Investment Technology Group unveils algorithm that reacts to market events

Date: Wednesday, August 29, 2007
Author: Hedgeweek.com

Investment Technology Group, a New York-based provider of technology-based trading services and transaction research, has unveiled a new type of trading algorithm that reacts to real-time market events in fulfilling the user's performance criteria.

The company says Dynamic Implementation Shortfall, which has been added to the ITG Algorithms suite of trading tools, is a list-based algorithm designed for portfolio and quantitative traders whose main objective is to trade opportunistically according to real-time market conditions to minimise trading costs and manage risk while optimising the entire portfolio.

To use Dynamic IS, clients select from a list of parameters, including cash imbalance, sector neutrality, time horizon and speed of execution, and the algorithm reacts in real time to benchmark, spread levels, volatility and liquidity to execute the portfolio over single or multiple days.

Dynamic IS differs from most list-based implementation shortfall algorithms, which are static and follow a predetermined trading schedule based on historic volatility and liquidity estimates.

'Portfolio managers are faced with the challenge of maintaining balance in their portfolio while avoiding risk,' says ITG managing director Tony Huck. 'ITG's Dynamic IS algorithm helps clients reduce the volatility of an unexecuted list in real time by adjusting parameters to meet their investment strategy.'

Clients using Dynamic IS can opt to expose their orders via the ITG Dark Algorithm, a liquidity-seeking algorithm, to reach ITG's liquidity pools, Posit Match, Posit Now and Blockalert, as well as to other alternative trading systems and electronic communication networks.

Investment Technology Group is a specialised agency brokerage and technology firm based in New York, with offices in North America, Europe and the Asia Pacific regions, and offers services combining pre-trade analysis, order management, trade execution and post-trade evaluation.