Pragma algo to exploit unusually predictable fix trading patterns
Five-minute fixing window created highly readable patterns
Trading patterns during the WM/Reuters fixing window have become unusually predictable since the window was widened to five minutes, making it possible to exploit flows, according to research from algorithm specialist Pragma Securities.
On the back of the findings, Pragma is launching an algorithm dubbed SmartFix, which has been designed to help firms trade the 4pm WM/R FX benchmark, improve execution quality and make the most of the trading patterns that develop during the five-minute window.
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