Goldman Sachs Electronic Trading (GSET) has released an enhanced version of its Auction algorithm.
Auction now includes Target Market on Close functionality, which is designed for orders that are benchmarked to the close but may be too large to participate solely in the closing auction.
The new strategy dynamically calculates the portion of the order that should be traded during the continuous trading phase based on real-time and historical estimates, which allows traders to place orders that work through to the closing auction in European markets that have different auction times.
Target Market on Close also has access to SIGMA, Goldman Sachs’ non-displayed liquidity pool.
“There is an increasing demand for a smarter auction algorithm that manages orders benchmarked to the close while minimising market impact,” said Michael Seigne, European head of algorithmic trading sales at GSET. “Our Target Market on Close functionality has been developed by our algorithmic strategists to meet the needs of traders that want to manage the balance between closing auction impact and overall execution risk.”
Goldman Sachs clients can access the firm’s electronic trading tools via third-party execution management systems (EMSs) or REDIPlus, the broker’s own EMS platform.