Instinet
Liquidity aggregation, via Instinet's Nighthawk strategy and smart order routing (SOR), is integral to the entire Experts algorithmic trading suite.
Venues and connectivity
Instinet’s SOR is embedded in all core strategies and intelligently accesses liquidity on over 30 venues in Asia. There are standard questions the firm asks but some, such as the nature of other clients, are often best gauged by experience and careful post-trade analysis.
Instinet’s own venues are given no preference are given no preference. Clients can opt in or out like any other venue.
Nighthawk and SOR are fully integrated into Instinet’s EMS platforms. Access is also available via FIX or through most major third-party EMS/OMS systems.
Liquidity and routing logic
Users set their desired execution style for the order. This determines, among other things, the level of anti-gaming employed, the size and frequency of submissions, and the use of other adverse selection and footprint-minimisation techniques.
For dark aggregation, the primary objective is to track liquidity across a variety of venues and then dynamically adjust allocation to maximise the likliehood of block fills. For interaction with lit liquidity, the firm’s SOR will tactically seek price improvement across a variety of displayed venues before posting, with speed of execution being the priority.
Gaming protection
Nighthawk monitors volatility and pricing to minimise the risk of providing liquidity at unattractive levels. This, combined with sophisticated submission tactics and footprint-minimising logic, acts to disguise clients’ trading intentions.
Customisation
Instinet customises all elements of venue access and liquidity aggregation. Liquidity sourcing can be monitored with real-time destination analysis and performance analytics that measure all savings achieved versus the primary exchange. The flexibility of the analytics systems allows each Instinet coverage trader to act as a very capable execution consultant.
Future plans
Instinet’s focus will be on improving its allocation algorithms and smart order routing to maximise liquidity as market fragmentation continues.