ONECROSS, the new dark pool launched by quantitative trading solutions provider Pragma, will be the first in the US to allow traders to track benchmarks anonymously without the risk of incurring opportunity costs.
Using ONECROSS, traders can target market-on-open, market-on-close and full-day or intra-day VWAP benchmarks by participating in one of the platform’s crossing windows.
All-day VWAP and market-on-open (MOO) crosses can be submitted between 08.00 and 09.27 each day. If orders are matched during this time, trades will either be executed at the MOO price or, for VWAP-tracked trades, will come up as matched on the trader’s system and execute at the calculated VWAP price at the end of the day.
“Using our crosses, clients do not have to choose between whether they should expose their order to ONECROSS or look for liquidity in the open market,” Doug Rivelli, CEO at Pragma, told theTRADEnews.com.
ONECROSS’s market-on-close (MOC) window runs from 08.00 until 16.00, allowing traders to find matches to large orders during the day and trade at the closing price anonymously. According to Rivelli, this will entice more liquidity to the market.
“There is significantly more liquidity that wants to trade at the open or close but doesn’t because of pre-trade information leakage from working orders in the lit market or using over-the-counter desks,” said Rivelli. “By limiting this information leakage, ONECROSS will allow traders to execute a greater amount of shares at the open or closing price.”
The dark pool also has intra-day VWAP crossing windows running from 11.00 until market close, and from 12.15 to market close.
The pool is one of few to mix buy- and sell-side flow in the US. Rivelli notes that the nature of ONECROSS’s functionality means most orders are expected to be block sized, and buy-side traders will be less likely to be targeted by manipulative trading practices.
“Having a dark pool that tracks benchmarks means orders are less likely to be subjected to gaming strategies,” said Rivelli. “As a result, we expect institutional buy-side firms to be the main users of the pool.”