Societe Generale Corporate & Investment Banking
Eclipse is SocGen’s liquidity seeking algorithm, including a feature to search non-displayed venues only. The block cross parameter on all other algorithms allows users to indicate they would like to source additional liquidity from these venues.
Access
SocGen uses a measure indicating the quality of the liquidity, the proprietary Quality of Venue Measure (QVM). Venues are ranked accordingly ensuring a dynamic, objective view of the venue and the benefit of going there.
Liquidity interaction
Eclipse will source from dark venues exclusively or both lit and dark. The algo will use QVM to post into dark venues which are indicated as relatively ‘safe’ whilst opportunistically sweeping other dark venues to capture liquidity. Lit venues are monitored to identify fair value at which point Eclipse will take liquidity, leveraging dark venues for price improvement when crossing the spread.
Anti-gaming logic
In addition to QVM and the use of minimum order sizes, SocGen algorithms use a proprietary anti-gaming feature based on highfrequency models which monitor signals outside the stock, such as the related index to distinguish between gaming and price trends. These high-frequency models are a core feature of all SocGen algorithms.
Service and reporting
SocGen aims to offer full transparency on which venue has been used, both real-time and in TCA reports. The company also carries out QVM analysis for clients to show the benefit or otherwise of specific venues to their order flow.
Future plans
SocGen continues to seek out differentiated sources of liquidity, using QVM to categorise the quality of each and in some cases re-categorise.