Barclays Capital
All of Barclays Capital's benchmark and dynamic strategies in the BARX Equities Algorithmic Trading Strategies suite can source liquidity from non-displayed trading venues. The suite also includes the BARX Hydra dark algo, which is currently only available in the US.
Access
BarCap’s algo suite provides access to over 70% of dark venue volumes and sources liquidity from a range of venues, including its own LX internal liquidity pool. BARX Hydra can also post hidden orders on supported exchanges and ECNs.
BARX Hydra automatically includes Barclays Capital LX as an execution venue. However, users can opt out of any destination. Access to specific venues is customised by the client and any additional client-specified constraints are taken into account when posting in dark venues.
Clients can access the entire algo suite of algorithms through RealTick and other third-party order and execution management systems.
Liquidity interaction
The strategy posts pegged orders (passive, mid, or aggressive) in dark venues and hidden orders on supported exchanges/ECNs. Based on the choice of algorithm or aggressiveness level, the algorithm may also remove liquidity from nondisplayed venues before going to exchanges/ECNs.
By default, BARX Hydra attempts to maximise executions in dark venues. If there is not enough liquidity in dark venues, the strategy will also slice orders to lit venues to maintain the client’s specified aggressiveness level. The strategy also opportunistically takes liquidity from lit venues when size is available.
Anti-gaming logic
BARX Hydra enforces minimum execution size in dark venues and randomises the frequency at which it takes advantage of liquidity in the market. The strategy adjusts its behaviour based on price movement and fill rates. Execution quality across venues is monitored using post-trade analysis.
Customisation
Clients can configure parameters to control dark and traditional venue access, adjust trading aggressiveness levels, and toggle individual anti-gaming tactics.
Service and reporting
BarCap’s service desk has access to a range of tools that allow for real-time monitoring and support of all connections to exchanges and dark pools. The service desk has the ability to manually intervene on orders or disable an execution venue.
TradeGauge, BarCap’s webbased post-trade analysis tool, offers benchmark performance analysis and execution venue breakdown amongst other metrics. The bank also provides custom forensic analyses.
Future development
BarCap is rolling out additional flexibility for advanced order types and continuing to improve share allocation logic and dark venue connectivity. The bank is also enhancing its posttrade analysis tools to provide additional transparency on execution quality by venue.