D-Quote Update

Traders like flexibility but auction quality is little changed

Phil Pearson, CFA, Director, ITG Algorithms and Fangyl Li, Assistant Vice President, ITG Algorithms

Overshadowed in the hoopla of the “Trump bump,” closing auction sizes have quietly but meaningfully grown over the past nine months, garnering a larger share of daily trading activity. Due to the rise of indexing in recent years, the close has received more attention on trading desks and among mainstream media. As auction sizes have increased amid a slow intraday trading environment, there has been a major uptick in interest in more innovative tools and methods of trading around the close. Anecdotally, we have seen an increase in interest among institutional trading desks in utilizing the discretionary quote (D-Quote) rather than submitting traditional market-on-close and limit-on-close orders (MOC and LOC). This uptick has included direct order flow as well as within our algorithmic offering.


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