Introduces ‘Arrival’ Flagship Intelligent Execution Strategy
“We are delighted to announce the official launch of our new suite of smart algos, the result of a multi-year, strategic investment in our electronic execution capabilities,” said
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.
“Our clients don’t want to enter numerous parameters to execute an order,” said
With the industry trend towards multi-asset trading desks and the convergence of best practices, the more sophisticated algorithms and TCA 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,” added Wilson.
Citi’s 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 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.
Citi, the leading global bank, has approximately 200 million customer accounts and does business in more than 160 countries and jurisdictions. Citi provides consumers, corporations, governments and institutions with a broad range of financial products and services, including consumer banking and credit, corporate and investment banking, securities brokerage, transaction services, and wealth management.
Actual introduction of the product is dependent upon applicable laws, regulations and approvals.
This communication is issued by a member of the
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