Pragma algo to exploit unusually predictable fix trading patterns

Five-minute fixing window created highly readable patterns

david-mechner
David Mechner, Pragma Securities: the trading patterns in the widened WM/R fixing window are stronger at month and quarter end

Trading patterns during the WM/Reuters fixing window have become unusually predictable since the window was widened to five minutes, making it possible to exploit flows, according to research from algorithm specialist Pragma Securities.

On the back of the findings, Pragma is launching an algorithm dubbed SmartFix, which has been designed to help firms trade the 4pm WM/R FX benchmark, improve execution quality and make the most of the trading patterns that develop during the five-minute window. 

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