Goldman Sachs'' global crossing network offering consists of SIGMA X (US), SIGMA (Europe) and SIGMA X (Japan). The broker''s liquidity strategy matches customer-to-customer flow, as well as Goldman Sachs franchise liquidity. In the US, it offers both continuous and point-in-time matching (X-Cross).
Functionality and order types
Order types offered include peg-mid, peg-bid, peg-ask orders, ping (limit immediate-or- cancel), limit and market orders. Participants can also specify minimum execution quantity, discretion and minimum discretion quantity. Matching is based solely on price-time priority.
Access and participation
GSET”s client base covers institutions, hedge funds and broker-dealers, all of which must be approved by the GSET team. GSET algorithms and smart router orders access SIGMA and SIGMA X. Any order flow from the Goldman Sachs franchise is treated identically to customer flow. Goldman Sachs also has a liquidity sharing arrangement with UBS and Morgan Stanley, whereby their liquidity seeking algorithms are allowed access to SIGMA and SIGMA X in the US.
The securities available vary by market and the broker claims it has high cross rates in small- and mid-cap names. The average trade size on SIGMA X in the US is 300-350 shares, but this varies monthly. On average over the last three months, SIGMA X (US) has matched around 125 million shares (single counted) daily.
Safeguards include real-time monitoring and alerts for large-sized orders, high participation rates, excessive price moves and abnormal spreads. Additionally, the firm”s advanced monitoring tools allow it to view a particular execution along with all relevant quote/trade data.
Asides from the liquidity sharing arrangement with Morgan Stanley and UBS, Goldman Sachs does not directly link to any other dark pool from SIGMA or SIGMA X. GSET algorithms do access a large percentage of non-displayed volume across global markets.