Perform

Algorithmic Trading
Citigroup's Algorithmic Trading it's not just about making the right call, it's about having the
right equipment – the kind of customised tools and knowledge that put you in control. We know
that Algorithmic Trading comes in all kinds of shapes and sizes. It's why the solutions we deliver
are as unique and as diverse as our clients. Put the Customised Algorithmic Trading of Citigroup
to work for you.

Current Models

• VWAP

• Participation

• MOC

• TWAP / Smart Slice

• IS

Current Functionality-Smart Orders

• Start Stop, Duration

• Min, Max % Volume

• Price Limit Benchmark

• Sector Limit Tolerance

• Index Limit Tolerance

• Price Limit Tolerance

• Trading Style

Alternative Execution Sales

London +44 20 7986 0203
Frankfurt +49 69 1366 8206
Paris +33 1 7075 5301
algo@citigroup.com
 Alternative Execution
www.citigroupcib.com
© 2006 Citigroup Global Markets Limited. This material has been prepared by individual sales and/or trading personnel of Citigroup or its subsidiaries or
affiliates and not by Citigroup's research department. It is not investment research or a research recommendation for the purposes of FSA rules, as it
does not constitute substantive research or analysis. This material is provided for information purposes, is intended for your use only and does not
GRA17111 03/06

constitute an invitation or offer to subscribe for or purchase any of the products or services mentioned. Citigroup shall have no liability, contingent or
otherwise, to the user or to third parties, for the quality, accuracy, timeliness, continued availability or completeness of the data, calculations nor for any
special, indirect, incidental or consequential damages which may be experienced because of the use of the data made available herein. This document
and its contents are proprietary information and products of Citibank and may not be reproduced or otherwise disseminated in whole or in part without
Citibank’s written consent.
 Clarity

BECS
Best Execution Consulting Services, is a complete suite of transaction cost management tools
providing institutional investment managers with pre- and post-trade transaction cost analysis
for global equities. This product supports multiple trading cost methodologies including
implementation shortfall and intra-day benchmarking.

Citigroup have integrated pre- and BECS Data facts

post-trade analysis on BECS. This
offers our client base one system to • State-of-the-art security systems
achieve best execution, through
detailed analysis of multiple trades • 100% confidentiality independently
audited
and peer group comparison. It is a
fully customisable, state of the art
front office offering. BECS can be
• Only aggregated data available
to other users
provided through the web, as a stand
alone application, or through several • All data held outside of Citigroup

Order Management Systems. • Client set up and support independent

of Citigroup

• VeriSign protection software certified

Citigroup CODELAB Technology Group

Aggregated Data All Data
BECS Pre & Post Trade Client Data Buffer Zone –
Application Development CCR and VeriSign Certified
Data Loading and Administration
Custom client request Distribution of Username
and Password

Development Requests Trade Processing

Client
 BECS Pre trade

• Analysis based on real trading data

• Fully transparent model independently

verified and separately developed for
different regions

• Provide accurate impact cost and time-

to-fill for individual orders and portfolios

• Associate a confidence level for each

pre - trade calculation

• Compare with post - trade analysis

results in order to validate results

• Estimate tracking error based on rate of

unwind

• Estimate liquidity function trade off

between cost and time-to-fill

• Accommodate user-defined inputs

• Provide optimal trade scheduling

BECS Post trade

• Sophisticated post-trade transaction

cost analysis

• Multiple screening parameters

• Multiple benchmarking

• Report generation with drill down

interrogation

• Calculates transaction costs

• Peer group comparison

• Universe comparison

• Customisable to clients requirements

Alternative Execution Sales

London +44 20 7986 0203
Frankfurt +49 69 1366 8206
Paris +33 1 7075 5301
ae.europe@citigroup.com

Alternative Execution
www.citigroupcib.com
© 2006 Citigroup Global Markets Limited. This material has been prepared by individual sales and/or trading personnel of Citigroup or its subsidiaries or
affiliates and not by Citigroup's research department. It is not investment research or a research recommendation for the purposes of FSA rules, as it
does not constitute substantive research or analysis. This material is provided for information purposes, is intended for your use only and does not
GRA17111 03/06

constitute an invitation or offer to subscribe for or purchase any of the products or services mentioned. Citigroup shall have no liability, contingent or
otherwise, to the user or to third parties, for the quality, accuracy, timeliness, continued availability or completeness of the data, calculations nor for any
special, indirect, incidental or consequential damages which may be experienced because of the use of the data made available herein. This document
and its contents are proprietary information and products of Citibank and may not be reproduced or otherwise disseminated in whole or in part without
Citibank’s written consent.
 Access

Direct Market Access

Citigroup offers Direct Market Access for global markets through best of breed specialist solutions.
You’ll be in full control of order flow with an easy to use technology that is fast, dependable, and
provides a link between the institution and the markets directly.
Everything is facilitated by FIX, the industry standard message protocol.
Key Benefits:

• Dedicated DMA Trading Support desk staffed by market professionals to support clients

• Anonymous Trading, separate from main Trading Floor

• Risk Control profiles and limits which can be tailored to individual client needs

Neonet XG Lava Trading: Lava Trading:

Citigroup use the Neonet eXchange
Gateway product to power the
European DMA offering:
• High Speed - Low Latency
Infrastructure and system design with
high - speed circuits to exchanges.
• Scalable - This dedicated platform has
been designed to handle large volumes
without compromising speed. The
platform is highly scalable for future
growth.
A Trading Solution that represents
the most complete access to Listed
Liquidity
Speed
• Multi parallel processing Technology
• UHS: Ultra High Speed Software
• Dedicated connections to Markets
Intelligence
• Intelligent Interfacing
The Ultimate Aggregator
Lava Trading, a wholly owned subsidiary
of Citigroup, and an integral piece of
Citigroup Global Markets Direct Market
Access Product, offers intelligent order
routing and execution strategies to
brokers and institutions. It's the
ultimate aggregator with access to all
channels of execution maximising
access to liquidity, speed, reliability and
high performance market data feeds.
Lava also provides you with anonymous

• Advanced - The platform supports all

exchange orders types plus multiple
synthetic order types.
• Experienced - Neonet is one of the
pioneers in electronic trading for
professional investors and has over
ten years expertise in the DMA space.
• Customisable Front End GUI
trading for the buy-side using a
multi-broker system via the sponsoring
• Patented Features broker program, which allows for
advanced order types to optimise
execution and detect hidden reserves.
Reliability
• Fault Tolerant Connections
• Redundant Servers for all trade flow
• Trading & Execution data completely
recoverable
 Global DMA Platform

• Direct Access in excess of 20 markets

and growing

• Multi Vendor availability to deliver

results

• Connection to over 25 vendor

supplied OMS, 12 Fix Networks &
customer proprietary systems

• Dedicated Alternative Execution Desk

• Electronic access to exchanges, ECNs,

Crossing Engines and Smart Servers
allowing access to global equity
exchanges and ECNs at reduced
commission rates

Alternative Execution Sales

London +44 20 7986 0203

Frankfurt +49 69 1366 8206
Paris +33 1 7075 5301
DMA
Trading desk +44 20 7986 0250
ae.europe@citigroup.com

Alternative Execution
www.citigroupcib.com
© 2006 Citigroup Global Markets Limited. This material has been prepared by individual sales and/or trading personnel of Citigroup or its subsidiaries or
affiliates and not by Citigroup's research department. It is not investment research or a research recommendation for the purposes of FSA rules, as it does not
GRA17111 04/06

constitute substantive research or analysis. This material is provided for information purposes, is intended for your use only and does not constitute an
invitation or offer to subscribe for or purchase any of the products or services mentioned. Citigroup shall have no liability, contingent or otherwise, to the user
or to third parties, for the quality, accuracy, timeliness, continued availability or completeness of the data, calculations nor for any special, indirect, incidental
or consequential damages which may be experienced because of the use of the data made available herein. This document and its contents are proprietary
information and products of Citibank and may not be reproduced or otherwise disseminated in whole or in part without Citibank’s written consent.
 Quality

Programs
Citigroup’s Alternative Execution group has the technology and capability to provide a global
execution platform for the institutional client offering a comprehensive range of trading solutions.
Our overriding focus is to provide intelligent and efficient execution strategies that best suit the
individual investment criteria of our clients. The following techniques can all be utilised to invest
new cash flows, implement asset allocations, rebalance funds, implement long/short and quantitative
active funds, and manage the complex transactions involved in portfolio and manager transitions.

Key Benefits Pure agency Agency with a floor

• Market-leading trading technology

and unrivalled access to all major
global markets.
The basis for all execution, whereby
CGML work your portfolio under a
‘best efforts’ basis to meet your specific
Enables the client to trade on an agency
basis as above but is aware of the
exposure to market risk from the

• Award winning pre-trade analytics

and skilled consultation to manage
effective execution.
• Cost effective management of large
number of transactions across multiple
regions, whilst maintaining the
complete integrity of the portfolio
throughout the transaction period.
• Direct access to Citigroup’s multiple
pools of liquidity greatly reduces impact
and transaction costs.
• Customised client-focused transaction
reporting and post-trade analysis.
• VWAP: to target the Bloomberg AQR
needs. Your portfolio will be run through
‘pre-trade analytics’ to assist in
highlighting any specific problem areas
moment of implementation. We offer
to limit the client’s down-side risk
from underperforming their chosen
(i.e. liquidity) in order that we may advise benchmark by providing a guaranteed
the best approach to each specific
transaction and market. The client is
‘floor’, whilst maintaining their complete
exposure to possible out performance.
however fully exposed to market risk and
opportunity cost if unable to complete
Incentive benchmark
the trade; therefore the total transaction
cost can be difficult to estimate. Offers the client the chance to grade
Within this framework the following
their commission relative to the
performance achieved against their
benchmarks are commonly adopted:
chosen benchmark. The commission is
across a basket of stocks over the day
scaled by the client according to the
relative performance achieved; it is
or from when the trade is initiated. essential that the benchmark and

• CD: to work careful discretion or work

with volume.
agreed target is realistic, achievable,
and measurable for the related trade,
and that the commission levels are
• Market Close (MOC): to trade at the last
price of the day, excluding last tick markets.
commensurate to the risk involved.

• Previous Close: to target the previous days

close and minimise any overnight shortfall.

• Within all of these it is common to

specify volume restrictions (25%) and
limits from the previous close (5%)

• Implementation Shortfall (IS): to

minimise, and measure execution
from agreed start time.
 Guaranteed benchmark
In many cases the client wishes to
eliminate all performance risk relative
to their chosen benchmark, and often
opts for a guaranteed performance
and a guaranteed completion. This
choice maintains all the market risk
and opportunity cost, but has
effectively locked in a required
Risk/Principal Clients normally provide the following
information in order that CGML may
Principal trading is an intrinsic
formulate a competitive bid:
method of execution for many clients
as it effectively eliminates any market
• Portfolio Value by country
impact or opportunity cost by passing
all the transaction risk onto the
broker. The client is charged a
• Weighted average daily turnover for
the portfolio broken down into bands
carefully determined premium/
commission based upon the disclosed
• Portfolio Sector Weightings

performance level before dealing. This

normally equates to guaranteed
VWAP (Bloomberg AQR) over the
whole day or part of the day, or
Guaranteed Close price.
We assume all the risk of possible
underperformance associated with
such a transaction and charge an
appropriate commission that
represents this accordingly.
characteristics of the portfolio ahead
of dealing. It benefits the client who
wishes to execute a transaction at a
single point in time in order to
essentially ‘snapshot’ a required
market level or effectively guarantee
the transaction cost entirely.
• Number of stocks per side, shares per
side, number of accounts
• Portfolio Tracking Error within,
and versus any local Indexes
We also provide the opportunity to
execute Exchange for Physicals (EFP)
and Basis Trades if clients have
exposure to index futures that they
wish to unwind or reverse.

Image of PTE

Alternative Execution Sales

London +44 20 7986 0203
Frankfurt +49 69 1366 8206
Paris +33 1 7075 5301
ae.europe@citigroup.com

Alternative Execution
www.citigroupcib.com
© 2006 Citigroup Global Markets Limited. This material has been prepared by individual sales and/or trading personnel of Citigroup or its subsidiaries or
affiliates and not by Citigroup's research department. It is not investment research or a research recommendation for the purposes of FSA rules, as it
GRA17111 03/06

does not constitute substantive research or analysis. This material is provided for information purposes, is intended for your use only and does not
constitute an invitation or offer to subscribe for or purchase any of the products or services mentioned. Citigroup shall have no liability, contingent or
otherwise, to the user or to third parties, for the quality, accuracy, timeliness, continued availability or completeness of the data, calculations nor for any
special, indirect, incidental or consequential damages which may be experienced because of the use of the data made available herein. This document
and its contents are proprietary information and products of Citibank and may not be reproduced or otherwise disseminated in whole or in part without
Citibank’s written consent.
 Optimise

Strategies
The Global Portfolio Trading Strategies team provides customised analysis for portfolio managers
in the areas of portfolio construction, risk analysis, market commentaries, index change alerts
and program trading.

Portfolio Analysis Optimisation Futures Optimiser

Analysis is provided for a portfolio’s
characteristics relative to its benchmark,
which includes absolute and relative risk,
as well as exposures to growth, value
and momentum. Using optimisation
the portfolio can then be tilted towards
a certain measure.
Contribution to risk analysis provides
information on the risk that is inherent
in the portfolio and benchmark. The
analysis may be broken down by stock,
industry, sector and country. Tilts are
shown using implied alpha analysis
to represent areas where the portfolio
manager expects to outperform /
underperform relative to the benchmark.
Dedicated software is provided to
allow the client to analyse a portfolio
interactively.
Optimal baskets of stocks can be
provided to minimise the expected
tracking error against a benchmark.
Alphas and restrictions can be
incorporated as part of the optimisation
process to maximise on a particular
score as well as taking into account
constraints such as turnover; industry
and country weights; holding size or
transaction costs.
An interactive Excel-based tool for
creating optimal baskets of futures
to track a chosen benchmark.
Basket Maker
An interactive Excel-based tool for
creating optimal tracking baskets,
which presents the final portfolio
with a tracking error, individual stock
weightings and number of shares
to buy/sell. The basket can be linked
to Reuters or Bloomberg to enable
real-time pricing.

Futures Optimiser
 Long Short
An interactive Excel-based product
which provides a suite of tools that
examine various aspects of the risk
and performance for a one-or two-
way portfolio. The tool draws live
and historical data from Bloomberg
to determine beta, VAR, volatility,
performance and pairs analysis.

Program Trading
Market leading pre-trade and post-
trade tools providing full trading
support, from predicting market
impact analysis through to a fully
customised and interactive post- Long Short Analysis
trade product. The pre-trade
analysis incorporates a detailed
liquidity, volume and volatility
breakdown, while the post-trade
provides execution analysis versus
all major benchmarks.

Long Short Analysis Pairs

Alternative Execution Sales

London +44 20 7986 0203
Frankfurt +49 69 1366 8206
Paris +33 1 7075 5301
ae.europe@citigroup.com
gpts@citigroup.com

Alternative Execution
www.citigroup.com
© 2006 Citigroup Global Markets Limited. This material has been prepared by individual sales and/or trading personnel of Citigroup or its subsidiaries
or affiliates and not by Citigroup's research department. It is not investment research or a research recommendation for the purposes of FSA rules, as it
does not constitute substantive research or analysis. This material is provided for information purposes, is intended for your use only and does not
GRA17111 03/06

constitute an invitation or offer to subscribe for or purchase any of the products or services mentioned. Citigroup shall have no liability, contingent or
otherwise, to the user or to third parties, for the quality, accuracy, timeliness, continued availability or completeness of the data, calculations nor for any
special, indirect, incidental or consequential damages which may be experienced because of the use of the data made available herein. This document
and its contents are proprietary information and products of Citibank and may not be reproduced or otherwise disseminated in whole or in part without
Citibank’s written consent.

Citigroup Algorithmic Trading Strategies
Strategy What it does
VWAP Follows the historical volume profile,
releasing volume every 5/15/25
minutes depending on order size
and duration.
TWAP Follows a constant volume profile,
releasing slices of the order at
intervals depending on its size and
duration.
Implementation Uses the BECS pre-trade model to
Shortfall determine an optimal end time and
profile shape, to minimize impact for
a given level of risk aversion.
Participate Targets the proportion of volume
dictated by the Max % Volume
parameter.
MOC Puts the order in the closing auction.
When and how to use it
VWAP has the lowest impact over a
given trading interval and so should be
used when there is no strong alpha over
the lifetime of the trade. Min % volume
can be used to adjust the end time of
the order based on liquidity, max %
volume can be used to control impact.
Useful when trading over a short
interval. The number of slices can
be controlled using ‘TWAP buckets’
All purpose strategy. Trading style can be
set to ‘Passive’, ’Active’ or ‘Urgent’,
corresponding to approximately 5%, 15%
and 30% of the volume. The constraints
work the same way as VWAP.
Works well for less liquid stocks where
there is a volatile volume profile: but
should always be used with a price limit
to avoid participation in price spikes.
Impact can also be controlled by using a
low value of min % vol.
If benchmarked to the close, or
executing small orders at the end
of the day.
Perform
Parameters
Price; Start Time; End Time; Duration
Min % volume; Max % volume
Price, Sector, Index Limits (%),
specified relative to open, close
or arrival price
Price; Start Time; End Time; Duration
TWAP Buckets
Price, Sector, Index Limits (%),
specified relative to open, close
or arrival price
Price; Start Time; End Time; Duration
Trading Style
Min % volume; Max % volume
Price, Sector, Index Limits (%), specified
relative to open, close or arrival price
Price; Start Time; End Time; Duration
Min % volume; Max % volume
Price, Sector, Index Limits (%), specified
relative to open, close
or arrival price
Price
Price, Sector, Index Limits (%), specified
relative to open, close or arrival price
 EMEA Market Information
Opening Auction Continuous Intraday Closing
Settlement Time Zone Pre-Open Round Lots
(uncrosses) Trading Auction Auction

Austria T+3 GMT+1 7:30 8:20 8:15 to 6:30 11:00 to 1:03 16:30 to 16:32 1

Belgium T+3 GMT+1 6:15 8:00 8:00 to 16:25 - 16:25 to 16:30 1

Denmark T+3 GMT+1 7:00 8:00 8:00 to 15:50 - 15:50 to 16:00 Varies
Danske Bank 50 shares

Finland T+3 GMT+2 6:30 8:00 8:00 to 16:20 - 16:20 to 16:30 Varies
Nokia 50 shares

France T+3 GMT+1 6:15 8:00 8:00 to 16:25 - 16:25 to 16:30 1

Germany T+2 GMT+1 6:30 8:00 8:00 to 16:30 12:00 to 12:02 16:30 to 16:35 1

Ireland T+3 GMT 7:50 8:00 8:00 to 16:30 - 16:28 to16:30 1

Italy T+3 GMT+1 7:00 8:05 8:05 to 16:25 - 16:25 to 16:35 1

Netherlands T+3 GMT+1 6:15 8:00 8:00 to 16:25 - 16:25 to 16:30 1

Norway T+3 GMT+1 7:15 8:00 8:00 to 15:20 - 15:20 to 15:30 Varies
Statoil 50 shares

Portugal T+3 GMT 7:15 8:00 8:00 to 16:25 - 16:25 to 16:30 1

South Africa T+5 GMT+2 6:00 7:00 7:00 to 14:50 - 14:50 to 15:00 1

Spain T+3 GMT+1 7:30 8:00:30 8:00:31 to 16:30 - 16:30 to 16:35 1

Sweden T+3 GMT+1 6:30 8:00 8:00 to 16:20 - 16:20 to 16:30 Varies
Ericsson 1000 shares

Switzerland
T+3 GMT+1 5:00 8:00 8:00 to 16:20 - 16:20 to 16:30 1
(SMX)

Switzerland
T+3 GMT+1 5:00 8:00 8:00 to 16:20 - 16:20 to 16:30 1
(Virt-X)

UK T+3 GMT 7:50 8:00 8:00 to 16:30 - 16:30 to 16:35 1

All times quoted are UK times Citigroup Algorithmic Trading Orders can be entered the day before, acknowledgement at 04:30

Supported Stocks Duration Style (for IS)

An alternative to end time: how long the IS algorithm parameter indicating how
order should trade for. Specified in passively or urgently the algorithm should
Our universe is the superset of:
minutes trade
• DJ Stoxx 600
Min % of mkt volume Price Limit Benchmark
• MSCI Europe
Minimum percentage of uncrossed Close, Open or Arrival: the reference for
• Major country Indices (e.g. CAC40) market volume for algorithm to target. price, sector and index limits

•
Large cap IPO stocks are tradable from
their second day
Participate will become aggressive if it
falls behind, VWAP and IS will adjust the
end time to compensate and so may
Price Limit (%)
The price limit specified relative to the
temporarily fall below the min price limit benchmark in %
Start Time
Time order is to begin executing in the
Max % of mkt volume Sector Limit (%)
market (defaults to current time or
Maximum percentage of uncrossed A limit on the individual execution price
market open, whichever is later)
market volume for algorithm to target specified relative to its sector
End Time
Limit Price Index Limit (%)
Time order is to finish executing
Individual execution price limit A limit on the individual execution price
(defaults to market close)
specified relative to its major country index

Alternative Execution
algo@citigroup.com
© 2006 Citigroup Global Markets Limited. This material has been prepared by individual sales and/or trading personnel of Citigroup or its subsidiaries
or affiliates and not by Citigroup's research department. It is not investment research or a research recommendation for the purposes of FSA rules, as it
GRA17264 03/06

does not constitute substantive research or analysis. This material is provided for information purposes, is intended for your use only and does not
constitute an invitation or offer to subscribe for or purchase any of the products or services mentioned. Citigroup shall have no liability, contingent or
otherwise, to the user or to third parties, for the quality, accuracy, timeliness, continued availability or completeness of the data, calculations nor for any
special, indirect, incidental or consequential damages which may be experienced because of the use of the data made available herein. This document
and its contents are proprietary information and products of Citibank and may not be reproduced or otherwise disseminated in whole or in part without
Citibank’s written consent.