Goldman Sachs Electronic Trading (GSET)
All GSET's equity algorithms source liquidity from both public and nondisplayed trading venues. The firm offers its Sonar liquidityseeking algorithm in the US, Europe and Asia and Sonar Dark in the US only. GSET's smart order router table can be customised to take optimal advantage of both displayed and nondisplayed venues.
Access
In addition to its own
SIGMA X dark pool, GSET’s
dark liquidity algos connect
to a range of broker-dealer,
consortium, independent and
market maker-run platforms.
By default, the algos
automatically route to SIGMA
X before routing to other
venues. However, users can opt
out of trading with specific
external liquidity destinations.
When accessing venues,
GSET will analyse historical
executions and their
associated statistics.
Clients can access GSET
algorithms through the
GSETConnect FIX/order
management system or the
REDIPlus execution
management system.
Liquidity interaction
The algos dynamically search
for liquidity by pinging
multiple non-displayed
venues to find potential
matches, then posting any
residuals across multiple
non-displayed venues.
Sonar (but not Sonar
Dark) will supplement dark
pool liquidity with liquidity
from lit venues based on the
user’s urgency level. Both
algorithms have the ability to
source from ‘grey’ liquidity.
An execution style
parameter is available for
users to specify an urgency
level on their orders. In
addition, a ‘would-if-good
price’ is available.
Anti-gaming logic
The anti-gaming logic for
GSET’s dark algorithms
reduces exposure if the price
moves unfavourably, and
applies dynamic price limits to
protect against adverse
selection. It also gives users the
ability to apply a minimum
execution quantity, configure
an eligible destination list and
specify an execution style
based on price type, desired
destination type and antigaming
logic sensitivity.
Customisation
Clients can customise GSET’s
dark liquidity algorithms by
destination, price, execution
speed, peg type, and
minimum execution quantity.
Service and reporting
GS SmartView alerts provide
traders with real-time details
about potential order or
market irregularities. They
allow traders to see, on a real
time basis, where their orders
are being executed across
both dark and public
markets.
GSET also provides a
post-trade liquidity map
report that highlights spread
savings and transaction cost
analysis metrics by venue.
Future development
GSET continues to enhance
anti-gaming logic, increase
liquidity reach and improve
order placement intelligence.
It also aims to simplify the
user experience, focus on
global expansion and
consistency, and continue
building multi-asset
strategies, particularly for
futures and options.