Goldman Sachs Electronic Trading (GSET) has unveiled a new iceberg-style smart routing algorithm designed to source liquidity across the fragmented European equities market.
The Smart Order Router (SOR) Iceberg strategy aims to grab liquidity across multiple domestic and alternative trading venues – including Goldman Sachs’ SIGMA crossing engine – by initially posting small orders to each.
The algorithm then uses stock-specific statistics to determine which venues will provide the best execution results. Once an order has been filled on specific venue, the SOR Iceberg algorithm will rebalance the residual order to reflect where liquidity was last captured.
“With the fragmentation of the European equity marketplace, there has been an increasing demand for traditional order types to adopt a more holistic or consolidated approach,” said Michael Seigne, European head of electronic sales at GSET. “Our new iceberg strategy leverages our smart order routing capabilities, and, based on the first week’s data, SOR Iceberg captured 40% more liquidity on average compared to our model of a primary-only iceberg order.”
As well as its SOR iceberg strategy, GSET offers a variety of algorithms for European equity trading including price and liquidity seeking, benchmark matching, dynamic volume participation and customised trading strategies.