Goldman Sachs Electronic Trading (GSET) has made a series of enhancements to its smart routing logic and suite of algorithms.
“As the trading landscape evolves, we are constantly enhancing our product offering,” said Michael Seigne, co-head of GSET Europe. “These improvements are a part of our iterative process, which includes client feedback, extensive performance metrics and innovative solutions from our strategists.”
GSET's implementation shortfall (IS) algorithm has been retooled to provide more complex analysis for over 200 attributes, such as volatility and spread, so that order size by venue and the bid/ask size for each stock can be taken into account to determine the optimal participation rate. Seigne added that the algorithm has been made more quantitative in its execution without increasing the complexity for clients, making it more dynamic around arrival price.
The broker says that using IS passive allows its clients to reduce risk by 37% for a cost increase of only 2% when compared to VWAP.
New venues have been connected to, including Goldman Sachs' own SIGMA X MTF, which is due to launch in Q2 this year, NYSE Euronext-owned SmartPool, and for one section of clients, a buy-side only block-trading venue. The platform sources liquidity from dark MTFs in a manner that allows it to match or improve execution performance versus the aggressive touch.
The firm's Sonar Passive algorithm now accesses a broader range of venues, but also has upgraded spike protection and logic to protect clients. In addition, the GSET platform does not use MTF order types that route on to other venues or hybrid order types that allow non-displayed orders to interact with lit orders.