ITG
ITG’s DARK algorithm and DARK Allocator exclusively source liquidity from nondisplayed equity trading venues, including ITG’s own dark pool MTF, POSIT. Other ITG algorithms that can access dark pools include the Raider liquidity seeking strategy, single-stock algorithms (including Active, Flexible Participation, Volume Participation, TWAP, VWAP, Market on Close) and listbased algorithms (Dynamic Implementation Shortfall).
Access
ITG will connect to as many non-displayed venues as viable. ITG’s anti-gaming logic is designed to detect negative trading behaviour in a particular venue, enabling ITG to inform clients that the algo no longer targets that venue until the trading pattern has been rectified.
Liquidity interaction
ITG’s dark liquidity algorithms allocate shares across multiple dark pools. If liquidity is present in one pool, the algorithms automatically reallocate and utilise proprietary “pounce logic” on the pool with liquidity.
ITG algorithms can access lit and dark venues simultaneously. The firm’s smart order router uses propriety routing logic to interact with lit liquidity whilst the dark component within the algorithm will passively access dark venues only. Clients may select the dark allocator feature, which will expose a piece of the order to multiple non-displayed venues according to their specifications.
Anti-gaming logic
All ITG algorithms use a proprietary liquidity filter to extract quality liquidity from various dark pools and minimise information leakage whilst protecting against gaming by examining factors such as a stock’s volatility and volume.
Customisation
ITG’s algorithms can be customised to meet client needs.
Service and reporting
ITG’s algos integrate the firm’s pre-trade analysis and post-trade measurement to generate executions aimed at reducing market impact, maximising execution quality, and improving trading productivity and performance.
Future plans
The firm plans to add relative value strategies, expanded equity market coverage and multi-asset trading in the next 12 months.