Citi Unveils New Suite of Intelligent Execution Algorithms for Global Listed Derivatives

Citi announced on Thursday it has launched a new suite of intelligent execution algorithms for global listed derivatives. These algorithms have been specifically engineered for the futures markets and are available across all major exchanges in the North America, Europe, and Asia Pacific regions.

According to Citi, the flagship algorithm, Arrival, is an implementation shortfall strategy that has been engineered from scratch on the new platform.

“Named after its price benchmark, Arrival works to minimize slippage (deviation of 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. Arrival combines into one simple access point a collection of strategies, each tuned to specific market microstructure situations.”

While sharing more details about the platform, Gordon Ball, Citi’s EMEA Head of Futures Electronic Execution

“Our clients don’t want to enter numerous parameters to execute an order. The complexity of operating an intelligent algorithm and fine-tuning customizations sits with us, so our clients can focus on their overall investment and trading objectives.”

Citi further explained that its advances in algorithm development include the capture of more detailed instrument and contract specific information to enable dynamic modeling of the order book and adaptive behavior to optimize execution performance. The company added:

“The platform is designed to accommodate different investment objectives and risk tolerances, providing solutions for clients’ diverse requirements.”

Citi’s suite of futures execution algorithms include other intelligent benchmark algorithms such as TWAP, VWAP and Close; as well as a broad range of tactical strategies and smart order types.

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