March 23, 2011

Morgan Stanley announced the rollout of an over-the-counter algorithmic trading platform that provides institutional investors with flow-weighted average pricing in currencies.

Morgan Stanley Fix, which the firm describes as V-WAP for FX trading, is designed to minimize the chance of trading on extreme prices within an execution window, the company said.

"Institutional investors can incur significant additional cost if currency transactions are not carefully managed," Morgan Stanley Executive Director Paul Aston said in a statement.

The firm said that since dealers in OTC currency markets don't officially report transaction volumes, Morgan Stanley Fix generates VWAP for currencies by estimating volume. In order to do so, the firm's Quantitative Solutions and Innovations unit measures intraday liquidity cycles, which are then used as the basis for its FX VWAP.

Morgan Stanley said the new platform was built as a result of high demand among institutional clients for currency execution benchmarking and transaction cost analysis for the FX market.

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