ConvergEx Group, a leading provider of global brokerage and trading-related services, today announced enhancements to its Closing Price, POV and Abraxas trading algorithms that will seek to optimize client participation in the Nasdaq, Nyse and Nyse Arca opening and closing auctions.
Using historical data and real-time auction imbalance information, ConvergEx's algorithms can now determine the optimal number of shares to commit to the auctions, to minimize market impact and determine how best to trade the shares that remain in the market. For the NYSE, the algos also allow discretionary quote orders (D-quotes) to be transmitted electronically to designated floor traders, allowing trades as close to the end of the day as possible.
"Our research shows the opening and closing auctions collectively account for approximately 5% of total trading volume," said Gregory Voetsch, chief executive officer of ConvergEx Execution Solutions and head of brokerage services. "It's essential that investors have the same sophisticated tools for participating in the auctions as they do in the continuous market, and our enhanced algorithms provide powerful new ways for our clients to interact with this unique liquidity and maximize their trading performance."
The algorithms with enhanced auction access are:
- Closing Price – Designed to perform well against the day's closing price, this algorithm can either maximize alpha or strictly track the benchmark price.
- Abraxas – Efficiently seeks liquidity across all markets, light and dark. This algorithm also tactically takes advantage of favorable price movements and volatility changes.
- POV – Strives for minimal market impact by participating at a specified percentage of volume. Ideal when consistent participation takes priority over guaranteed completion.