Bank of America Merrill Lynch re-boots Canadian equity algos

Source: Bank of America Merrill Lynch

Bank of America Merrill Lynch today announced several significant enhancements to its algorithmic trading platform for Canadian equities, including the introduction of several well-known algorithms to Canada and other changes designed to deliver improved execution performance for clients.

"Investors in Canadian equities are constantly looking for ways to optimize their trading strategies and we are pleased to introduce these enhancements, which are based on detailed quantitative analysis and supported by a dedicated local trading desk," said Michael J. Lynch, head of Americas Execution Services.

"Market structure changes in Canada require ongoing development and investment in our algorithmic suite and create opportunities for strategies like Instinct(®)," added Daniel Nachtman, Algorithms Product Manager.

Enhancements to the platform include:

* Introduction of the popular Instinct® algorithm to Canada. Designed to effectively execute small- and mid-cap names, this strategy is especially well-suited for the Canadian market.

* Launch of a new Quantitative Implementation Shortfall algorithm (QIS). The result of a comprehensive analysis focused on execution quality, QIS increased benchmark performance approximately 30% in its U.S. implementation.(1)

* Enhancements to the limit order model and introduction of micro-price logic. These execution models have been tailored specifically to suit the Canadian market microstructure.

* Interlisted trading engine that analyzes real-time FX rates and consolidated market data in order to provide efficient cross border execution and settlement (U.S. and Canada).

* More than 20 additional improvements to existing algorithms, including improved spread sensitivity for the widely used "Getdone" strategy.

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