Morgan Stanley
NightVision is Morgan Stanley’s dark liquidity aggregation engine, which allows users to simultaneously access fragmented, available liquidity across multiple select dark pools. Morgan Stanley’s NightOwl algorithm seeks liquidity across dark and lit venues, including dark pools, exchanges and ECNs.
Access
Through NightVision and NightOwl, users are able to access fragmented nondisplayed liquidity available at carefully selected dark pools, including Morgan Stanley’s internal offerings, MS POOL and MS Trajectory Cross.
Morgan Stanley requires each external dark pool destination to demonstrate that they uphold certain order routing practices, maintain confidentiality of its order information, and take measures that mitigate the risk of gaming of its client orders.
Liquidity interaction
NightVision will generally attempt to allocate orders across all select dark pools it accesses to seek contra-side liquidity, taking into consideration a number of factors, including the order size and the type of liquidity historically available.
NightOwl leverages the firm’s smart order router, SORT, and NightVision to simultaneously access both lit and dark venues. NightOwl uses client parameters to determine how to route orders between dark and lit venues.
Anti-gaming logic
Morgan Stanley regularly evaluates the performance of its algorithms, routers and systems. The firm monitors for toxic flow using metrics such as trade size, fill rates, resting time for orders and reversion statistics. Morgan Stanley also aims to prevent gaming in its pools through measures such as rejecting IOCs. For other dark pools that the firm accesses, it uses certain constraints on orders such as minimum fill quantities. Potential manipulative activities, including recurring or suspicious trading patterns, are also monitored.
Customisation
Morgan Stanley works with clients to develop, implement and analyse customised strategies to meet their trading needs.
Service and reporting
NightVision and NightOwl provide transparency on how orders are executed, with post-trade measurement of results through the firm’s MS Analytics Post-Trade Reports.