Bank of America Merrill Lynch has made several significant enhancements to its algorithmic trading platform for Canadian equities, the unit of Bank of American Corp. said Monday.

The enhancements include the introduction of several well-known algorithms to Canada and other changes designed to deliver improved execution performance for clients.

“Investors in Canadian equities are constantly looking for ways to optimize their trading strategies and we are pleased to introduce these enhancements, which are based on detailed quantitative analysis and supported by a dedicated local trading desk,” stated Michael J. Lynch, head of Americas Execution Services.

“Market structure changes in Canada require ongoing development and investment in our algorithmic suite and create opportunities for strategies like Instinct,” added Daniel Nachtman, Algorithms Product Manager.

Enhancements to the platform include:

• Introduction of the popular Instinct algorithm to Canada, designed to effectively execute small- and mid-cap stocks.
• Launch of a new Quantitative Implementation Shortfall algorithm (QIS). Bank of American Merrill Lynch notes QIS increased benchmark performance approximately 30% in its U.S. implementation.

• Enhancements to the limit order model and introduction of micro-price logic, tailored specifically to suit the Canadian market microstructure.

• Interlisted trading engine that analyzes real-time FX rates and consolidated market data in order to provide efficient U.S.-Canada cross border execution and settlement.

• More than 20 additional improvements to existing algorithms.

Bank of America Merrill Lynch is a global provider of equity and options trading, sales and research services to mutual funds, hedge funds, broker-dealers, pensions, endowments and other institutions.

IE