Agency broker Instinet, which is owned by Japanese investment bank Nomura, has launched Instinet Execution Experts, a revamped suite of algorithms. The updated algorithms fuse components from Instinet’s previous algorithms with Nomura’s former US strategies. The suite will be available in the US from launch, and a global version is expected by the end of 2008.
Speaking to theTRADEnews.com, John Comerford, executive vice president and global head of trading research at Instinet, explains that the new suite combines Instinet’s liquidity access, speed, smart order routing and algorithm logic with algorithm logic developed at Nomura.
“We took all of the strengths of Instinet’s platform and we combined that with the next-generation opportunity-driven platform we developed at Nomura,” says Comerford. “We now feel we have the best of both worlds in that we have real-time, dynamic, price and liquidity discovery-focused algorithms combined with the best liquidity and dark pool access on Wall Street.”
As an example of how the update has changed the algorithms, the new version of Cobra, an Instinet algorithm, now has the ability to access multiple dark pools in addition to electronic communications networks (ECNs) and exchanges.
An important feature of the new suite, according to Comerford, is its component-based architecture. “It allows all of our algorithms to use the advanced, short-term execution techniques and the price and liquidity discovery strategies we have developed,” he says. “For example, we have a volatility capture sub-algo that all our top-level algos can utilise.”
He adds that this type of architecture makes it easy for the suite to be tailored to market changes, such as the emergence of new execution venues. “This is important in the US as new dark pools are launched frequently, and it is going to become more important in Europe as we get more MTFs emerging,” says Comerford.
This component-based structure also allows the firm to build customised algorithms quickly.
The new suite also offers portfolio algorithms, which allows to control groups of individual algorithms. “The main portfolio algorithm is an implementation shortfall-type algorithm, but we can put any group of algorithms into a portfolio and allow clients to control cash, data and sector exposures,” says Comerford. “It doesn’t matter which algorithms the single stocks are using – they all roll up into a portfolio which can be controlled according to client needs.”
Instinet has also connected to LeveL ATS, a US dark pool. This means Instinet’s clients will be able to access LeveL through any of the algorithms in the new Execution Experts suite.