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September 9, 2009

Bloomberg's Algo Goes on Autopilot

By James Ramage

Bloomberg Tradebook added an enhancement to its liquidity-seeking algorithm to automate more of the trading process.

When Bloomberg Tradebook created its B-Smart algo about two years ago, it left it up to the trader to decide how aggressively the algo would interact with the market. B-Smart has four levels of aggression. Now, B-Smart's new auto enhancement-called B-Smart Auto-makes the choices for him.

When the trader gets too busy to choose the right strategy, B-Smart Auto takes control and decides whether he should sit on the bid and react or trade both sides of the market. It also decides when he should and shouldn't be quoting and when he should be aggressive.

B-Smart Auto does this by using a price predictor model to adjust between the algo's aggression levels, said Gary Stone, director of trading, research and strategy for Bloomberg Tradebook.

"Traders get too busy," he said. "They want the algo to take more control."

The price predictor model looks at the stock's volatility, tape activity, bid/ask spread and sector to determine its price path. "We look at those," Stone said. "They go into the matrix of where we're supposed to be and what our aggression level is supposed to be at that point in time."

 

 

 

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