Instinet Europe
All Instinet Europe's algorithms include 'balancing dark' functionality - an option to place a percentage of the order across dark venues.
Access
In addition to Instinet’s own
BlockMatch dark book, the
algorithms can access Credit
Suisse’s Crossfinder, ITG’s
POSIT, Chi-Delta,
Turquoise’s dark book,
NEURO Dark, Xetra
MidPoint, Swiss Block,
Liquidnet H2O, SmartPool
and Nomura NX.
Algorithms automatically
route to Instinet’s pool.
However, clients can opt out.
Instinet tries to access as
many MTF and broker dark
pools as possible. The firm
never allows a venue to
onward route client orders. It
takes into account the
latencies of the various pools
and will also consider the
likelihood of finding liquidity
based on recent history.
The algorithms are
available via FIX, vendor
front ends or Instinet front
ends.
Liquidity interaction
Instinet uses a combination
of immediate-or-cancel
(IOC) orders or resident
orders. When the firm finds
liquidity it dynamically
redistributes order flow to
those venues and might
overweight that venue when
slicing out orders. This
continues on an iterative
basis.
The routing logic is the
same for the algorithms that
access lit and dark pools.
Anti-gaming logic
Instinet protects every order
slice with minimal acceptable
quantities. The firm also uses
randomisation of quantities
and prices and an ‘efficient
price model’ – assessing what
would be a reasonable price
given recent history. If there
is a short term spike, for
example, the broker needs to
protect against potentially
executing in the dark at an
unreasonable price.
Customisation
Clients can specify their own
minimum acceptable
quantities and can also
specify how they wish their
algorithms to be customised.
Instinet Europe has added
additional parameters to its
scheduling and benchmark
strategies. Users can now
specify an ‘I would price’ and/
or a ‘percent in dark’.
The ‘I would price’
parameter uses aggressive
execution tactics to complete
an order if the market
achieves the specified price
level. The ‘percent in dark’
parameter defines the
percentage of the total order
to be exposed to dark
liquidity venues using
Instinet’s Nighthawk darkpool
aggregation logic
alongside the strategy’s
regular schedule.
Service and reporting
Instinet offers destination
reports and TCA, and can
apply FIX tags to indicate on
which venue the order was
executed.
Future development
The firm will seek to connect
to new dark venues and is
constantly reviewing and
developing its algorithms in
line with requirements
specified by clients and key
trends.