BMO Capital Markets launches algorithm for closing auction liquidity

BMO Capital Markets is launching a new algorithm called Last Call, which targets liquidity aggregation during the last 15 minutes of the trading day. Eric Stockland, co-head of global electronic trading at BMO Capital Markets, stated the algorithm is built for opportunistic trading that does not necessarily require completing the entire ticket. Kathryn Zhao, head of API product at OKX, noted that volumes in closing auctions continue to grow, partly due to passive investing like index funds and ETFs.

The growth in closing auction volumes, driven by passive investing, highlights increasing institutional activity around market close. BMO Capital Markets' new algorithm aims to capitalize on this liquidity aggregation using dynamic and intelligent tactics. This suggests a growing trend of algorithmic trading focusing on specific, high-volume periods of the trading day.