Nomura International
Nomura's dark and smart routers underpin the firm's electronic trading suite. The dark router sources liquidity from various non-displayed equity trading venues. Direct access to these venues can be achieved via Nomura's SmartDark algorithm or 'I would' option. The smart router provides access to nondisplayed liquidity at both parent and child order levels.
Access
Nomura accesses its own NX MTF pool as well as BlockMatch, SmartPool, ITG POSIT, Chi-Delta, Credit Suisse Crossfinder and the dark order books of Chi-X Europe, BATS Europe, Turquoise and Nasdaq OMX Europe.
The dark router routes to NX MTF by default. However clients have full flexibility around which other dark venues the firm routes orders to on their behalf.
Non-displayed venues are assessed by the amount of liquidity they can provide, the quality of the liquidity, their ability to achieve posttrade transparency requirements, the additional latency opportunity cost versus the additional liquidity impact for the smart order router and the openness of access to the venue and fit with Nomura’s platform.
Clients can access Nomura’s ModelEx algorithmic suite which is available on over 30 major vendors via FIX. Multiple algorithms carry a dark routing option.
Liquidity interaction
The dark router splits orders and simultaneously posts multiple child orders across various non-displayed venues based on the probability of execution. Upon receiving executions from a venue, it re-allocates accordingly to completion.
The dark router is not currently configured to source liquidity from lit venues. Nomura’s position is reviewed on a regular basis and the firm expects this to change in future if liquidity warrants it.
Anti-gaming logic
Nomura’s anti-gaming logic includes client-defined minimum fill sizes per order or per venue, configurable selection of venues per client and the ability to support dark only limit prices. In addition, NX MTF as a venue includes well-formed-market checks.
Customisation
Bespoke customisation is available.
Service and reporting
The dedicated electronic sales-trading desk and service desk provide education and assistance throughout the trading process as well as real-time technical support. Nomura’s TradeSpex analytics portal provides clients with post-trade transparency on routing decisions taken daily via an execution venue breakdown report.
Future development
The dark router will be configured to cycle the entire order quantity across nondisplayed venues (in addition to it being optimally split across venues). The ability to both access hidden liquidity on lit venues and post as well will be added.