Investment bank Goldman Sachs’ electronic trading division has released a new version of REDIPlus, its execution management system, which includes new algorithms, enhanced derivatives trading capabilities and new ways to access Goldman’s SIGMA X dark pool.
Version 8.1 of REDIPlus includes SIGMA X-Cross and Block Signals, which facilitate the crossing of larger blocks of client orders in SIGMA X. SIGMA X-Cross allows point-in-time crossing with constraints for both single stocks and portfolios. Block Signals allows SIGMA X users to indicate and find block-crossing interest in the pool using visual, audio and text alerts within REDIPlus.
The new version of REDIPlus also supports OptimIS, a new algorithm launched by Goldman Sachs last week for the US and Canadian markets. OptimIS is designed to minimise implementation shortfall by balancing impact cost and price risk while sourcing liquidity from dark pools. It determines when and where to send orders by evaluating whether it is better to take liquidity and pay the spread, or provide liquidity in the hope of being paid the spread.
The upgrade also includes improvements to Dynamic Scaling, an existing algorithm, which allow clients to trade using simpler parameters.
For derivatives traders, the new version of REDIPlus offers analytics for trading European options. It also allows them to enter complex strategies with a single mouse click, clone their orders, and calculate implied Greeks and volatility from the bid or ask.