Goldman Sachs Launches Liquidity Seeking Algo Sonar Dark X10.04.2022
Goldman Sachs announced the launch of Sonar Dark X, the newest algorithm on its Atlas equities trading platform. It is the first liquidity seeking algorithm powered by Atlas and is designed to maximize non-displayed liquidity capture and minimize price impact.
Sonar Dark X leverages Goldman Sachs’ liquidity scoring framework for non-displayed liquidity, including scoring for distinct ATS liquidity segments, to help clients navigate the fragmented landscape. It is the newest algorithm on Atlas, Goldman Sachs’ equities trading platform that was introduced in 2019 as a result of a multi-year investment to evolve the firm’s global trading infrastructure, providing lower latency, higher capacity, and increased agility for product innovation.
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The new algorithm also uses Goldman Sachs’ Liquidity Shield logic, which is designed to reduce parent order information leakage while seeking invisible liquidity, by balancing the liquidity quality and capture objectives throughout the life of the order by dynamically adjusting among distinct combinations of venue segments, minimum execution quantities and spread allowances.
“Global market structure continues to increase in complexity, which requires constant investment in innovation to stay a step ahead,” says John Cosenza, Head of Electronic Trading in the Americas and Global Co-Head of Product Research and Development at Goldman Sachs. “Connectivity to a broad set of accessible liquidity venues is now the minimum requirement for liquidity seeking products. In an ever-evolving and increasingly competitive liquidity landscape, the key is to optimize the subset of venue segments best suited for a specific client objective.”
Liquidity is fragmented across venues, and many venue operators offer market participants the ability to interact with distinct segments of execution counterparties. This presents a more granular level of trade-off between liquidity quantity and quality across venues and venue segments, resulting in increased client demand for both analysis and advanced navigational tools to execute.
Leveraging the Atlas platform, the Sonar Dark X algorithm is designed to capture non-displayed liquidity with minimized price impact by identifying opportunities to adjust the pace of liquidity capture based on both price desirability and block availability.
The algorithm’s logic is configurable, enabling clients to set order execution parameters, including target participation percentage bands and block allocation amounts across different Execution Styles (Passive, Neutral, and Aggressive). Within such preferences, the algorithm then dynamically manages the relationship between liquidity capture, current stock price and reference price.
The new Sonar Dark X algorithm, which has been deployed in the U.S. and is expected to rollout in EMEA later this year, uniquely positions Goldman Sachs to navigate the ever-evolving liquidity landscape.
Source: Goldman Sachs
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