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Quantitative Brokers Launches New Futures Execution Algorithm

“Closer” to target settlement and cash close benchmark

Quantitative Brokers (“QB”), a leading provider of agency algorithms for futures and fixed income markets, has released Closer, the fifth strategy in its suite of “award winning” best execution trading algorithms. Closer is specifically designed to optimize execution relative to an instrument’s close or settlement price benchmark.

Closer has been built to service the industry’s growing need for best execution around the closing price benchmark, a challenge common to those within the asset management community. Closer provides traders with a more intelligent and efficient way to trade their “MOC” or “Target Close” futures orders from the convenience of their existing EMS or OMS provider.   

Closer uses real-time analytics to automatically determine the optimal start and end times for the order, removing the need for the trader to set any parameters.  All Closer orders are integrated into QB’s state of the art Transaction Cost Analytics (TCA) platform which provides full transparency into every child order and action taken by the algorithm.  

The new algorithm employs a number of innovative techniques, such as short-term pricing signals that detect price momentum or reversion around the settlement window plus finely engineered volume forecasts that adjust for influential intra-month events.  Closer also incorporates QB’s anti-cross logic, which prevents opposing orders, from the same client, crossing on the exchange. 

“Algorithmic trading is rapidly gaining traction across the capital markets, especially as firms are becoming more aware of how important best execution practices are to their business,” said Christian Hauff, CEO of Quantitative Brokers. “We are very excited to launch our Closer algorithm, as we have been able to apply our considerable experience in building easy to use, high performing execution algorithms to solve this challenging problem for our clients.”

Closer joins QB’s existing suite of best execution algorithms: Bolt, Strobe, Legger and The Roll.

Quantitative Brokers (“QB”) is a fully-independent, NFA and FINRA-registered, broker-dealer and a leading provider of agency algorithms in US cash treasury and futures markets that is both clearer and dealer-neutral. QB creates a dynamic, collaborative environment that breeds financial and technological innovation. Clients span the range of asset managers, hedge funds, CTAs and banks. QB is headquartered in midtown Manhattan, NY.