Morgan Stanley has launched an over-the-counter (OTC) algorithmic trading product, Morgan Stanley Fix. The new product, which provides institutional clients with flow-weighted average pricing (F-WAP) in currencies, has been devised by Morgan Stanley’s Quantitative Solutions and Innovations (QSI) Group, a unit on the FX sales and trading desk in the fixed income trading division. The product estimates FX volumes using a proprietary liquidity analysis framework that takes into account intra-day liquidity cycles. The firm will publish the intra-day liquidity cycles that are used as a basis for the flow-weighted average pricing used in Morgan Stanley Fix.

Click here for the release from Morgan Stanley.