ITG Launches New Dynamic Close Algorithm Taps Closing Liquidity with Greater Precision
NEW YORK, Feb. 6, 2013 /PRNewswire/ -- ITG (NYSE: ITG), an independent execution and research broker, today announced the release of the new ITG Dynamic Close Algorithm. ITG Dynamic Close empowers traders to tap the sizeable liquidity available in the NYSE and NASDAQ closing auctions in a more precise manner than competing algorithms. Unlike other algorithms, ITG Dynamic Close Algorithm recognizes that the majority of auction impact occurs at the imbalance announcement and it intelligently pursues open market liquidity in the pre-cutoff period.
ITG Dynamic Close algorithm is the first closing algorithm that provides traders with both a flow and a rebalance setting, recognizing the tradeoff between minimizing slippage to the close in the former and reducing implementation shortfall in the latter. ITG Dynamic Close is engineered to intelligently respond to the exchange imbalance feeds to minimize cost, capitalizing on imbalance opportunities as they arise.
"Our research demonstrates that traders targeting the close should focus more of their open market trading to the period prior to the imbalance announcement, not just prior to the close itself," said Jeff Bacidore, ITG Managing Director and Head of Algorithmic Trading. "ITG Dynamic Close Algorithm provides a powerful tool to efficiently tap the liquidity in and around the closing auctions, with different behavior depending on whether the trade is part of a portfolio rebalance or a flow trade."
The launch of ITG Dynamic Close follows on the successful launch of ITG Dynamic Open Algorithm, which intelligently participates in the NYSE and NASDAQ opening auctions by employing data from the real-time pre-market imbalance feeds. ITG Dynamic Close, ITG Dynamic Open and ITG's full suite of algorithms are available via ITG's award-winning Triton® execution management system and also via FIX connection to ITG from third-party trading systems.
ITG's liquidity management solutions include industry-leading algorithms in 35 markets across the Americas, Asia Pacific and the EMEA region and POSIT® dark crossing in 28 markets worldwide. For more information about ITG's full range of liquidity solutions, visit www.itg.com/liquidity.
ITG is an independent execution and research broker that partners with global portfolio managers and traders to provide unique data-driven insights throughout the investment process. From investment decision through settlement, ITG helps clients understand market trends, improve performance, mitigate risk and navigate increasingly complex markets. ITG is headquartered in New York with offices in North America, Europe, and Asia Pacific. For more information, please visit www.itg.com.
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 The Journal of Trading, January 2013: "Trading around the Close", Bacidore, Polidore, Xu, Yang. See paper here: www.itg.com/2012/11/07/trading-around-the-close/