03.03.2016
By Rob Daly

Bloomberg Tradebook Shines Light on Dark

Agency brokerage Bloomberg Tradebook plans to add greater dark-liquidity insight to its Strategy Analyzer’s In-Trade tool by mid-year.

The new capability builds on Tradebook’s In-Trade predictive analytics tool, which Bloomberg deployed globally in mid-2015, according to Kapil Phadnis, head of algorithmic trading quantitative research at Bloomberg.

Whereas In-Trade provides users with predictive analytic models, which help them evaluate their execution quality across seven trading types (Bid, Mid, Ask, Open Auction, Closing Auction, in Blocks, and in Dark,) the new offering will show in which alternative trading systems the client’s orders are matched. “For the first time. clients will be able to tell, in real time, where their order are getting done,” said Phadnis.

Tradebook achieves this by incorporating the Financial Industry Regulatory Authority’s weekly ATS Transparency data into its execution analysis. Since the regulator aggregates all weekly ATS-execution data and then publishes two weeks later, there is a delay. “It’s going to lag since Finra’s data lags,” he acknowledged.

However, Finra’s data is capable of displaying macro liquidity trends.

“For example, if IEX typically has been a big player in a specific stock, clients want to make sure that Tradebook is routing client orders to IEX and getting that liquidity for them,” he said.

Since the new offering relies specifically on Finra’s ATS Transparency Data, Tradebook will launch the new offering only in the U.S., at least for now.

Phadnis does not discount a similar offering for the European market in the future. “If we have interest, we potentially can show the European dark-liquidity pools in real time,” he said. “The European dark-liquidity pools are one step ahead of the U.S. in a certain sense, since they print their trades to a tape in real-time and with attribution.”

Featured image by SkyLine/Dollar Photo Club

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