ITG, an independent execution and research broker, has released the new ITG Dynamic Implementation Shortfall Algorithm 2.0 (ITG DIS 2.0), a tool for portfolio traders.
ITG DIS 2.0 builds on the original Dynamic Implementation Shortfall Algorithm, which was created to execute portfolio trades in a coordinated, cost-effective manner.
ITG DIS 2.0 offers enhanced optimisation capabilities that can handle even imbalanced and illiquid portfolio trades. ITG DIS 2.0 incorporates intraday patterns in cost and risk to formulate its trading strategy and dynamically updates its strategy as conditions change over the execution horizon.
“ITG Dynamic Implementation Shortfall Algorithm 2.0 gives traders a state-of-the-art tool to execute portfolio trades efficiently. The algorithm dynamically adjusts its strategy in real time as the market environment changes and is able to prudently manage risk while trading opportunistically,” says Jeff Bacidore (pictured), ITG managing director and head of algorithmic trading. “And despite its sophistication, ITG DIS 2.0 is available via an intuitive graphical user interface, creating a streamlined workflow for portfolio traders.”
ITG DIS 2.0 and ITG’s full suite of algorithms are available via ITG’s Triton execution management system and also via FIX connection to ITG from third-party trading systems. ITG DIS 2.0 is also employed by ITG’s high-touch portfolio trading desk. Traders can use the web-based ITG Algorithms Prism tool to gain up-to-the-second visibility into the activity of each ITG algorithm, such as the predicted and realised schedules, fill details, and even the location, type and price of every open child order.