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RBS provides the opportunty to seek out non-displayed liquidity across all of its algorithmic trading strategies, whether through explicit client instructions on standard strategies or dark strategies, with routing logic tailored to individual client requirements.
The suitability of each nondisplayed trading venue is assessed before being included as a routing destination to the RBS smart order router based on various criteria. Access to dark venues is strictly controlled, following rigorous internal testing and performance/ reversion analysis.
RBS’ dark strategies access multiple dark venues by placing and reallocating slices using a combination of techniques. This behaviour varies according to the objective of the strategy and the lifecycle of the order, and can be configured on a per client basis.
For the dark-only strategy, clients can specify which dark venues and hidden liquidity they wish to interact with.
Clients can switch off venues according to their preferences. By default, RBS Cross, the firm’s internal crossing system, is accessible to all client strategy orders but can also be excluded in the same way as external venues.
Low impact strategies focused on dark liquidity also access lit books using IOC order types to minimise impact.
All orders posted on dark pools specify a minimum fill size, either by default or specified by the client. Pricing safeguards are also in place to to avoid reaction to sudden price movements. Dark pool performance analysis is conducted internally and independently to monitor flow interaction across all liquidity sources.
Service and reporting
Clients access dark liquidity algorithms via the RBS algorithmic trading suite.
RBS offers a segregated e-sales trading service that provides clients with a detailed understanding of each strategy, transaction cost analysis and customisable strategies.
RBS plans to add more liquidity sources, conduct further research on dark pool behaviour and optimise its routing and liquidity seeking logic.