Investment Technology Group (ITG) has announced the release of an algorithm designed to beat the Participation-Weighted Price (PWP) benchmark.
The PWP benchmark determines the volume-weighted average price of a stock from order start time with a given volume participation rate.
The ITG PWP algorithm is designed to take advantage of crossing opportunities, favorable prices and market conditions with the goal of outperforming the benchmark.
According to Hitesh Mittal, ITG's head of liquidity manag
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