To help clients navigate changes in market structure and trading conditions
Bank of America Merrill Lynch has added new features to its algorithmic trading suite, to deliver improved execution performance. Reportedly, the changes are part of its efforts to optimise strategies for clients, and were powered by the quantitative data and skill sets created by the combined Bank of America Merrill Lynch algorithmic trading platform.
According to the bank the new features include: improvements to limit order placement; expanded implementation shortfall algorithms; improved anti-gaming protection for all liquidity seeking algorithms, customized solutions to optimize execution for small-mid size flow.
Michael Lynch, head of Americas execution services, said: “As our electronic business expands into new asset classes and regions, we continue to enhance our core algorithmic trading platform to help our clients navigate changes in market structure and trading conditions. We have made over 50 individual enhancements to our core algorithmic offering so far this year. As part of that effort, we redesigned our limit order model and saw a nearly 20% improvement in VWAP performance, based on a three-month review of several hundred thousand orders.”