use algorithms to participate at the opening auctions,” Bacidore said. “They feel that they’re trading at a disadvantage. What we try to do with this algorithm is actually have the algorithm, through quantitative analysis, figure out the best way to interact with the auction.”
Bacidore added an important aspect of the algo is that it looks at real-time imbalance information coming from the exchanges before the auction. This helps to properly size the trade, he said.
The algo is available via ITG’s Triton execution management system and also via FIX connection to ITG from third-party trading systems.
