ITG Develops Brazil, Mexico Close Algorithms

New algos aimed at end-of-session liquidity.

Eric Blake, ITG

The Brazil Close and Mexico Close algorithms are available on Triton, ITG's execution management system, and via FIX connection to ITG for third-party trading systems. The algos are aimed at capturing the significant amount of liquidity made available in both markets late in the trading session. According to the release, the closing auction represents roughly 10 percent of total daily trading volume in Brazil and approximately 7 percent in Mexico.

Eric Blake, managing director at ITG, tells Wate

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