Agency broker Bloomberg Tradebook's full range of algorithms uses the firm's dark liquidity accessing technology in markets where such liquidity is available.
In Europe, Tradebook’s algos access broker dark pools, Xetra MidPoint, NEURO Dark, Chi-Delta and the dark books of Turquoise and BATS Europe.
While the algos are designed to optimise dark liquidity opportunities, users can opt out if necessary.
The firm accesses dark venues based on crossing success rates, ability to obtain spread capture and reliability/ consistency.
Clients can access the algos through the Bloomberg Tradebook front end, the Bloomberg execution management system, the Bloomberg order management system or other order management systems.
Tradebook’s algorithms post and remove liquidity from non-displayed venues based on stock-specific tables of historical and real-time rankings by venue.
The algos simultaneously route and post in both lit and dark venues based on historical and real time rankings by venue to obtain maximum liquidity and potential price improvement. The firm uses a sophisticated optimisation engine to maximise liquidity capture for the client.
Users of the algorithms have the ability to put all residual shares in the dark and turn venues on and off by firm and by market.
Tradebook also offers MiFID compliant tools to categorise the rules of each venue.
The anti-gaming logic for Tradebook’s algos includes venue blacklisting based on inadequate or nonexistent fill rates, venue identifier randomisation and use of minimum fills.
Limit prices on dark venues are always determined by multiple factors so customisation is built in.
Aggression levels on algos help to further customise the level of dark interaction.
Service and reporting
Tradebook offers GTTA, a real-time reporting tool to confirm the venues where a trade was executed.
Tradebook plans to introduce further dark order types in accordance with specific market conditions and/or regulatory changes.