Barclays’ Dynamic Router ranks venues at the symbol level, based on historical and real-time data. Orders are allocated in parallel to dark venues based on probability of fill, and posted to venues based on probability of fill, queue depth and trade rates.
Barclays’ Dynamic Router maximises fill rates,
minimises slippage and information leakage through predictive liquidity models
that synthesise historical and real-time data, market intelligence from
Barclays and technology to access all major venues.
The router works with market/limit sweep, dark sweep,
auction, pegging, and iceberg orders and order types offered by market centres,
including intermarket sweep order, reserve/iceberg, pegging,
do-not-ship/do-not-route, price sliding/price-to-comply and hidden.
The latency and capacity of the router depends on a number
of factors, including client connectivity, order flow characteristics, the
markets being accessed, and trading needs with the ability to scale
accordingly. Fail-safes include redundancy around connectivity and market data,
client and order flow risk limits, and automated order flow kill switches in
pre-defined failure/error scenarios.
For lit venues, the Dynamic Router is able to rely on
exchange-provided market data to make decisions. For dark venues, a proprietary
liquidity model forecasts the probability of fill.
The router is
available for all clients who trade electronically with Barclays. It accesses
all major lit exchanges and alternative venues, including Barclays LX, the
firm’s proprietary dark pool. Barclays can provide real-time information on
routing decisions upon request.
Barclays works closely with clients to customise
routing logic to fit their trading objectives. Regular performance reports can
include execution summaries, venue toxicity, mean reversion, and symbol-level
Barclays continuously works to improve the router, including new order types and functionality, new venues, and improved infrastructure.