Dark Algorithms directory
| Company | What is the algorithm designed to do? | How many/which dark pools or nondisplayed liquidity venues does the algorithm hit? | What parameters does the algorithm allow to set? | Does the algorithm spray multiple liquidity pools or ping one at a time in search of liquidity? | Is the algorithm dark-only, or does it route mainstream if not finding liquidity in the dark? | Does the algorithm enable users to split part of the order manually into a crossing network that bans broker algorithms? | Does the algorithm preference routing locations? What are the options for preferencing? | What is the average match rate for the algorithm? | Approx category breakdown of clients | Which OMSs and/or EMSs provide the algorithm as a routing option? | Is the algorithm available internationally? In which countries? |
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| Bank of America Fusor Curtis Pfeiffer 212-933-3310 curtis.pfeiffer@bofasecurities.com www.bofa.com/ets | Fusor is designed to optimize order placement decisions across a broad array of liquidity sources. It represents the latest Adaptive Implementation EASE strategy, joining Ambush and Instinct. | N/A | All EASE strategies offer relevant parameters including, but not limited to, limit price, start time, end time, duration, aggressiveness mode, max percent of volume, on open amount, on close amount. | Fusor does not spray liquidity pools but instead selects liquidity pools that represent the highest probability of success. Fusor routing logic also incorporates speed of execution metrics. Whether Fusor is tapping a single source of liquidity or simultaneously accessing multiple sources, it seeks to garner the most liquidity in the shortest time by price. | Fusor is focused on sourcing liquidity. It is not limited to dark pools. | N/A | Order placements are preferenced on predicted liquidity and speed of execution. User preferencing is not currently available. | The match rate varies by security, and as such is not presently published. | Hedge funds: 60% Mutual funds: 20% Proprietary: N/A Broker-dealers: 20% | Fusor serves as the order-routing engine across all EASE strategies. As such, Fusor functionality is available in all major buy-side OMS, sell-side OMS and EMS platforms including LavaX, Neovest, RealTick, REDIPlus and Triton. | At present EASE strategies support U.S. equities only. |
| BNY ConvergEx Dark Probe Craig Viani 212-468-8445 cviani@bnyconvergex.com www.bnyconvergex.com | Dark Probe seeks liquidity in essentially all accessible dark pools and, if requested by the trader, provides assured execution by trading in the open market. | Virtually all accessible pools. | Aggressiveness, I-would price, limit price, assured execution. | Both, dynamically optimizing for maximum liquidity. | Yes, it routes mainstream at trader's discretion. | Yes. | Preferencing is automatically done to maximize available liquidity. | Depends on aggressiveness. | Hedge funds: 30% Mutual funds: 30% Proprietary: N/A Broker-dealers: 40% | OMS: Eze Castle, Charles River, Advent, FlexTrade, Portware. EMS: TradingScreen, Reuters, ColorPalette, Bloomberg, REDIPlus. | No. |
| Citi Scouter Tim Reilly 212-723-7302 timothy.reilly@citi.com www.citigroup.com | Provides a single point of entry to multiple crossing networks and nondisplayed order flow. A "quiet" strategy; Scouter does not post "out loud" on any displayed venue. | N/A | Start/end time; absolute price limits; level of urgency -- aggressive, neutral, passive. | Scouter utilizes advanced venue analysis, historical fill rates, intraday performance statistics and Lava smart order routing to optimize an appropriate execution strategy. | Scouter can execute dark-only or can include traditional venues. | No. | Scouter routing is engineered to preference routes with the deepest, high-quality liquidity. | N/A | Hedge funds: N/A Mutual funds: N/A Proprietary: N/A Broker-dealers: N/A | All major OMS providers and EMS providers including LavaX, REDIPlus, ITG Triton, RealTick and Knight Direct. | No. |
| Credit Suisse AES Guerrilla, Sniper, CrossFinder+ AES Client Coverage Desk 212-325-5300 www.credit-suisse.com | Guerrilla: Uses advanced signal-reduction methodologies to minimize market impact while finding liquidity wherever it resides. Sniper: Aggressive stealth strategy for active traders, Sniper sniffs out and probes for hidden liquidity across a huge number of venues at blistering speed. CrossFinder+: Direct market access for dark liquidity. | CrossFinder, NASDAQ hidden, Arca hidden, BATS hidden, DirectEdge hidden, Instinet CBX, NYFIX Millennium, BIDS, LeveL ATS, Liquidnet H2O, ISE Midpoint Match, BlockCross, Knight Match, ESP StageCoach, Nasdaq Crossing Network, Instinet IDX, regional offerings. | Price limit, max percent volume, time frame, aggression, minimum size. | Both sprays and/or pings depending on algorithmic settings and client configurations. | All three are completely stealth algorithms that never display bids or offers. | Yes. The algorithms are highly customizable, and Credit Suisse offers several custom solutions to get access to all crossing networks, including ones that try to limit connectivity. | Routing is based on real-time, heat-map technology that optimizes destination balancing to achieve the highest liquidity at the best prices. | Match rates vary based on client specifications. All clients receive regular reports showing exact match rates they've achieved. | Hedge funds: N/A Mutual funds: N/A Proprietary: N/A Broker-dealers: N/A | AES has 54 different OMS and EMS front-end partners. | All AES algorithms are offered in 31 countries throughout the globe. |
| Fidelity Capital Markets Services DarkSweep Matt Kennedy 617-563-7668 matthew.kennedy@fmr.com www.fidelitycapitalmarkets.com | DarkSweep is a strategy that will aggregate dark pools of liquidity into a single entry point and abstract the complexities and nuances of the venues it accesses. Splitting the order up among the available dark venues simultaneously, DarkSweep seeks and shifts liquidity in order to maximize execution without revealing trading intentions. | As of June 1, 2007, we have access to ten venues, including CrossStream. | There are a number of order pricing strategies supported. | Both. | DarkSweep will access nonquoted, nondisplayed liquidity in both the upstairs and downstairs market but will not display orders in any of the venues. | N/A | Users can customize the algorithm to include or exclude supported destinations. | Greater than 25 percent. | Hedge funds: 60%; Mutual funds: 20%; Proprietary: N/A; Broker-dealers: 20% | Any FIX-compliant OMS, including Eze Castle, Charles River, Royalblue Fidessa, NYFIX, Bloomberg and others. | No. U.S. equities only. |
| FlexTrade Systems Dark Router Sales 516-627-8993 Ext. 2 sales@flextrade.com www.flextrade.com | Provides customizable smart routing to any number of dark pool destinations selected by the trader. | The algorithm is designed to hit all the destinations that are available at a client site, including any dark pool to which a client wishes to route, as well as any of their broker-dealer's dark routers. We are certified with more than 100 separate broker-dealers/ECNs/ATSs and dark liquidity pools. | Limit, max percent of volume, time frame, aggressiveness, as well as how much of the overall order to display in each liquidity pool are just a few of the programmable parameters we allow. Additionally, each parameter can be set on an order-by-order basis or for an entire portfolio. | FlexTrade's Dark Router algorithm can both spray and ping pools of liquidity. | Both. Dark Router can route mainstream if it does not find liquidity in the dark. | Yes. Our system allows buy-side users to interact directly with each liquidity pool and does not use a broker for access. This allows full access to all crossing networks and dark books. | Yes. Among other things, destinations can be preferenced by: 1) the destination that has executed the most trades; 2) any destination that requires a block size minimum; 3) commission rates; 4) past execution history; and 5) lowest post-trade transaction cost. | N/A as we are not a broker. | Hedge funds: 15%; Mutual funds: 40%; Proprietary: 15%; Broker-dealers: 30% | N/A | As long as destinations can be reached via FIX, we can access them. |
| Goldman Sachs Execution & Clearing Sonar Goldman Sachs Electronic Trading (GSET) 212-357-4255 gset-news@gs.com www.gs.com/electronictrading | Sonar is a liquidity-seeking algorithm that accesses displayed and nondisplayed pools with order routing logic that adapts based on where a stock is trading. While seeking liquidity, the algorithm also manages market impact through the use of sophisticated order types, such as reserve, discretion, IOC and others. | N/A | The algorithm offers start time, end time, price limit, execution style (aggressiveness control) and others. | Both. | The algorithm routes to displayed and nondisplayed pools of liquidity, and we will soon provide an option to route to nondisplayed pools only. | No. | The algorithm uses proprietary logic that dynamically selects the routing destination based on the probability of execution. | Hedge funds: N/A; Mutual funds: N/A; Proprietary: N/A; Broker-dealers: N/A | Most major OMS and EMS providers. | Yes -- the U.S. and Europe. | |
| Instinet Nighthawk Thorsten Schmidt 212-310-4177 thorsten.schmidt@instinet.com www.instinet.com | Nighthawk helps improve trading performance and facilitates traders' workflow by allowing them to take advantage of both dark and hidden liquidity in a single entry. | N/A | Nighthawk currently allows users to set parameters for price limit, completion time and degree of aggressiveness. Floating limits and percentage of volume constraints will soon be added. | Nighthawk accesses all dark pools simultaneously by posting pieces of the order in different places at the same time. It then dynamically rebalances the order to preference venues where liquidity is being found. | In addition to the eight dark pools, Nighthawk also offers an "ECN Sweep" module, which provides access to Nasdaq's INET, NYSE Arca and the BATS ECN. | Instinet's two trading systems -- Newport and Instinet Trading Portal -- allow users to "slice" portions of the order out to any destination, be it an algorithm, crossing network, exchange or trading desk. | Nighthawk does not factor a venue's pricing structure when routing, but on an order-by-order basis will preference venues that in the past have shown to be more suitable for the type of stock being traded. | N/A | Hedge funds: 70% Mutual funds: 30% Proprietary: 0% Broker-dealers: 0% | OMS: Longview Linedata, Portware, Charles River, Bloomberg, Flextrade and LatentZero. EMS: Flextrade. | International access is coming soon. |
| JPMorgan Aqua, Arid, Implementation Shortfall Sarah Heffron 212-622-5829 sarah.e.heffron@jpmorgan.com www.jpmorgan.com/pages/jpmorgan/investbk/solutions/equities/ecs | Aqua is a liquidity-seeking strategy designed to facilitate trading with a high level of urgency across all available sources of liquidity, while also taking advantage of hidden blocks. Arid is designed to source liquidity in a stealth fashion, managing market impact by intelligently accessing hidden or dark sources while opportunistically capturing displayed liquidity when offered. | JPMorgan accesses nine nondisplayed liquidity sources including NYFIX Millennium, Fidelity CrossStream, Knight Match and Liquidnet H2O. We also access hidden order types offered by exchanges and ECNs such as Nasdaq and ISE. | Price limit, max percentage volume, time frame and degree of aggressiveness. All of these are configurable. | N/A | All algorithms are configured to allow participation in displayed pools, controlled by user-defined settings or parameters. | N/A | N/A | Match rates vary widely on a day-to-day basis relative to market conditions and user-defined inputs. | Hedge funds: N/A Mutual funds: N/A Proprietary: N/A Broker-dealers: N/A | All major OMS and EMS providers offer access to our algorithmic trading strategies, including Aqua and Arid. | Yes. These strategies are also available in major European markets and are coming in late 2007 to Asia Pacific. |
| Knight Capital Group EdgeTrade Algorithms Bill Cronin 972.865.0413 bcronin@knight.com www.knight.com | FAN (dark pools + public markets) and Covert (dark pools only) are based on EdgeTrade's smart order execution logic. Both are highly adaptive tools that combine historical data enhanced with proprietary analytics to drive the initial pathway of an order. Without pause, FAN and Covert dynamically gather real-time feedback as to where executions are taking place in the market, and then opportunistically move any part of the remaining unfilled order in line with found liquidity. This process repeats relentlessly, all in a matter of microseconds, until best execution is secured. | FAN and Covert hit a variety of destinations including stand-alone dark pools, broker-dealer internalized crossing networks, public exchange reserve books (nondisplayed) and other dark ATS systems. | Price limit, max percent volume, time frame and degree of aggressiveness; there are others available as well (confidential). FAN and Covert encompass high degrees of flexibility and are easily customizable by the user. | FAN and Covert both spray and ping, as well as "rest" orders in reserve. | Covert, a dark-only algorithm, is an extension of FAN, EdgeTrade's smart order execution strategy that simultaneously sprays aggregated dark pools and public markets, and then continually moves an order in line with shifting liquidity until best execution is fulfilled. | Yes. | EdgeTrade is destination-agnostic, so neither FAN nor Covert are constructed with biased preferencing logic. EdgeTrade takes the position that absolute, quantifiable best execution can be realized with a proactive, unconflicted approach to working an order simultaneously through multiple liquidity destinations, over and above what is mandated. Passive approaches, such as sending an order to an exchange or a broker with vested liquidity interests, delay optimal order placement and incur other opportunity costs that lead to less than best execution. | EdgeTrade reported in April 2007 that FAN saw a 28.9 average daily (year-to-date) percentage of its executions in the dark, with peak days hitting as much as 66 percent. | Hedge funds: 50%; Mutual funds: 10%; Proprietary: 0%; Broker-dealers: 40% | OMS: Bloomberg, Charles River, ESP, Eze Castle, Fidessa, Longview (Linedata), Macgregor, Mixit, Moxy (Advent), NYFIX, thinkorswim, Tradeware. EMS: Bloomberg, Neovest. | FAN and Covert are used by buy-side and sell-side traders at firms in North America, Europe and the Far East. |
| Pragma Securities One Pipe David Margulies 203-862-4564 dmargulies@weedenco.com www.weedenco.com | ONE PIPET brings together over 25 dark pools, crossing networks and streaming liquidity providers through one single, integrated source. ONE PIPET optimally manages clients orders in these liquidity sources. ONE PIPET does not preference any pool based on ownership or economic benefit. | One optimally manages the order in over 25 pools. | One Pipe is a passive way to interact with liquidity. One Pipe + will allow a user to set aggression levels that will allow interaction in both the public markets and dark pools. | One Pipe will fairly target all pools and preference the destinations where executions are occuring. There is no pinging, which can lead to information leakage. | One Pipe is a dark only strategy. One Pipe + will participate in both dark and public markets. | A future enhancement will allow users to select/deselect specific destinations. | There is no preferencing in the routing logic. One Pipe will only preference a destination when executions are received by that destination. | Our match rate consistenly exceeds the industry average. Please contact us for current match rates. | Mutual Funds: 75% Hedge Funds: 25% | Any OMS that can route a FIX order. | Not at this time. |
| UBS UBS Tap Tim Gee 203-719-1750 timothy.gee@ubs.com www.ubs.com | Tap simultaneously accesses all sources of liquidity -- including UBS Price Improvement Network (UBS-PIN), dark pools, ATSs, ECNs, ADFs and exchanges. It's flexible, so the trader may "dial up or down" the level of urgency -- balancing reduced market impact with goals for managing opportunity cost. | Eight (and the list is always growing as we evaluate opportunities for synergistic sources of liquidity): UBS-PIN, LeveL, Nasdaq Midpoint Peg, NYFIX Millennium, BIDS, Liquidnet H2O, ISE Midpoint Match, Knight Match. | Urgency, completion price, volume limit, price limit, start time, end time. | Both -- depending on the urgency set by the trader, type of dark pool being accessed and residual quantity of the order. | The trader decides this by the urgency setting. The lowest setting, Urgency 1, makes the order 100 percent dark. The highest setting, Urgency 5, will target order completion and if necessary will go to the displayed markets, posting only very lightly under certain conditions. | Those decisions are determined by the OMS/EMS, not the algorithm. | Yes. First are dark pools -- based on the probability of a fill, the nature of the participants, potential for price improvement and urgency. Then the exchanges -- based on multiple factors we constantly evaluate and optimize. | Varies widely based on the trader's urgency setting and the nature of the order. For Tap Urgency 1 -- order is 100 percent dark. The average of all Tap levels ranges from 33 percent to 60 percent. | Hedge funds: N/A Mutual funds: N/A Proprietary: N/A Broker-dealers: N/A | OMS: Advent, Charles River, Decalogue, Eze Castle, LatentZero, Longview, Macgregor. EMS: ESP, Investment Technology Group, Lava Trading, Neovest, RealTick. | Yes. Variations of Tap exist in all regions. |
| Wachovia Securities Komodo Dark, Komodo Blox Ed Gonzalez 212-214-6180 WATS.Group@wachovia.com | Komodo Dark is our advanced stealth participation strategy designed to access dark liquidity pools. With advanced logic and antigaming parameters built in, the Algo self adjusts for current market conditions to maximize price improvement. | 14 Dark pools with 4 pending. | Fully flexible parameters. | Komodo pings and sprays the dark pools. | Dark Only. | The Algo automatically posts shares into the crossing networks. | The Algo tracks historical liquidity by location, preference weighs on historical and current liquidity. | Vary by symbol. | Bloomberg, EzeCastle, Magregor, Triton, Redi Plus, Sungard, Flextrade, PortWare etc. | Domestic only |
