Execution and research broker ITG has announced the release of its Dynamic Close algorithm, which pursues market liquidity in NYSE and Nasdaq closing auctions.
ITG Dynamic Close provides traders with the ability to reduce price impacts from over-activity at the close, containing flow and rebalancing functionality which prevents slippage and implementation shortfall.
"Our research demonstrates that traders targeting the close should focus more of their open market trading to the period prior to the imbalance announcement, not just prior to the close itself," says Jeff Bacidore, managing director and head of algorithmic trading at ITG. "ITG Dynamic Close Algorithm provides a powerful tool to efficiently tap the liquidity in and around the closing auctions, with different behavior depending on whether the trade is part of a portfolio rebalance or a flow trade."
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