CA Cheuvreux's Crossfire, %VolumeDark and VWAPDark algorithms in Europe are configured to access dark liquidity and the Crossfire and Pounce algorithms in the US are specifically designed for dark and lit pool access. All the firm's benchmark algorithms are fully integrated with lit and dark pools.
In Europe, the algos connect to BATS Europe’s dark pool, Chi-Delta, NEURO Dark, SmartPool, Turquoise midpoint and Xetra MidPoint. CA Cheuvreux is also in advanced discussions with a number of other nondisplayed venues. In the US, the algos connect to 23 dark pools.
CA Cheuvreux, an agency brokerage, currently operates its internal crossing engine Blink, as an over-the-counter venue. It currently keeps track of orders to find a match, but does not allow orders to rest in the system. The firm has applied for regulatory approval to operate Blink as an MTF and clients can decide either to opt in or opt out.
The broker uses deep microstructure analysis and financial engineering optimisations to determine which venues to access.
CA Cheuvreux is certified with the all the major OMS and EMS vendors and in addition, clients can access the algorithms via any FIXenabled proprietary system.
The algorithms work in response to the real-time fill rate and the latency of each venue, as well as historic liquidity according to an in-house-developed heat map.
CA Cheuvreux has models that consider the impact of trading on lit versus dark and interweaves these dynamics to provide optimal fill rates.
The algorithms include features such as randomisation of slice release time and slice size, the change of posting destination and amendment of the posting quantity. In addition, the order-book composition is constantly monitored to ensure it is not adversely affected.
All of CA Cheuvreux’s algorithms are highly customisable. The firm welcomes collaborations and has had success in aligning algorithms with clients’ trading methodologies.
The broker’s dark liquidity aggregators can be set up to source liquidity from any venue, depending on each client’s individual requirements.
Service and reporting
CA Cheuvreux supplies full transaction cost analysis reports which are customisable per client.
The broker will continue to offer clients customised solutions, depending on their specific requirements, as well as continuing to refine all execution strategies to source maximum liquidity for clients.