Goldman Sachs Electronic Trading (GSET)
GSET''s SOR has access to liquidity within the firm''s SIGMA crossing network in Europe and SIGMA X platform in the US and Asia. Best execution takes first priority in determining where or when to place an electronic order.
Access and algorithmicintegration
Clients can access the GSET
SOR via the firm”s algorithms
and all major order and
execution management
systems, including Goldman
Sachs” REDIPlus.
Destinations
GSET”s SOR is available in
North America, Europe and
Asia. The SOR accesses all
major public exchanges and a
variety of other displayed and
non-displayed trading
venues. GSET”s biggest
considerations when adding a
venue to its SOR are client
feedback, the destination”s
existing market share, and
any innovations unique to
the destination. The SOR
logic is adapted differently
for various regions to account
for differences in market
structure.
Order types and clientreporting
The SOR offers market
orders, limit orders, and
iceberg orders in all regions.
GSET supplies post-trade
execution reports and
liquidity maps to clients to
demonstrate the execution
quality.
Data feeds
The SOR leverages real-time
and inbound market data. In
Europe, the SOR uses GSET”s
consolidated feed whereas in
the US, a proprietary feed
that combines exchange feeds
and a consolidated feed is
used.
Routing logic
The SOR seeks to maximise
the fill rate in the shortest
possible time at favourable
prices in line with the client”s
intentions. The first criteria is
quoted price. When there are
multiple destinations at the
best bid and offer, a number
of factors are used, including
quoted size, queue length and
venue efficacy measures.
Prioritising venues is
based on historical
information that shows best
chance of fill with
re-balancing/allocating based
on recent fills.
The GSET SOR order
placement logic leverages
both real-time execution
information as well as
historical analysis to
determine which venues to
place orders to. Clients can
work with GSET to customise
the SOR routing logic. GSET
has a dedicated team that
works closely with the
trading desk in order to
develop the SOR.
Automated morning test
baskets are sent to ensure
orders are routed correctly,
and real-time monitoring is
used to prevent capacity and
SOR crash issues.
Future plans
Upcoming improvements
include faster market data,
increased use of intermarket
sweep orders, continued
enhancements to micro-order
placement and the addition
of new venues.