ITG Develops Brazil, Mexico Close Algorithms

The Brazil Close and Mexico Close algorithms are available on Triton, ITG's execution management system, and via FIX connection to ITG for third-party trading systems. The algos are aimed at capturing the significant amount of liquidity made available in both markets late in the trading session. According to the release, the closing auction represents roughly 10 percent of total daily trading volume in Brazil and approximately 7 percent in Mexico.

Eric Blake, managing director at ITG, tells WatersTechnology that in Brazil price discovery and the fact that many funds use the close price as a benchmark leads the closing auction to be a daily liquidity event. Requests from clients around addressing the uniqueness of the markets were a major driver in the development of the algos, according to Blake.

"We are constantly looking to improve on electronic solutions for our clients, especially in challenging markets like Brazil and Mexico," Blake says. "We had asked our client base what they found difficult in Latin America, and dealing with the close and its different dynamics was a key challenge for them."

The release of the two algorithms isn't the only work being done by ITG related to Latin American markets. This fall, the firm plans to launch electronic direct market access for Colombian equities. This will be in addition to Posit Alert on-exchange block crossing for Brazil and Mexico, algorithmic trading for Brazil, Mexico and Chile and single-stock trading for Brazil, Mexico, Chile, Colombia and Peru.

"We listen to our clients' needs and then provide them with quality solutions. Colombia is no exception," Blake says. "We will continue to look at ways we can assist our clients in achieving best execution and enhanced operational efficiency when trading Latin American markets."