Citi launches new futures algorithm platform
26 January 2021 US
Image: peshkova/adobe.stock.com Citi Bank has launched a new suite of intelligent execution algorithms for global listed derivatives.
According to Citi, the algorithms are specifically engineered for the futures markets and are available across all major exchanges in North America, Europe and Asia Pacific.
The flagship algorithm, Arrival, named after its price benmark, is an implementation shortfall strategy engineered from scratch on a new platform.
Arrival, Citi says, works to avoid deviation from the actual price from the benchmark, by balancing the cost trade-off between market impact and price volatility, across a variety of market conditions in real time.
Overall, the platform is designed to accommodate different investment objectives and risk tolerances, providing solutions for clients’ diverse requirements, the bank explains.
Citi’s suite of futures execution algorithms include other intelligent benchmark algorithms such as Time Weighted Average Price, Volume Weighted Average Price, and Close, which is a traditional execution strategy, as well as a broad range of tactical strategies and smart order types.
The new trading software will also include smart execution capabilities including an implementation shortfall strategy.
Gordon Ball, Citi’s head of futures electronic execution for Europe, the Middle East and Africa, adds: “Our clients don’t want to enter numerous parameters to execute an order. The complexity of operating an intelligent algorithm and fine tuning customisations sits with us, so our clients can focus on their overall investment and trading objectives.”
Sabrina Wilson, global co-head of futures, clearing and foreign exchange (FC) prime brokerage, says: “We’ve made a number of key hires to drive this effort, bringing in expertise and a fresh perspective on our clients’ needs. The result is a global solution that focuses on individual market microstructure.”
Chris Perkins and Sabrina Wilson were promoted to global co-heads of futures, clearing and FX prime brokerage following the departure of Jerome Kemp who retired after nine years with Citi. Both will be jointly responsible for growing Citi’s client franchise in FX and focusing on increasing electronic distribution.
Wilson, who joined Citi in 2017 as European head of FX and global head of FX electronic execution, brings with her nearly 20 years of industry experience to the role.
Wilson notes: “With the industry trend towards multi-asset trading desks and the convergence of best practices, the more sophisticated algorithms and transaction cost analysis tools regularly used in equities are now being adapted for fixed income and commodity trading.
“It was critically important for us to build algorithms specifically for listed derivatives, catering to the unique characteristics of these diverse instruments and their market microstructures.”
Elsewhere, Citi has also executed its first securities lending transaction in Romanian securities through its agency securities lending business.
With the addition of Romania, Citi now supports securities lending in 74 markets globally.
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