Barclays Capital

Barclays Capital

All of BarCap’s algorithms source non-displayed liquidity, if consistent with the intent of the parent order. The firm also offers the BARX Hydra algorithm, which is configured to seek a greater portion of execution from dark liquidity. However, any algorithmic child order is sent to BarCap’s Dynamic Router, which interacts with dark and hidden liquidity.

Access

BarCap’s criteria for interacting with non-displayed liquidity are quantity (e.g., fill rate) and quality (e.g., toxicity). The Dynamic Router monitors toxicity, learns as it trades and will disable a venue that performs adversely.

Liquidity interaction

The firm’s algorithms post and remove liquidity to minimise information leakage. The predictive liquidity models supporting Hydra (and Implementation Shortfall on which Hydra is based) are developed from in-depth research into how each stock behaves. The algorithms place optimally sized child orders that intelligently interact with non- displayed liquidity. Access to LX, BarCap’s dark pool, is available via Hydra and other algorithms, and is completely configurable if a client wants to opt out.

Anti-gaming logic

Child orders are sliced by the algorithms and placed by the Dynamic Router so as to maximise the probability of fill while minimising information leakage. Hydra and IS do not trade on a predetermined schedule, but rather change behaviour in response to real-time market information. The Dynamic Router will only check the minimal number of venues necessary to complete the order, which further minimises information leakage. All of BarCap’s algorithms are outfitted with proprietary gaming detection triggers.

Customisation

The broker’s electronic sales trading team tailors solutions to a client’s trading desk. Through the firm’s Portfolio WebBench analytics suite, TradeGauge post-trade analytics helps clients understand the performance of their trades.

Service and reporting

BarCap algos can be accessed via a client’s order or execution management system.