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June 16, 2011

BofA Merrill EMS Offers Two New Algos

By John D'Antona jr.

Bank of America Merrill Lynch has added two new algorithms, which offer the ability to trade exchange traded funds, options and futures, onto its execution management system.

InstaQuote, BAML's EMS, already offered the buyside access to several algorithms for equities. Now both the buyside and sellside can access algorithms that facilitate more complex orders and strategies, such as exchange traded funds and pairs trading.

The EMS now includes the new ETF-aXe, an exchange traded fund algorithm, which analyzes market depth and price data across an ETF's underlying portfolio to identify the most efficient combination of ETF, stock and futures, then automatically trades them to source liquidity and find the best prices, according to Clayton Meadows, head of InstaQuote at Bank of America Merrill Lynch.

It also includes a pairs algorithm and six new strategies. This algo, designed for equity securities, enables users to quickly and easily identify arbitrage opportunities between correlated securities.

"The algorithms are new to the InstaQuote platform," Meadows said. "We are offering them in response to customer demand, which has been primarily from hedge funds and other institutional investors."

The two new algorithms join 24 others already available on InstaQuote


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