Fidelity Capital Markets
All Fidelity algorithms leverage the firm's smart order router, Fidelity Dynamic Liquidity Management, which aggregates over 40 displayed and non-displayed venues.
Fidelity offers several solutions that focus on nondisplayed liquidity. Its DarkSweep strategy exclusively sources liquidity from non-displayed destinations. The firm's liquidity-seeking algorithms combine DarkSweep and an opportunistic, quantitative model that triggers the algorithm to interact with quoted liquidity when advantageous market events appear.
Access
Fidelity’s algorithms access a range of US dark venues, including its own CrossStream alternative trading system (ATS) and external venues such as BIDS ATS, Credit Suisse Crossfinder, International Stock Exchange, LavaFlow, LeveL and NYSE Arca, among others.
CrossStream is included in the standard, non-customised version of DarkSweep. Users have the ability to opt out of trading with any venue that is integrated into the router.
Fidelity accesses nondisplayed venues based on a number of criteria, including – but not limited to – execution probability, maximising liquidity reach and speed.
Fidelity offers a standalone execution management system, RealTick, and is certified with most major order management system vendors.
Liquidity interaction
DarkSweep combines historical and real-time execution data with proprietary liquidity mapping technology to determine the venues with the highest probability of execution.
Fidelity’s liquidity-seeking algorithms leverage DarkSweep and an opportunistic, quantitative model that employs real-time valuations such as price, liquidity and fair value levels to determine optimal execution points. Additionally, the algorithms take real-time execution feedback into consideration when determining points of interaction and the type of liquidity with which to interact.
Anti-gaming logic
Fidelity employs multiple tactics in its algorithms to prevent orders from being gamed. Anti-gaming logic focuses on a multitude of market events to determine if gamers are present, which include but are not limited to price, volume and time. Additionally, Fidelity actively monitors toxicity and trading patterns for predatory behaviour in its own ATS as well as the ATSs it is connected to.
Customisation
Clients can choose the venues they interact with and impose minimum quantities per venue. Additionally, clients can opt to have anti-gaming turned off.
Service and reporting
Fidelity currently offers a full suite of post-trade analytics that help clients understand performance and execution detail in a variety of groupings at both a macro and micro level.