20 October 2017
visit www.response.ncr.com

Goldman Sachs launches two options algorithms

11 January 2008  |  2218 views  |  0 Source: Goldman Sachs

Goldman Sachs Electronic Trading announced today the launch of two new U.S. Listed Option algorithms, enhancing the firm's suite of advanced trading functionality.

The addition of Iceberg and Delta Adjusted algorithms marks the third and fourth strategies in Goldman Sachs's growing suite of options execution algorithms and order types, which have been built on the successful foundation laid by SIGMA and Prowler. These strategies are available to clients trading electronically over all the GSET platforms, specifically REDIPlus and our FIX offering.

The Iceberg strategy will post small orders into the various markets holding the balance. The order placement logic dynamically optimizes the price and the size of the various orders keeping in sync with every tick in the markets. As the posted orders are executed, they are replaced with subsequent tranches until the entire order is filled or cancelled. If the market moves into the limit price, the order aggressively takes liquidity by sweeping with IOC orders.

The Delta Adjusted strategy is designed to float at a limit with the underlying security according to the option delta. The order will be temporarily paused if the price moves outside the upper and lower bounds set on the underlier, keeping the delta relevant. Additionally, this order will scan all seven option markets until the order is marketable and then sweep liquidity accordingly.

JP Xenakis, head of electronic listed options sales at Goldman Sachs, noted, "Over the past years - and particularly in the volatile market environment of the past few months - we've seen an increase in clients' incorporation of options into their overall trading strategy. The suite of algorithms and tools that we offer aids clients in finding optimal liquidity and the best prices."

Comments: (0)

Comment on this story (membership required)

Related company news


Related company information

Goldman Sachs

Related blogs

Create a blog about this story (membership required)
visit www.vasco.comRegister now

Who is commenting?

Top topics

Most viewed Most shared
Ripple looks to drive bank adoption with $300m XRP rebate programmeRipple looks to drive bank adoption with $...
15868 views comments | 12 tweets | 4 linkedin
Swift positive on blockchain, but big challenges remainSwift positive on blockchain, but big chal...
8987 views comments | 16 tweets | 23 linkedin
satelliteGates Foundation backs Ripple collaboratio...
8096 views comments | 13 tweets | 10 linkedin
IBM uses blockchain to improve cross-border payments processingIBM uses blockchain to improve cross-borde...
7168 views comments | 9 tweets | 17 linkedin
Santander InnoVentures leads $6m funding round for Mexico's ePesosSantander InnoVentures leads $6m funding r...
6308 views comments | 6 tweets | 3 linkedin

Featured job

Competitive base, double ote, benefits
London, UK

Find your next job