Bank of America Merrill Lynch has made several changes to its algorithmic trading platform for Canadian equities, including the introduction of several algorithms to Canada and other changes designed to deliver improved execution performance for clients.
The improvements to the platform include introduction of the Instinct algorithm to Canada to execute small-and mid-cap names, launch of a new Quantitative Implementation Shortfall algorithm (QIS).
Enhancements to the limit order model and introduction of micro-price logic to suit the Canadian market microstructure, interlisted trading engine that analyzes real-time FX rates and consolidated market data in order to provide cross border execution and settlement (US and Canada). It has also added more than 20 new improvements to existing algorithms, including improved spread sensitivity for the ‘Getdone’ strategy.
Michael Lynch, head of Americas execution services at Bank of America Merrill Lynch, said: “Investors in Canadian equities are constantly looking for ways to optimize their trading strategies and we are pleased to introduce these enhancements, which are based on detailed quantitative analysis and supported by a dedicated local trading desk.”
Daniel Nachtman, algorithms product manager, said: “Market structure changes in Canada require ongoing development and investment in our algorithmic suite and create opportunities for strategies like Instinct.”
