1-Minute Bin Volume Forecast Model

September 14, 2016 - In response to strong client demand, Quantitative Brokers (QB) has developed a new algorithm called Closer that specifically targets the daily settlement price as the performance benchmark. (In the case of US equity index products, we use the cash close). The research and development focus of this implementation has been to deliver more precise volume, volatility, and quote size forecasts at the 1-minute interval level. This forecasting is instrument specific and also incorporates seasonal adjustments for month-end, quarter-end and roll periods. The Closer algorithm allows traders to place a simple order instruction, without the need to set parameters. The benchmark time will be automatically selected and the execution window optimally determined by granular volume forecasts.

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