Algo trading comes to options
Electronic trading looks set to start accelerating in options.
GFI has confirmed that one of its US-based clients executed an algorithmic trade in late May; since then, the client has traded algorithmically on numerous further occasions.
GFI says that it added a FIX-based API to its ForexMatch platform in April. The bank that did GFI’s first algo trade, believed to be in a short-dated G7 currency pair, is then traded the option’s gamma through its algo on to various spot platforms.
Paul Millward, products manager, FX options trading at GFI, says that several other banks are currently testing the API. “At the moment, we think it will be used for mainly vanilla options. We think that potentially it will lead to an increase in liquidity and that it will follow the same model as the spot market.”
Although GFI is the first broker to announce an algo option trade, Larry Rosenshein, chief operating officer of TFS-Icap, says it also has clients trading through an API. “Clients can access our Volbroker platform via an API. We have been trading with a client [bank] algorithmically via our API for the last few months in different currency pairs including AUD/USD, EUR/USD, USD/CAD EUR/JPY and EUR/GBP to name a few.