Convergex Adds Block Trading, Anti-Gaming to ‘Dark’ Algo
Agency broker and trading-technology provider Convergex has enhanced one of its European algorithms that focuses on finding liquidity in dark pools.
Convergex has upgraded its ‘Darkest’ algo to better meet the needs of buy-side investment firms who seek block liquidity in dark pools. The broker has altered the logic that controls Darkest, an active liquidity seeking algorithm, and added more block trading functionality, flexibility in how it seeks liquidity, and anti-gaming logic.
The goal is to help European institutional traders source larger overall trade size in the fewest amount of trades and not get picked off, or front-run, by predatory traders that may lurk in dark pools.
According to Philip Gough, chief executive of Convergex Limited, the broker’s London-based subsidiary, Darkest is designed to constantly scour dark pools and seek out non-displayed liquidity from regulated markets, MTFs and broker-crossing networks, while hiding the buy-side traders’ intent. Darkest’s proprietary methodology monitors liquidity on an ongoing basis and adjusts its attributes to exploit liquidity opportunities that it sees.
“This latest enhancement to Convergex’s Darkest algorithm provides additional optionality to meet the needs of our clients in an evolving international marketplace,” Gough said in a statement. “Darkest’s proprietary methodology allows users to source almost all of Europe and Asia’s dark liquidity with minimal information leakage.”
Darkest features a technology that Gough referred to as “multi-dimensional sensitivity profile” which is software that continuously monitors all dark venues in Europe and Asia it has access to and then determines itself how aggressively to expose a buy-side trader’s child orders. As the child orders are executed, it will automatically adjust its aggression and recalibrate using a heat-seeking routing logic. Once liquidity is found, Darkest will evaluate the new venue’s liquidity and measure its execution quality. If the venue passes muster, only then will an order be routed.
The buy-side trader can see exactly what and how Darkest operates as he receives real-time execution notifications right in his desktop and end-of-day reports.
The alterations to Darkest fall in line with Convergex’s recently unveiled “Blueprint for Growth”, in which where the broker stated its commitment use innovation to best meet client trading needs.
More on Algorithms:
Agency broker moves beyond execution to offer a broader suite of services.
Algorithms have become more prevalent in the spot FX market.
QB’s Algo Suite for futures market trade execution is also being co-located to HKEX.
Breaking data silos is key to deploying automation beyond 'nuisance' orders.
They can be used on quantum hardware expected to be available in 5 to 10 years.