Goldman Sachs Electronic Trading (GSET) has introduced four new strategies to its Canadian and dual-listed algorithmic suite, as part of an initiative to adapt to market structure changes and create global consistency across its algorithmic offering.
GSET's new Canadian algorithmic strategies, which are also available in the US, include GSET Sonar, which aggregates liquidity across multiple public and dark venues, GSET Sonar Dark, which aggregates liquidity across multiple dark and grey venues, GSET Stealth, which allows traders to capture all displayed and dark liquidity up to order's limit price without posting to public markets, and GSET 1Click, a streamlined product that offers a single point of access to all of Goldman Sachs' algorithmic trading strategies.
Grey liquidity is defined as hidden liquidity on a public marketplace. On venues such as alternative trading system (ATS) Chi-X Canada, which supports this kind of trading, a hidden order will not appear on the order book but trade behind visible liquidity – giving the trader anonymity – a useful attribute for larger orders in less liquid names.
GSET Sonar Dark will only place orders where it is possible to completely hide an order. This ability is currently available on Chi-X Canada and dark pool MATCH Now in Canada. GSET Stealth allows market participants to aggressively trade their orders when they are marketable, and configure the way they want to post that order if it is non-marketable. It is designed to grab as much liquidity as possible across multiple markets up to the limit price and will interact with dark and lit liquidity as the user sees fit.
GSET 1Click is a simplified strategy with a single parameter, designed to streamline workflow. It launches orders into the market after the user selects a preferred trading strategy and allows them to be adjusted for aggressiveness while the algo is in play.
The bank has stated that the new algos are being introduced partly as a response to a range of changes in the Canadian marketplace since 2007, including the proliferation of ATSs, the increase of dark liquidity and order types, and the growth of algorithmic trading.
The algos were adapted to the Canadian market based on research into where each security is most frequently traded and the characteristics of block liquidity.
GSET customers can access Goldman Sachs algos through all major channels, including third-party order and execution management systems (EMSs) as well as GSET's own EMS, REDIPlus.
Goldman Sachs recently introduced a new version of REDIPlus, with an improved interface, expanded algorithmic offerings and a new hub toolbar, in November 2010.