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July 2, 2013

Citi Unveils Market Open Algo

By John D'Antona Jr.

Citi is providing buyside traders an algorithm designed to help them trade at the market opening and during the first 15 minutes of trading.

The new algorithm, dubbed Citi Open, comes in response to buyside interest in an electronic tool that can efficiently source liquidity at the equity market opening auction at 9:30 a.m. and through the period until 9:45 a.m., Tim Reilly, head of electronic execution sales, Americas at Citi, told Traders Magazine.

The need for a special market opening algo is based on the relatively new phenomenon that much of the day's trading volume occurs during the stock market's first and last 15 to 30 minutes of the day.

"As overall market volume has declined, those seeking natural contra order flow have shifted more orders to the open and close," Reilly said.

The algo uses pre-market exchange feeds, when the size of a stock's imbalance or paired volumes are released by either NYSE or Nasdaq. Citi uses the real-time feeds and its own stock-specific statistical models to manage the size of the order in the primary market auction process. After the stock opens, the orders are managed across both lit exchanges and dark pools. Once the broker analyzes the pre-market exchange published data of a stock, the strategy estimates the opening levels and enters orders into the market.


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