Goldman Sachs Electronic Trading announced Monday that it has enhanced Sonar, its European algorithmic strategy, by enabling it to access the Goldman Sachs non-displayed liquidity platform, SIGMA.
Goldman Sachs' Sonar algorithm is designed to combine the benefits of algorithmic trading with the added feature of accessing dark liquidity. The algorithm works in two modes, 'stealth' and 'dark'. Under stealth mode, it seeks liquidity while avoiding signalling risk. Dark mode enables the algorithm to make either a portion or the entire balance of an order available for non-displayed crossing using SIGMA as a trader-defined benchmark.
The firm says the Sonar algorithm is live in the U.S. and benefits from accessing the SIGMA-X liquidity pool, which was cited by Tabb Group in September 2007 as the largest dark liquidity pool in the US.
"With the introduction of MiFID and the rapid uptake of algorithmic trading in European markets, buy-side traders have stated that it has become increasingly difficult to locate liquidity in displayed markets," explains Peter Sheridan, head, Goldman Sachs algorithmic trading in Europe. "The Sonar algorithm helps European traders reduce information leakage to the market and improve their execution performance. It combines the benefits of algorithmic trading, automation, and anonymity with the ability to source 'block' liquidity in the SIGMA dark pool," he continues.