Sanford C. Bernstein
All of Sanford C. Bernstein's algorithms source liquidity from non-displayed equity trading venues. Strategies with the strongest bias towards dark liquidity include Shadow, Ninja and Ice Ninja.
Access
Bernstein’s algos access BernX, Chi-Delta, Turquoise Dark, TQ Lens, SmartPool, Liquidnet H2O, NEURO Dark, BATS Europe’s dark book, BlockMatch, NX, BIX, BlockCross and independent crossing networks.
Venue selection is profiled on a per-user basis and any venue, including BernX.
Bernstein’s own crossing network, can be excluded. Bernstein’s dark liquidity algorithms are available in all major broker-neutral front ends.
Liquidity interaction
When sourcing dark liquidity Bernstein strategies aim to be active simultaneously in the maximum possible number of dark venues.
Routing logic for dark liquidity is dependent on the trading strategy selected. If a minimum participation rate is applied to the Shadow strategy, Shadow will remove liquidity from lit venues if insufficient dark liquidity is available. Ninja has discretion to remove liquidity from lit venues based on short-term alpha models.
Participation rates in Bernstein strategies can be profiled to keep track of either primary volume or consolidated volume.
Anti-gaming logic
Bernstein’s gaming logic comprises three key components: game theory, pattern recognition and adverse price movement of a security away from its correlated peers.
Customisation
Venue selection is determined on a per user basis and is linked to the style parameter. Customisation can also include filtering – automatically selecting different algorithms and parameters based on the stock and market characteristics – and Multi Strategy Switch, where trading styles are switched at various trigger points.
Algorithm parameters enable users to specify the minimum fill size on a per order basis.
Service and reporting
Bernstein’s trading systems include a suitability score for dark strategies to highlight the expected fill rates. Full details of venue of execution are sent back via FIX messaging, with detailed analysis of venue and style of execution provided via posttrade analytics.
Future development
The latest versions of Bernstein’s dark strategies include parameters for the user to cash balance across strategies, have greater control over the minimum fill per venue and apply an ‘I would’ level for dark and lit liquidity.