Investment Technology Group, a provider of technology-based trading services and transaction research, today announced the addition of Dynamic Implementation Shortfall (Dynamic IS) to the ITG Algorithms suite of trading tools.
This list-based algorithm is designed for portfolio and quantitative traders whose main objective is to trade opportunistically according to real-time market conditions to minimize trading costs and manage risk while optimizing the entire portfolio.
To use Dynamic IS, clients select from a list of parameters, including cash imbalance, sector neutrality, time horizon and speed of execution, and the algorithm reacts in real time to benchmark, spread levels, volatility and liquidity to execute the portfolio over single or multiple days. Dynamic IS differs from most list-based implementation shortfall algorithms which are static and follow a predetermined trading schedule based on historic volatility and liquidity estimates.
"Portfolio managers are faced with the challenge of maintaining balance in their portfolio while avoiding risk," said Tony Huck, Managing Director at ITG. "ITG's Dynamic IS algorithm helps clients reduce the volatility of an unexecuted list in real time by adjusting parameters to meet their investment strategy."
Clients using Dynamic IS can opt to expose their orders via the ITG Dark Algorithm, a liquidity-seeking algorithm, to reach ITG's liquidity pools, POSIT Match, POSIT Now, and BLOCKalert, as well as to other alternative trading systems (ATSs) and electronic communication networks (ECNs).