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Quantitative Brokers Unveils Interest Rate Futures Algos

Quantitative Brokers announced the official launch of a suite of algorithmic strategies to trade U.S. interest rate futures, a platform that's been used by a number of hedge funds, bank trading desks and commodity trading advisors since July.

Quantitative Brokers announced the official launch of a suite of algorithmic strategies to trade U.S. interest rate futures, a platform that's been used by a number of hedge funds, bank trading desks and commodity trading advisors since July.

The firm said the algorithms were designed to accommodate the unique pro-rata and FIFO matching engines for CME Eurodollar and Treasury futures. The algorithms also provide traders with anonymity as they search for price or volume improvements through sophisticated order book placement and real-time analytics, the company added.

Quantitative Brokers said the gap in the market for algorithmic execution of interest rate products was a driving force behind developing the algorithms.

“We saw the complexity of the interest rate market as an opportunity,” said Robert Almgren, the founder of Quantitative Brokers said in a statement. “For example, the pro-rata matching engine for Eurodollars and Treasury spreads has interesting implications on how to size orders to increase the probability off passive fills.”

Almgren also said that the firm analyzed how to calculate the presence of hidden and implied liquidity on the CME, which most traders are not even fully aware exists, but can often provide price and volume improvement.

“All of these factors have a tremendous impact on how an algorithm should place orders into these markets to achieve best execution,” Almgren said.

As the Senior Editor of Advanced Trading, Justin Grant plays a key role in steering the magazine's coverage of the latest issues affecting the buy-side trading community. Since joining Advanced Trading in 2010, Grant's news analysis has touched on everything from the latest ... View Full Bio

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