Aimed at accessing opening auction liquidity while maintaining price stability.
ITG has announced the release of its new Dynamic Open algorithm.
The algorithm allows traders to employ intelligent trading strategies in the NYSE and NASDAQ opening auctions, while minimizing potential price impact from over-participation. It uses processes specific to each market by employing information from the real-time imbalance feeds.
"The uncertainties and complexity of the opening auctions have made some traders reluctant to use the open," says Jeff Bacidore, managing director and head of algorithmic trading at ITG. "ITG Dynamic Open Algorithm provides a powerful tool to tap the liquidity available in the auctions, reducing tracking errors and minimizing implementation shortfall."
The Dynamic Open algorithm, and ITG's other algorithmic offerings, are available through its Triton execution management system and via FIX connection from third-party systems.