BNY ConvergEx Group
While BNY ConvergEx's advanced suite of algorithms accesses liquidity through ComvergEx's routing matrix, Abraxas, is the most advanced liquidity-seeking algorithm. Abraxas is a tactical trading algorithm that seeks liquidity from both display and non-displayed trading venues.
Venues and connectivity
ConvergEx algorithms use a proprietary darkness rating for each venue. They favour agency non-displayed venues with a minimal information leakage before seeking liquidity at other non-displayed venues.
The algorithms determine key price points and place orders at the bid or midpoint. They may also offer at various non-displayed venues. As they discover liquidity, they dynamically rebalance order types to capture the most liquidity at favouravle prices.
The firm also accesses a wide range of non-displayed venues. Algorithms route to the firm’s proprietary dark pols first. ConvergEx’s dark pools are only available the US. As such, US clients may choose to opt out. Clients can access the liquidity-seeking algorithms through major OMSs, EMSs and ConvergEx global execution desk.
Liquidity and routing logic
Liquidity-seeking algorithms primarily seek liquidity in dark venues before moving to lit venues. If dark liquidity is not available or it is determined that the liquidity in the list markets is favourable to the trading strategy, the algorithm will source from lit venues.
The firm’s multi-dimensional sensitivity profile helps determine if prices are unfavourable due to potential gaming events and will respond appropriately. The MiniDarkFill feature allows the trader to set their own block size to interact with dark liquidity, creating a custom defence against gaming when trading in non-displayed venues.
Abraxas can be set to one of three distinct styles. Passive buys at the bid in dark and lit venues; neutral attempts to buy at midpoint or better in lit ones; and aggressive to take liquidity on all sides of the spread (bid, mid, offer) in dark venues as it becomes available, and continues to post at the bid in lit venues.