Bloomberg Anywhere Remote Login Bloomberg Terminal Demo Request


Connecting decision makers to a dynamic network of information, people and ideas, Bloomberg quickly and accurately delivers business and financial information, news and insight around the world.


Financial Products

Enterprise Products


Customer Support

  • Americas

    +1 212 318 2000

  • Europe, Middle East, & Africa

    +44 20 7330 7500

  • Asia Pacific

    +65 6212 1000


Industry Products

Media Services

Follow Us

Bloomberg Customers

ITG Creates Algorithm for Investors Trading Around Market Close

Investment Technology Group Inc. is introducing an algorithm for customers trading at the end of the day, when institutional investors tend to do a large amount of buying and selling.

The automated trading strategy seeks to determine in real time how much of the order should be executed before or during the auction that sets the closing price for exchange-listed securities, Jeff Bacidore, New York-based head of algorithmic trading at ITG, said in a telephone interview.

“People are saying, ‘We know the close is a very liquid time of day. How do we trade most effectively around it?’” Bacidore said.

During the 4 p.m. auction, exchanges match requests to buy and sell stock as part of the process to calculate closing prices. A stock’s price may be affected when exchanges disseminate information about the difference between buy and sell interest, called imbalances, ITG said. The company’s algorithm determines when it makes sense to trade before that data is released.

NYSE sends data on imbalances at 3:45 p.m. and Nasdaq Stock Market at 3:50 p.m. The 30 minutes before the auction usually account for 18 to 20 percent of the day’s volume, according to the New York-based brokerage.

The algorithm processes the size of the order and other data to determine how much to put in the auction and whether to trade before the imbalance information is released. The product will be available to clients starting today, replacing a previous ITG algorithm focused on the close of trading.

Please upgrade your Browser

Your browser is out-of-date. Please download one of these excellent browsers:

Chrome, Firefox, Safari, Opera or Internet Explorer.