The Tradetech Daily



David FirminEmail: david.firmin@instinet.comTel: Direct +852 2585 0670

Instinet’s WORK algorithm includes the Nighthawk module which can handle interaction with dark venues meaning that WORK benefits both from a complex, signal-driven approach to trading in lit markets and also from Nighthawk’s multi-venue dark aggregation logic.

Venues offered

For lit venues, WORK accesses a total of twelve
markets throughout APAC as well as PTSs in Japan and Chi-X Australia. As with
most strategies in the Experts platform, WORK also contains Instinet’s
Nighthawk algorithm as a module and therefore benefits from the full range of
dark venues available to Nighthawk as well as Nighthawk’s associated protection

Routing logic

WORK’s aim is to handle order flow in a more
intuitive, signal-driven way, relaxing some of the constraints associated with
schedule-based and participation-based strategies that can lead to higher costs
of trading.

User protection

Proprietary price models compare current prices
against short-term volatility to prevent provision of liquidity at unattractive
prices in both lit and dark venues. In dark venues, the Nighthawk module also
includes FADE Logic designed to instruct the strategy to reduce or cancel
exposure based on market conditions or events, and footprint minimisation
models to control submission sizes versus the stock’s trade and quote
statistics to help obfuscate the intention of the trade.


WORK’s framework allows for significant
flexibility. Everything from venue access to the addition of highly customised
behavior is possible.

Future plans

Instinet is investing in refining and back-testing
new signals and gates (signal blocks) for WORK that are individually tailored
to the microstructure of each Asian market. We are aiming to add the next suite
of improvements to WORK in early Q4 2014.