ConvergEx’s Darkest, TactEx Grey and Abraxas execution algorithms source liquidity from non-displayed equity trading venues.
The firm’s criteria for determining access to non-displayed venues includes measuring the fill rate, hit rate, reversion and speed.
ConvergEx’s dark liquidity algorithms post and remove liquidity from non-displayed liquidity venues by leveraging various order types and parameters including IOC orders, day orders and minimum quantity. Certain order types are designed to participate with volume in the displayed markets and will leverage the firm’s TactEx smart order routing technology to reach displayed venues directly.
The firm’s dark liquidity algorithms utilise anti-gaming technology that leverage a proprietary ‘darkness’ rating system which ranks nondisplayed liquidity venues by benevolence and by those that favour agency pools with the least likelihood of reversion.
Dark algorithms can be customised for block routing to any particular nondisplayed pool.
Service and reporting
Customers access ConvergEx’s dark liquidity algorithms via all major order and execution management systems or through its hightouch execution desk.
All dark liquidity algorithms are opted in to routing to the firm’s VortEx and the Millennium ATS dark pools, as well as the ConvergEx Cross, the block crossing engine. Customers have the ability to opt out.
Post-trade reports indicate the percentage of volume executed per dark venue. Monthly and quarterly custom TCA may also be provided.
The firm’s non-US algorithm, Darkest, was recently upgraded and now hits virtually every major dark pool in Europe and Asia.