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BTIG launches benchmark market on close algorithm

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BTIG’s Global Portfolio and ETF Trading Group has released a new benchmark market on close algorithm within its suite of portfolio trading strategies.

Built by the firm’s financial engineers, BTIG’s latest algorithm streams historical close and imbalance metrics to determine a reverse implementation shortfall.
 
With increasing volumes at market close, minimising impact and slippage versus a primary closing benchmark is ideal for traders focused on maximising client performance.
 
The firm’s portfolio optimising algorithm is data-driven in design with state-of-the-art quantitative analytics coupled with an anticipatory modelling methodology.
 
“Equipping our portfolio traders with technology that predicts momentum on the horizon helps us meet and exceed clients’ performance objectives,” says Thomas Smykowski, managing director and head of global portfolio and ETF trading at BTIG. “While working orders, we continue to employ tools, with sophisticated logic, that intuitively respond to the market and leverage advantageous end of day volumes.”

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