ITG
The ITG algorithms that can access dark pools include the Raider liquidity-seeking strategy, the ITG single-stock algorithms (including Active, Flexible Participation, Volume Participation, TWAP, VWAP, Market on Close, and Best Market) and list-based algorithms (including Dynamic Implementation Shortfall and Dark List).
Access
ITG clients access dark liquidity through POSIT Marketplace, the single entry point for ITG’s liquidity offerings, giving clients an opportunity to cross anonymously with quality liquidity pools. It provides access to ITG’s POSIT pool as well as other alternative trading systems (ATSs), ECNs and exchanges. ITG can work with traders to configure POSIT Marketplace to meet their trading needs.
POSIT Marketplace uses a proprietary algorithm to match buy and sell orders without human intervention.
Liquidity interaction
ITG’s dark liquidity algorithms allocate a percentage of the order 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.
The broker’s smart order router uses proprietary routing logic. ITG has algorithms that can passively access dark ATSs only. The firm also offers algorithms that can access non-displayed and displayed markets simultaneously. ITG algorithms can incorporate ‘dark cleanup logic’. Clients may select the dark aggregator feature which will expose a piece of the order to non-displayed liquidity.
Anti-gaming logic
POSIT Marketplace uses a proprietary liquidity filter to extract quality liquidity from various dark pools, which ITG says proactively minimises information leakage and protects against gaming. It examines factors such as a stock’s volatility and volume to detect potential gaming.
Customisation
Through the solutions consulting group, ITG’s algorithms can be customised to meet clients’ needs.
Service and reporting
ITG algorithms integrate the firm’s pre-trade analysis and post-trade measurements to generate executions aimed at reducing market impact, maximising execution quality, and improving trading productivity and performance.