Citi revamps algos to improve sweep impact predictions

Bank works to make some aggressive strategies more intelligent when handling liquidity and filling orders

algorithm
Sweeping the board: new versions of two algos are currently being fine-tuned

Citi is revamping some of its more aggressive algorithm strategies, using predictive analytics to upgrade their intelligence so that liquidity is better managed and the quality of orders filled in the $5 trillion-a-day currency markets is increased.

New versions of two algos – the post-and-sweep and the sweep – are currently being fine-tuned in production for the bank’s traders, FX Week has learned. From the user’s perspective they will look the same, but are being redesigned to offer more

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