US-based technology provider Pragma Securities has developed two new aggressive liquidity sourcing algorithms, Capture 2.0 and Bullseye, which are designed to capture more liquidity with less market impact than the previous generation of trading tools.
Both algorithms access all liquidity in the market – hidden and displayed – in order to achieve their objectives. Capture 2.0 will aggressively source liquidity across more than 35 venues utilising a variety of order types, and is programmed to be mindful of market impact. It has been developed to satisfy traders where a high participation rate is demanded.
Bullseye aggressively sources all the liquidity in the market up to a limit price. It is designed for clients whose primary goal is to achieve a high participation rate in a very short time horizon. The offering is also intended to be highly configurable and customisable, allowing users to tailor it to individual client specifications.
“This is a more discerning breed of algo,” said Eran Fishler, head of research at Pragma. “It's less mechanical and much more market-sensitive. It has more checks and balances, and it looks at the market as a whole, rather than making decisions based on just the last five seconds.”
“Since the first aggressive liquidity sourcing algos were rolled out several years ago, a lot has changed about the type of liquidity available, and where that liquidity resides in the marketplace,” added Doug Rivelli, CEO of Pragma. “We built Capture 2.0 and Bullseye to help our institutional clients better take advantage of these changes, in particular high-frequency trading liquidity. In our testing so far, both of these second-generation algorithms are executing more stock, more quickly, and with less market impact compared to their predecessors.”
The development of the two new algos follows the launch of Pragma's Adaptive Overlays control suite in April 2010, which allows users to implement additional parameters and options into existing algorithmic strategies without the need for custom development or manual intervention.