ITG has launched an algorithm designed specifically to help level the playing field between retail investors and professional higher-speed traders.
Score one for the little guy.
ITG has announced its Smart Limit Retail Algorithm (SLimit Retail), which is designed to help retail brokers manage their passive limit order placement on behalf of non-institutional sized orders or people.
SLimit is already available in a different form for institutions’ usage and their larger orders.
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ITG SLimit Retail routes passively priced orders, using real-time and historical indicators, to maximize the exposure of the order and increase its fill chances at various NMS protected venues. According to the firm, the algo intelligently routes orders by considering both the order book queue and the fill rate consumption at all protected exchanges.
Routing decisions are made and fill rates are maximized without regard for fees/rebates.
ITG SLimit Retail is available as a stand-alone algorithm within existing ITG algorithms and as part of ITG Smart Retail, a robust order routing and liquidity-seeking software system built to enhance liquidity and execution quality.
“By taking into account quote velocity and depth of book, SLimit provides an increased fill rate to retail investor orders,” said Dan Weingarten, ITG’s Head of Sellside Sales and Derivatives, “allowing them to compete for liquidity on more equal footing while maximizing the exposure of their displayed limit orders.”
He further explained that since ITG SLimit logic uses historical and real-time data on average queue length and consumption rates to optimally allocate shares it is able to adapt quickly to changes in market conditions.
According to ITG data, during the first month of the NASDAQ pricing pilot the broker saw a nearly 35 percent increase in its fill rates at NASDAQ for stocks in the pilot group thanks to the new algo.
“SLimit reacted to the real-time changes in the resting order books in the pilot stocks and the data is further evidence of the value of a dynamic routing strategy,” said Phil Pearson, director, algorithmic trading at ITG.
The launch of ITG SLimit Retail Algorithm works in conjunction builds with the firm?s smart retail order router.
