CitiFX Intelligent Orders

CitiFXSM has developed a series of algorithmic execution strategies that clients can utilise via a range of electronic channels.

Clients are increasingly turning to tools that help them achieve best execution for their regular orderflow, we have built a suite of algorithms that provide clients the ability to minimise their market footprint.

The strategies are calibrated to take into account the day to day shifts in liquidity between currency pairs and trading venues. Transparent post trade reporting provides clients with a detailed audit trail and the ability to evaluate transaction costs across their portfolio of FX trades.

  • Draw on the strength of CitiFX®

  • And clear risk quietly at or inside the primary market spread

Ripple and Internal Match are internalization strategies which execute against Citi’s electronic price streams. Both strategies are similar in design, with a key differentiator being the potential for Internal Match to interact at increased frequency with offsetting inventory from Citi’s global eTrading franchise.

Each strategy’s execution speed is a function of both estimated market volumes and flows from Citi’s global eTrading franchise. Ripple and Internal Match will only trade with Citi’s eTrading business, via Citi electronic price streams when they can do so at or inside the primary market bid/offer spread*.

Ripple and Internal Match can also trade in Citi’s Internal Matching Engine CitiFX Match. A portion of the parent order may be placed anonymously in CitiFX Match, which is an internal only matching engine. The parent order can potentially match against other working Algo orders or interest from the FX eTrading business.

*Alternative venues used for reference when primary unavailable.

Parameters

Mandatory: Currency Pair, Buy/Sell, Amount, Dealt Currency, Start Time, Expiry Time, Limit Price (auto-applied if not set)

Optional: Trigger Price, Value Date (defaults to spot)

  • Avoid crossing spreads†

What it is designed to do

Peg is designed to capture liquidity passively by posting at or near the top of book in multiple venues, favoring those with higher passive fill ratios. It will never cross the spread†.

The strategy seeks to limit market impact by running an independent peg on each venue, with posted order sizes based on available liquidity on either side of the top of book price. Provided the market has not moved beyond the user’s designated limit price, the strategy will react to price updates in each venue by adjusting its posting levels at random time intervals within ranges defined by currency pair (less liquid pairs will update less frequently). For indirect crosses, the less liquid leg is generally targeted for passive execution, with aggressing then taking place in the more liquid leg to complete the cross.

†When used for indirect crosses, Peg will aggress one leg (typically the more liquid).

Parameters

Mandatory: Currency Pair, Buy/Sell, Amount, Dealt Currency, Start Time, Expiry Time, Limit Price (auto-applied if not set)

Optional: Trigger Price, Use Citi Liquidity, Full or Core Liquidity Pool, Value Date (defaults to spot)

  • Target market liquidity

  • And minimise your trading footprint

What it is designed to do

Silent Partner is very similar to Peg in design but has an added minimum pace setting.

It uses the Peg strategy to target passive execution in multiple venues while concurrently estimating volume dealt in the currency pair’s primary markets. Silent Partner only crosses the spread when the execution pace falls below the order’s minimum volume participation setting (adjustable but set to 20% by default) or if a certain time period has elapsed with no executions. For indirect crosses, the less liquid leg is generally targeted for passive execution and minimum pacing, with aggressing then taking place in the more liquid leg to complete the cross.

Parameters

Mandatory: Currency Pair, Buy/Sell, Amount, Dealt Currency, Pace, Start Time, Expiry Time, Limit Price (auto-applied if not set)

Optional: Trigger Price, Use Citi Liquidity, Full or Core Liquidity Pool, Value Date (defaults to spot)

  • Execute over a set interval

  • And achieve a rate reflecting a time-weighted average price

What it is designed to do

TWAP aims to achieve a rate reflecting the currency pair’s time-weighted average price over the duration of the order.

The strategy breaks an order into even-sized clips and uses the Peg strategy to target passive execution at regular intervals within the specified timeframe. TWAP only crosses the spread when the order’s execution pace falls behind the schedule set by the user. It is designed to complete in full provided no limit price constraints are imposed. For indirect crosses, the less liquid leg is generally targeted for passive execution and minimum pacing, with aggressing then taking place in the more liquid leg to complete the cross.

TWAP2 (Small Slice) reduces TWAP’s minimum clip size and only allows passive order placement on non-core markets.

Parameters

Mandatory:Currency Pair, Buy/Sell, Amount, Dealt Currency, Start Time, Duration or Expiry Time, Limit Price (auto-applied if not set)

Optional: Use Citi Liquidity, Smaller Order Size, Full or Core Liquidity Pool, Value Date (defaults to spot)

  • Take available liquidity without posting interest

What it is designed to do

Sweep is designed to sweep all the visible liquidity from available selected markets within the trader’s limit price. It does not post interest to any markets and will continue to sweep until the full order notional has been filled.

Note: The extent to which you can sweep aggressively though the available markets is limited at a ccy pair level to mitigate excessive market impact. Please contact your sales person to discuss further.

Parameters

Mandatory:Currency Pair, Buy/Sell, Amount, Dealt Currency, Start Time, Expiry Time, Limit Price

Optional: Trigger Price, Use Citi Liquidity, Full or Core Liquidity Pool, Value Date (defaults to spot)

  • Take available liquidity and post for a portion of remaining interest

What it is designed to do

Post and Sweep is designed to sweep all liquidity from available selected markets within the trader’s limit price (and pip discretion† if specified). If the sweep cannot fill the order entirely, the strategy will post to the primary market at the trader’s limit price in increments of one million of base currency at a time, replenishing each time the posted order is filled. Any additional liquidity that becomes available within the limit price (and discretion†) designated by the trader will continue to be aggressed until the full order notional has been filled.

Note: The extent to which you can sweep aggressively though the available markets is limited at a ccy pair level to mitigate excessive market impact. Please contact your sales person to discuss further.

The discretion value (specified in pips) represents an additional limit for the sweep element of the strategy beyond the limit price at which orders are posted to the primary market.

Parameters

Mandatory: Currency Pair, Buy/Sell, Amount, Dealt Currency, Start Time, Expiry Time, Limit Price

Optional: Discretion Value (Pips), Trigger Price, Use Citi Liquidity, Full or Core Liquidity Pool, Value Date (defaults to spot)

Additional Risk Information

Foreign exchange contracts are subject to enhanced risks.

Foreign currencies represent the legal tender of one or more foreign nations and normally are not linked to any intrinsically valuable commodity (such as precious metals). Foreign currency exchange rates may be volatile and subject to intermittent market disruptions or distortions due to numerous factors specific to each foreign country, including among others government regulation and intervention, lack of liquidity and the types of entities participating in the market. The currencies of emerging economies may be subject to more frequent and larger central bank interventions than the currencies of developed economies and are also more likely to be affected by sudden changes in monetary or exchange rate policies, or by the actions of significant market participants. Disruptions may also occur as a result of non-governmental events, such as actions taken by, or force majeure events affecting, foreign exchange dealers, relevant exchanges or price sources. Foreign currency exchange rates may be especially volatile during times of financial turmoil, as capital can flow very quickly out of regions that are perceived to be impacted disproportionately by such turmoil. Any of the foregoing events, among others, may adversely affect the transaction economics of a foreign exchange transaction. You should be aware of these risks and should understand their effect on each prospective foreign exchange transaction.

LEARN MORE

  • To find out more about our best in class electronic platforms please contact efxsales@citi.com.
  • For more information about Citi Intelligent Orders, please email citifxio@citi.com.