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.

Execute over a set interval

And achieve a rate reflecting a time-weighted average price

What it is designed to do

TWAP attempts to execute at a rate that is reflective of the time-weighted average bid/offer price in the currency pair's primary market over the duration of the order (provided that the market has not moved beyond the designated limit price). This strategy breaks an order into even-sized clips, executing at regular intervals over a specified time, and attempts to complete as much as possible on the passive side of the book by posting passively to multiple venues, taking advantage of the notable additional liquidity in the secondary venues. (TWAP uses PEG strategy for passive order management). TWAP only crosses for what it didn't achieve passively in each interval.

** TWAP2 (Small Slice) makes the strategy post smaller clip sizes to ECNs that can accept these. It would mainly be used to more closely reflect a time-weighted average price for a relatively small order.

Parameters

The strategy uses a number of optional and mandatory parameters.

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

Optional: Trigger Price, Use Citi Liquidity, Smaller Order Size, Full or Core Liquidity Pool

Target market liquidity

And minimise your trading footprint

What it is designed to do

Silent Partner is a trading strategy designed to execute at a rate consistent with prevailing liquidity conditions. It can be run at a range of settings that target set participation levels of the primary interbank liquidity pools for each currency.

The algorithm estimates the volume dealt in the primary market for the currency pair over the past few minutes and determines how much liquidity to target in order to minimise footprint in the market.

It attempts to complete as much of the order on the passive side of the price as possible by posting orders close to or at the top of book by posting passively to multiple venues taking advantage of the notable additional liquidity in the secondary venues. (SP uses PEG strategy for passive order management). The strategy only crosses the spread when completion rates fall behind targets set by the liquidity model.

Parameters

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

Optional: Trigger Price, Use Citi Liquidity, Full or Core Liquidity Pool

Draw on the strength of CitiFX®

And clear risk quietly at or inside the primary market spread

What it is designed to do

Ripple executes orders directly against Citi liquidity provided by a price stream it receives from our principle electronic market-marking engine and will only trade at or inside the primary market bid/offer spread. To reduce the overall execution time and therefore the duration of your position risk, the strategy will seek to accelerate its pace against opportunistic price points identified from the electronic trades from Citi's global client base.

The algorithm continuously compares the interbank market on EBS and Reuters to an interest stream it receives from our electronic market-making engine. When it can trade at or inside the market, it will do so and it varies its execution frequency based on the amount of flow going through our electronic book.

Parameters

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

Optional: Trigger Price

Avoid crossing spreads

What it is designed to do

Peg is a strategy designed to quietly float at the top of book. It posts into multiple venues, taking advantage of the notable additional liquidity in the secondary venues. The strategy seeks to limit market impact by running each venue as an independent peg, allowing for an untraceable and unpredictable order placement footprint between venues. It will naturally favor venues that have higher passive fill rate.

It will join the top of book for an amount that is adjusted according to available liquidity on either side of the price. Provided that the market has not moved beyond the parent order's designated limit price, it will adjust its peg at a random time value within a range that is defined per currency pair (less liquid pairs will update less frequently).

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

Execute with tactical precision

What it is designed to do

This approach targets a market level designated by the trader. It will place interest at the specified limit price and sweep any liquidity within a pip discretion value if selected.

It will place orders in 1 million of base currency at a time and does not float. It will sweep any liquidity within the discretion limit designated by the trader.

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

Take available liquidity without posting interest

What it is designed to do

This approach is designed to sweep all available liquidity from the specified markets within the trader's limit price.

It will not post any interest and it will take everything up to and including all liquidity at the limit price.

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

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.

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  • For more information about Citi Intelligent Orders, please email citifxio@citi.com.