Bloomberg Tradebook Modifies Algorithms for Japan's Special Quote Days

Bloomberg Tradebook has enhanced six low-touch algorithms to allow them to participate intelligently in Special Quote (SQ) Days in Japan that coincide with the expiration of stock options and equity index futures.

SQ Days can result in significant spikes in opening volumes, which can affect the ability of algorithms to effectively carry out their mandates, according to Bloomberg Tradebook. This is particularly true for "Big SQ Days" when equity index futures expire as well as for "Mini or Small SQ Days" when stock options expire.

Bloomberg Tradebook conducted extensive research into the Opening trading patterns - including volume and average percentage increases – of stocks underlying equity index futures and options to ascertain how they are affected at the opening on SQ Days.

The next Big SQ Day is Friday, September 11, presenting Bloomberg Tradebook users with the ability to take advantage of the optimized algorithms in conjunction with their trading on futures underlying various equity indices.

Drawing upon this research, Bloomberg Tradebook has optimized the six algorithms. "Trading during the opening on SQ Days has presented challenges to traders who use various algorithms," stated Gary Stone, director of trading research for Bloomberg Tradebook in a media advisory. "The changes we have implemented based on our proprietary research will allow traders to continue benefiting from using our low-touch algorithms."

The next Mini SQ Days are October 9 and November 13, and the last Big SQ day for the year is December 11.

Ivy is Editor-at-Large for Advanced Trading and Wall Street & Technology. Ivy is responsible for writing in-depth feature articles, daily blogs and news articles with a focus on automated trading in the capital markets. As an industry expert, Ivy has reported on a myriad ... View Full Bio