Goldman Sachs Electronic Trading (GSET) has launched its Sigma X dark pool in Canada, allowing users to minimise market impact when trading Toronto Stock Exchange-listed securities.
Sigma X Canada is an alternative trading system (ATS) that is designed to anonymously match buyers and sellers and offer guaranteed price improvement relative to the national best bid and offer, using pure price/time priority.
The Sigma X platform was originally launched in the US in 2005. Goldman Sachs also operates a European crossing network, Sigma, and since April 2011 it has offered a multilateral dark pool, Sigma X MTF.
Flow directed to Sigma X Canada interacts with orders resting in the book as well as those passing through the ATS on the way out to the public markets, via the Goldman Sachs Execution & Clearing (GSEC) smart order router for Canadian markets.
According to GSET's submission to Canadian regulators, orders are accepted from 07.00 to 16.00 EST directly via FIX, or by routing orders through GSEC's direct market access platform from 09.30 to 16.00 EST. In addition, the Sigma X Canada order management infrastructure enforces maximum size restrictions on a per-order basis to help prevent erroneous trades. Orders that exceed the maximum size will be rejected.
“Sigma X Canada complements our suite of non-displayed liquidity offerings we currently provide in the Americas, Europe and Asia and is an integral part of our global GSET strategy,” said Adam Mazur, managing director and co-head of business development, GSET.
Canadian ATS Alpha Group launched its own dark pool in Canada in June 2011. Instinet unveiled its Instinet Canada Cross non-displayed trading venue in May.