Bank of America Merrill Lynch today announced important new enhancements to the company's algorithmic trading suite, designed to deliver improved execution performance.
The changes are part of the team's ongoing efforts to optimize strategies for clients, and were powered by the quantitative data and skill sets created by the combined Bank of America Merrill Lynch algorithmic trading platform.
The enhancements, which focus on several important performance characteristics and apply across multiple strategies, include:
- Improvements to limit order placement
- Expanded Implementation Shortfall algorithms
- Enhanced anti-gaming protection for all liquidity seeking algorithms
- Customized solutions to optimize execution for small-mid size flow
"As our electronic business expands into new asset classes and regions, we continue to enhance our core algorithmic trading platform to help our clients navigate changes in market structure and trading conditions," said Michael J. Lynch, head of Americas Execution Services. "We have made over 50 individual enhancements to our core algorithmic offering so far this year."
"As part of that effort, we redesigned our limit order model and saw a nearly 20 percent improvement in VWAP performance, based on a three-month review of several hundred thousand orders," said Lynch. "This outstanding result exceeded our expectations and serves as a testament to the value that our Quantitative Analysis group brings to our clients."
Bank of America Merrill Lynch's award-winning algorithmic trading platform provides a suite of fully anonymous, flexible algorithms with access to unique forms of liquidity, including 15 core equity and six core options algorithms. Clients can customize algorithms to conform to their goals and benchmark risk tolerance, and use them to express views on alpha horizon, momentum vs. mean reversion, and stock performance in absolute or relative terms.
Bank of America Merrill Lynch is a leading global provider of equity and options trading, sales and research services to the mutual funds, hedge funds, broker-dealers, pensions, endowments and other institutions. Its algorithmic trading platform has earned awards for price improvement, anonymity, ease of use and cost.(1) Bank of America Merrill Lynch is a member of more than 80 exchanges worldwide and was named Best Global Equity House by Global Finance.(2)
1The Trade (Jan-Mar 2009)
2Global Finance, 2008