Quantitative Brokers, a fixed-income algorithmic executing broker, developed The Roll Tracker primarily for clients trading the Treasury roll using its popular algorithm The RollTM, but decided to make the resource accessible to all market participants. The firm's clients include CTAs, asset managers, hedge funds, and banks.
"We found that many discretionary traders who are using The Roll [algorithm] were still asking us when the optimal time was to start trading their rolls,â said Robert Almgren, Quantitative Brokers' co-founder and head of research. âBecause our quantitative models are already used to detect when the roll's liquidity is shifting and trading activity is increasing, it made sense to produce The Roll Tracker. Now those trading the Treasury roll can use our information to help guide them on when to start their rolls."