Banc of America Securities (BAS) has launched an algorithmic trading programme designed to execute client orders at an average closing price as near as possible to a pre-determined timeframe.
The 'Departure Price' algorithm generates an automated execution profile based on quantitative statistics and sophisticated order placement techniques. It is intended to assist clients and traders in managing risk tolerance levels through aggressive, neutral and passive settings, says BAS.
Robert Almgren, head of quantitative strategies for equities at BAS. adds: "The Departure Price algorithm takes closing price strategies to the next level and is yet another step in our continued efforts to help clients meet their trading goals by expanding the portfolio of algorithms we offer."
Departure Price is the eighth strategy available on BAS' algorithmic trading platform, Equities Automated Strategy Execution (EASE).