Liquidnet’s algorithmic offering includes Liquidnet
Participation, Liquidnet Average price, Liquidnet Implementation Shortfall and
Liquidnet’s algorithms are engineered to take
advantage of its global institutional trading network and to protected
liquidity from external venues to give members maximum access to liquidity
while minimising market footprint.
Liquidnet Participation accesses select markets at a
specified percentage of lit traded volume with the opportunity to take
advantage of available crossing opportunities in Liquidnet and 25 other venues.
The average price algo meets the VWAP benchmark in lit venues and looks for
dark liquidity in the Liquidnet pool and members can specify their own balance
between appetite for liquidity and adherence to the price benchmark.
The implementation shortfall algorithm is dark-enabled and
balances estimated market impact and the uncertainty of execution price created
by volatility. The schedule is optimised for liquidity and seeks both price and
Liquidnet Dark is an integrator algorithm and seeks
liquidity in the Liquidnet pool and other dark venues, reaching most available
dark liquidity venues in EMEA.
customisation of dark venues and liquidity seeking logic in Liquidnet Dark and
post-trade transaction cost analysis (TCA) is available. Liquidnet members are
also given reports generated by a third-party execution analysis provider.
Access to the Liquidnet suite of algos is offered
via the firm’s desktop solution, the Liquidnet Trading Desk, phone, FIX
messaging and also through Bloomberg EMSX or ITG Triton.
The algorithms offer direct connections to internal
and external dark venues, as well as through dark aggregation and lit
Liquidnet plans to offer sponsored algo access;
consolidating access to additional algo providers whilst resting the parent
order in Liquidnet; greater research and development of TCA capabilities.