Credit Suisse Expands FX Algos
Among the new algorithms will be a volume-weighted average price (VWAP) algorithm, which calculates the value of trade by the trade volume over a given period, officials say. Additionally, the bank will also offer in line, which trades in line with the volume that is going through at any particular time period.
Other strategies include the float discretion strategy, which enables users that are sitting on a bid or offer and see a certain size on the other side, to cross the spread for that size
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