Brokerage and tech firm, ITG, has released a Dynamic Open Algorithm, which it says allows traders to tap the liquidity available in the crucial NYSE and Nasdaq opening auctions while minimising the price impact from overparticipation, thereby signalling your intentions to the market.
ITG Dynamic Open is the first algo specifically tailored to the processes of each exchange, adds the vendor, claiming that it intelligently participates in auctions by employing data from the real-time imbalance feeds.
The algo is accessible via ITG’s Triton execution management system and via a FIX protocol connection to ITG from third-party trading systems.
“The uncertainties and complexity of the opening auctions have made some traders reluctant to use the open market,” said Jeff Bacidore, ITG’ head of algorithmic trading. “The Dynamic Open Algorithm provides a powerful tool to tap the liquidity available in the auctions, reducing tracking errors and minimising implementation shortfall.”