Citi, bolstered by new technology and customers, intends to enter the big league of dark pools.
The bank is doing about 30 million shares per day in its newly launched Citi Match crossing system. Its previous crossing platform, LIQUIFI, had “de minimus” volume, according to Dan Keegan, co-head of global electronic trading sales at Citi. In part, he said, that was because the system was never fully rolled out to institutions, and was expected to be overhauled after Citi’s announced acquisition of Automated Trading Desk last July.
Citi bought ATD, a market-making and proprietary trading firm based in Mount Pleasant, S.C., last October for $680 million in cash and stock. Citi Match is based in large part on I-Match, a crossing product that matched up institutional and retail flow within ATD.
Citi Match’s execution numbers make it a player in the ranks of broker-dealers trying to attract institutional order flow to their crossing systems. Credit Suisse said its crossing platform, CrossFinder, executed an average of 85 million shares in the last week of January and first week of February. Goldman Sachs’ Sigma X crossing system executed an average of 157 million shares per day in January. NYFIX Millennium, which is open to all comers on the buyside and sellside, executed an average of 58 million shares per day in January.
Keegan expects Citi Match’s new and broader customer base to push its executions higher. “We’ve created a mechanism whereby all ATD flow and Citi flow–Smith Barney, Lava, Citi’s various desks and algos–can wash through one box,” Keegan said. He added that Citi represents 13 percent of all NMS volume.
Where Citi Match improves upon LIQUIFI is in the range of institutional and retail customers that can interact within its confines, according to Keegan. On the retail side, Citi Match includes ATD’s 130 retail brokerage clients as well as Citi’s Smith Barney flow, which previously did not stream through LIQUIFI.
Citi Match allows institutional flow, orders from the firm’s internal desks, and flow from Citi algos to rest within its system to match up against retail flow. The internal Citi flow includes orders from Citi sales traders, traders, program traders and other internal desks.
So far, 30 institutions are connected to Citi Match, with “hundreds” planning to connect, according to Keegan. “We let them sit there and soak up retail flow,” he said.
Flow that rests within Citi Match can also execute against Liquidity Ping flow that streams through the system. Liquidity Ping is an ATD product that enables external crossing systems and broker-sponsored dark pools to check for liquidity by passing through Citi Match.
