All Pragma's algorithms source liquidity from non-displayed equity trading venues. The firm's ONEPIPE dark liquidity aggregation facility connects to over 30 liquidity sources.
Pragma’s algos connect to a range of independent US dark pools, exchanges that support hidden mid-point orders, several brokersponsored pools and its own ONECROSS ATS.
The algos do not give Pragma’s own ATS any preferences; routing logic is based solely on the firm’s estimate of the amount of volume in each destination. The user can opt out of any execution destination.
Pragma accesses destinations which it deems to not leak information or have gaming activity. The firm continuously adjusts the destinations it accesses to ensure minimal slippage for clients.
Clients can access the algos through most major order and execution management systems or directly through FIX.
Pragma’s dark algorithms rest liquidity in the various dark venues the firm accesses. The algorithms will not avoid removing liquidity to reduce Pragma’s execution costs.
For algorithms that access both dark land lit venues, the majority of the order is initially allocated towards dark destinations. If liquidity is scarce in the dark pools, the algorithms adjust to allocate more for lit venue trading. Algorithms also react to market events.
LifeGuard, Pragma’s antigaming logic, is designed to prevent various types of gaming and information leakage. the firm combats classical short-term gaming and long-term information leakage by examining price behaviour relative to time. By continuously monitoring market activity and its own executions, Pragma sets limit prices that prevent trading when gaming or information leakage is detected.
Pragma’s algorithms are fully customisable on a client-byclient basis. The firm can customise execution venues, minimum fill sizes and urgency levels and also control how its regular algorithms interact with its dark algorithms.
The dark liquidity algorithms allow traders to specify how they want to extract liquidity. They can automatically switch urgency levels based on price action of a stock, which helps in reducing any gaming possibilities.
Service and reporting
The firm provides detailed post-trade analytics which show clients the liquidity venues they execute in along with their trade performance across a variety of industry benchmarks. Pragma also offers suggestions to improve execution quality using its standard algorithms or through a customised solution.
Pragma’s next generation of dark pool logic will allow more flexible and finer control of the tradeoffs between participation rate, price and information control.