Citi Electronic Execution has consolidated its algorithmic trading product suite in response to client need and changing market conditions.
"The concept of algo fatigue was everywhere in 2008 " we would visit clients and they would say 'we have 8 or 9 providers with 7 strategies each and its impossible to understand all of them," says Tim Reilly, managing director of electronic execution sales at Citi.
He adds that these continuing conversations led the firm to streamline its algorithmic product suite and make them more intuitive.
Citi's Dagger and Scouter strategies will be merged into a single algorithm " Dagger. The Dagger algorithm will now have five levels to replace the passive, neutral and aggressive modes for both the Dagger and Scouter strategies previously in place. Dagger 1 will replace Scouter Passive, Dagger 2 will replace Scouter Neutral, Dagger 3 will replace Dagger Neutral and Dagger 5 will replace Dagger aggressive.
"We took a number of our strategies and either retired or combined them " we didn't give up any functionality but anything that overlapped we streamlined," says Reilly.
Citi has also changed its algorithmic offerings to keep up with volatile markets. A new parameter called Scaling is being added that can adjust participation rate relative to price improvement in the Participate algorithmic strategy.
"Stocks can move so fast in today's volatile markets that we wanted to incorporate functionality to respond to this more efficiently," says Reilly. "Many algos were developed a year, two years or even three years ago when the markets were quite a bit less volatile."
Citi's IS Shadow strategy has been retired, with its functionality available in the Implementation Shortfall algorithm as a new "Opportunistic" parameter or "I Would Dark" available across the entire product suite.
Reilly says for example if a trader had 100,000 shares and wanted to be 10 percent of the volume, with 10 percent of that order working in the market and 90 percent doing nothing then the new Opportunistic functionality would take part of the 90,000 shares not working in the market and look for block liquidity across various dark pools. "We're putting the quiet part of the algorithmic order to work," he adds. Citi's algorithms will also now have completion price functionality across the board. "Traders will have the opportunity to put a traditional limit price in as well as a completion price," says Reilly.
"We're trying to avoid going out to clients and asking them to learn three new strategies, says Reilly. "So we've added functionality and streamlined our product suite with flexibility to do different things in response to volatility."