Quantitative Brokers, a fixed-income algorithmic executing broker, announced its launch of a suite of algorithmic strategies for trading US interest rates futures.
The algorithms are the first-ever agency algorithms designed specifically to accommodate the unique Pro-Rata and FIFO matching engines for CME Eurodollar and Treasury futures. The strategies provide traders anonymity while searching for price or volume improvements through sophisticated order book placement and real-time analytics.
Quantitative Brokers' algorithmic suite includes:
* BoltTM Uses dynamic arrival price to intelligently execute urgent orders, attempting to beat the bid-offer midpoint.
* StrobeTM Ideal for larger orders over longer durations, using the time or volume weighted average price as a benchmark.
* The RollTM The first-ever algorithm custom built for the quarterly US Treasury futures roll.
The algorithms have been live with early-adopter clients since July. Clients include CTAs, hedge funds, and bank trading desks.
The gap in the market for algorithmic execution of interest rate products was a driving force in the development of these algorithms. "We saw the complexity of the interest rates market as an opportunity," said Robert Almgren, Quantitative Brokers' co-founder and head of Quantitative Research. For example, the pro-rata matching engine for Eurodollars and Treasury spreads has interesting implications on how to size orders to increase the probability of passive fills. We've also analyzed how to calculate the presence of hidden and implied liquidity on the CME, which most traders are not even fully aware exists, but can often provide price and volume improvement. All of these factors have a tremendous impact on how an algorithm should place orders into these markets to achieve best execution."
Christian Hauff, Quantitative Brokers' CEO and co-founder added, "The client feedback has been extremely positive, clients are excited to have an algorithmic broker that fully understands the interest rate market and can help significantly reduce their transaction costs - freeing them up to concentrate on alpha generation. Our Treasury roll algorithm has also been a hit; it's definitely an underserved market. The fact that we've built all of our infrastructure from scratch, specifically for rates, is a huge advantage for our models over other brokers who are simply trying to extend their legacy equities algorithms into this completely different asset class."
Quantitative Brokers has spent the past two-and-a-half years on the research and development of their algorithms. The algorithms are accessible via FIX protocol or broker-neutral EMS, including Bloomberg.