All Deutsche Bank equity algorithms can interact with non-displayed venues. Super X is Deutsche Bank’s dedicated dark aggregation algorithm.
Interaction with different types of dark liquidity is driven by trading urgency. Venues are monitored in realtime by a proprietary model, which evaluates each pool on various fill quality metrics. Protection against small fishing orders and adverse price moves is calibrated to a client’s urgency. Clients can opt out of any venue.
Posting is at multiple levels within the spread, based on urgency. Dark orders are removed from venues if fill quality and information leakage is compromised. All dark slices are managed by Super X. Stealth is Deutsche Bank’s next generation liquidity seeking strategy, utilising advanced high frequency models to source both dark and lit liquidity.
Super X ranks and excludes pools based on quality criteria and client preferences, using comprehensive historic and real-time analysis. A dynamic return model evaluates pricing versus a correlated index, while a proprietary allocation algorithm optimises the order size versus impact trade-off on each venue. Minimum acceptable quantities consistent with fill analysis of the individual venues are applied.
Strategies are built with flexibility in their design, offering customisable parameters and system agnostic solutions tailored to individual trading requirements.
Service and reporting
All Autobahn Equity algorithms, including Stealth and Super X, can be accessed from any third-party or proprietary order and execution management system.
Deutsche Bank’s broker crossing system, DBA is always considered for the dark slices of an algo order, and is evaluated using the same quality criteria as applied to every dark pool. Advanced reporting and visualisation tools support in-depth and bespoke analysis, feedback and insights on the client’s trading style and use of Autobahn Equity strategies.
The bank plans further enhancements to its smart order router and algorithms, and plans to expand the stock universe eligible for internalisation.