Pragma launches SmartFix algorithm

Pragma Securities, a provider of high performance algorithmic trading tools, has launched Pragma SmartFix. This is a new execution algorithm designed to improve average execution performance against the daily 4pm WM/Reuters foreign exchange benchmark fixing.

It says the algorithm is based on patterns detailed in a research paper it released today. Following recommendations from regulators in the wake of the FX rate-rigging scandal, in February 2015 the methodology underpinning the WM/R benchmark was changed, widening the calculation window from one minute for the most liquid currencies to five minutes.