ConvergEx Group, a US-based trading technology firm, has launched Spectrum, a new algorithm designed to give portfolio traders the benefits of executing in the dark, while allowing them to maintain their required cash and sector balances.
The strategy offers three separate cash objective options based on customers’ cash constraints and also supports three distinct settings for risk management that are customisable.
“Portfolio traders need to precisely manage and control risk and cash balances – a task that has previously been too difficult in the dark,” said Scott Daspin, managing director in the electronic execution group at ConvergEx. “The timing and velocity of the dark pool fills was simply too random for their complex baskets.”
Daspin explained that ConvergEx’s new algo aggregates the liquidity from various dark pools, to create a large enough concentration of liquidity that accommodates portfolio trades. Customisation features of the algo allow portfolio traders to speed up their trading if they are ahead of their benchmark, for example.
In addition to portfolio trading abilities, Spectrum also offers a web-based performance interface that tracks user performance throughout the trade lifecycle. It is designed to allow both high- and low-touch users to improve their trading by using intelligence to modify their executions throughout the day.
Spectrum is the first in a series of portfolio algos that ConvergEx plans to roll out. Subsequent developments will focus on adding multi-day functionality, more risk controls and greater customisation options.
ConvergEx Group upgraded its global liquidity-seeking algo, Darkest, to bring together European and Asian dark liquidity in a single order, in September 2011.