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Citi Launches Futures Algo Trading Platform

Citi has rolled out a new trading platform with a suite of execution algorithms for futures markets across all major exchanges in the US, Europe, and Asia Pacific. The new platform includes benchmark algos such as time-weighted average price (TWAP), volume-weighted average price (VWAP) and Close, as well as other strategies and smart order types. Its flagship algorithm is an implementation shortfall strategy, known as Arrival, which Citi said has been engineered from scratch on the platform. The bank added that Arrival was designed to minimize slippage by reducing the cost trade-off between market impact and price volatility across various market conditions in real-time. Arrival also combines multiple strategies that are specifically tuned to micro market microstructure environments into one access point for reduced complexity.

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