CitiFX Intelligent Orders

The CitiFX Intelligent Orders platform offers a market leading suite of algorithmic execution strategies designed to efficiently access FX Spot market liquidity with a goal to optimize your execution performance. Use this guide to gain an understanding of our FX Algo platform and each strategy to help identify the execution strategy that best fits your requirements.

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.

CitiFX Cross (CFX)

CitiFX Cross (CFX) is a proprietary low latency Spot FX Matching Engine that allows users of our FX Algo platform (external clients and internal trading businesses) and Citi’s principal FX E-Trading business to match their offsetting execution and hedging interest against one another. By design it provides our clients with greater access to Citi’s diverse and extensive internal liquidity if they choose to ‘Include Citi Liquidity’ when using our Algo platform – do not select this option if you prefer to exclude Citi liquidity. Adding CFX to our Algo, eTrading and voice trading businesses enables us to increase internalization of our spot FX flows which may reduce the market impact of our customers' electronic deal flow.

  • Internalization, draw on the strength of CitiFX®

Ripple and Internal Match are internalization strategies which execute against Citi’s electronic price streams, with execution speed a function of both estimated market volumes and flows from Citi’s eTrading franchise. Ripple and Internal Match will generally only trade with Citi’s eTrading business via Citi electronic price streams when they are able to do so at or inside the primary market bid/offer spread.

Both strategies are similar in design, with 3 key differentiators:

  1. Internal Match can interact at increased frequency with offsetting inventory from Citi’s eTrading franchise.
  2. Internal Match executions that are risk reducing to Citi’s eTrading franchise will generally execute at a rate that is closer to market mid.
  3. Internal Match posts resting interest to CFX at a market mid-rate (whereas Ripple does not participate in CFX).
  • Avoid crossing spreads†

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 in direct pairs. 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.

Peg seeks to limit market impact by running an independent peg on each venue, with order sizes based on liquidity on either side of the top of book 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).

When Citi Liquidity is included, externally posted orders are replicated in CFX and additional resting interest may be posted in CFX at a market mid-rate in order to maximise internalization opportunities.

Parameters

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

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

Silent Partner adapts the Peg strategy by adding a minimum pace in proportion to estimated market activity. There are 5 pace settings available to select and each is a function of our volume model which is calibrated to reflect real-time market activity in each currency pair.

Silent Partner uses the Peg strategy to work interest passively in multiple venues and only crosses the spread in direct pairs when the execution pace falls below the order’s minimum volume participation setting (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. When Citi Liquidity is included, externally posted orders are replicated in CFX and additional resting interest may be posted in CFX at a market mid-rate in order to maximise internalization opportunities.

Parameters

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

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

  • Execute evenly over a set interval

TWAP is designed to achieve a final gross rate that reflects the market 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 work interest passively within the specified schedule. TWAP only crosses the spread in direct pairs when the order’s execution pace falls behind the schedule set by the user. 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 Citi Liquidity is included, externally posted orders are replicated in CFX and additional resting interest may be posted in CFX at a market mid-rate in order to maximise internalization opportunities.

TWAP2 (Small Slice) reduces TWAP’s minimum clip size and restricts passive order placement to 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: Include Citi Liquidity, Smaller Order Size, Full or Core Liquidity Pool, Value Date (defaults to spot)

  • Take available liquidity without posting interest

Sweep is a liquidity seeking strategy designed to sweep all liquidity from available selected markets within the trader’s limit price. After the initial sweep, it will continue to aggress on new market prices that it receives within limit price until the full order notional has been filled. Sweep does not post interest to any external markets but it may post resting interest to CFX at a market mid- rate when Citi Liquidity is included.

Note: Maximum aggressive sweep distance limits are applied on a currency pair basis.

Parameters

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

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

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

Post and Sweep is a liquidity seeking strategy 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 into the primary market at the trader’s limit price in increments of one million of base currency at a time, replenishing each time the order is filled. Any subsequent 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. When Citi Liquidity is included, externally posted orders are replicated in CFX and additional resting interest may be posted in CFX at a market mid-rate in order to maximise internalization opportunities.

Note: Maximum aggressive sweep distance limits are applied on a currency pair basis

Parameters

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

Optional: Discretion Value (Pips), Trigger Price, Include 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.