CA Cheuvreux's liquidity seeking algorithm Crossfire actively sources dark liquidity only, although all algorithms access dark liquidity via the firm’s smart order router.
CA Cheuvreux aims to access all credible liquidity and works with clients to route to the venues they desire. The firm uses a proprietary execution quality measure, a dynamic heat-map and hidden volume estimation statistics to make these decisions.
Crossfire can be accessed directly and is embedded in other algorithms. The firm’s smart order router is capable of routing out to dark venues as requested by clients.
Crossfire prefers to be passive in higher quality pools. The algorithm will adjust price and size depending on statistical factors such as fill rate or expected liquidity type.
Crossfire seeks volume to limit whilst minimising impact, through taking advantage of hidden or unusually large orders. The SOR complements CA Cheuvreux’s algorithms and seeks to prevent them crossing the spread through optimisation of passive order placement and aggressive order routing.
The broker avoids market impact through randomisation and on-the-fly estimations of available liquidity. Liquidity-seeking algorithms also use autoadaptive estimates of the fair price of a stock to balance fill rate and price and monitor executions for suspect behaviour.
Users can opt in or out of any venue or strategy. The firm says it prefers to advise clients on how best to achieve their aims rather than being overly prescriptive.
Service and reporting
The broker has a number of bespoke strategies for clients and any algorithms and SOR strategies are customisable. Full pre-, intra- and post-trade analysis is offered on request, including TAG30 and TAG851 information.
Cheuvreux plans to add logic derived from intra-day market makers into its liquidity capturing tactics to adapt to temporary fluctuations of volatility and bid-ask spread.