All J.P. Morgan algorithms are designed to access non-displayed liquidity as appropriate. The firm also provides hybrid options such as ‘Would Dark’ and ‘Would Dark Price’ which allow clients to use more traditional algorithms whilst searching for dark blocks where available or where price conditions are met.
J.P. Morgan measures the short-term execution quality of all dark venues and uses the information to determine the strategies and circumstances under which the venue is likely to add value to the execution process. When liquiditydemand is low, the firm uses a more restrictive set of venues. When demand is high, it considers a fuller spectrum of venues.
J.P. Morgan algorithms post to and take liquidity from dark venues in keeping with the strategy and parameters determined by the client.
On settings other than ‘Dark Only’, the company’s liquidity-seeking algorithm AQUA will continuously aim to maximise opportunities to execute in the dark whilst retaining sufficient spare volume to react to opportunities in the lit market. The firm’s algorithms manage this process automatically – adjusting for market and security-specific conditions.
J.P. Morgan uses proprietary models to apply moving limit prices and minimum fill sizes to all orders sent to dark venues. Use of these restrictions is calibrated to reflect the amount of protection required for the venue in question.
Service and reporting
J.P. Morgan reports the end venue-of-execution on all executions via FIX tag 30. The firm can also provide clients with reversion reports on their dark execution and consult with them on tuning their strategies and venueaccess accordingly.
The company expects to add further sources of liquidity and plans ongoing upgrades to its routing and anti-gaming strategies in line with changes in market structure.