Jefferies

Jefferies

Jefferies’ entire algorithmic suite is configured to access dark liquidity. Jefferies DarkSEEK is designed to uncover liquidity opportunities on nondisplayed markets only.

Access

Liquidity, probability of execution by market cap, and short term alpha content of the pool’s participants are some of the parameters used to monitor dark pools. Jefferies refines order placement strategies in real time based on the execution data collected from various non-displayed venues.

Liquidity interaction

The firm aims to interact with flow which is similar in urgency as a specific order via various combinations of peg order types, minimum execution sizes, and day/ immediate-or-cancel orders.
The routing logic is very stock specific. Factors considered are order size, probability of execution, dynamics of the execution venue and quality of liquidity (as determined by past executions).

Anti-gaming logic

Algorithms are configured to only cross in normal market conditions. For example, if the stock price is away from fair value calculations, they do not cross at the existing mid-point. Small-sized flow is also separated from natural liquidity. Other anti-gaming measures include using all available order types, varying minimum execution sizes, building in intelligence to recognise the presence of aggressive or large-sized liquidity and adapting to the market, sector or peer group price returns.

Customisation

Customisation is available at the client, trader, algo and urgency level. Clients can also amend any parameters on a working order, including the ability to pause and switch the executing algorithm

Service and reporting

Jefferies’ algos have access to the firm’s internalisation pool, but clients can opt out if they wish.

Future plans

Jefferies is continually developing its suite of custom monitoring tools to better explain its execution methods, results, and proposed modifications to clients.
The firm is also planning on releasing a trading venue in the US.