Investment Technology Group said it released an algorithm that will capture matching orders in the opening auctions of the New York Stock Exchange and Nasdaq Stock Market.
The agency research broker and financial technology released a coded strategy that it calls the ITG Dynamic Open Algorithm. With the algo, trading firms can tap into orders available in the NYSE and Nasdaq opening auctions “while minimizing price impact from over-participation,’’ ITG said.
ITG said the Dynamic Open formula is the first algorithm specifically tailored to the processes of each exchange, intelligently participating in auctions by employing data from the real-time feeds on order imbalances.
“The uncertainties and complexity of the opening auctions have made some traders reluctant to use the open,” said Jeff Bacidore, ITG Managing Director and Head of Algorithmic Trading. “ITG Dynamic Open Algorithm provides a powerful tool to tap the liquidity available in the auctions, reducing tracking errors and minimizing implementation shortfall.”
Tom Steinert-Threlkeld writes for Securities Technology Monitor.