Virtu expands block trading workflow with automated dark liquidity seeking to tackle market fragmentation

New Alert+ solution automatically routes any residual from an order to Virtu’s Covert algorithm to be executed in the dark once a match is completed on POSIT Alert.

Virtu has upgraded its POSIT Alert block trading capabilities to include automated dark liquidity seeking in a bid to tackle fragmentation in the non-displayed markets, The TRADE can reveal.

Named Alert+, the upgraded workflow solution allows users to immediately elect to route residual share quantities not filled on POSIT Alert to be executed in the dark via Virtu’s Covert algorithm. The solution is intended to give traders an increased opportunity to execute any residual and reduce execution risk by sourcing incremental dark liquidity and completing orders more quickly.

Covert is venue agnostic. It has three order category settings including passive, aggressive and neutral. Initially, the new Alert+ solution will use the neutral setting for orders.

POSIT Alert is a block trading workflow available to buy-side clients of Virtu via a desktop application integrated into order and execution management systems or electronically via broker algorithms which class POSIT Alert as a venue and send orders on a conditional basis.

“Prior to Alert+, clients would send an order in of a number of shares and we would execute what we could and send any residual back. The client then would have to send that residual back to another algo to seek more liquidity in the dark post that execution. Rather than needing to do that we’re offering an automated solution,” Michelle Butler, European head of POSIT Alert told The TRADE.

“You tend to find if there is additional liquidity it comes in quite quickly post the execution of a block and so this workflow ensures that clients can be more efficient in finding more dark liquidity in a shorter time frame. When clients elect to have Alert Plus switched on, the residuals from a POSIT match cycle, will be automatically routed to Alert Plus which uses Covert to access all other dark venues.

By connecting POSIT Alert and Covert through Alert+, Virtu said the newly automated solution would tackle market fragmentation, particularly in Europe and the US which now have a proliferation of non-displayed venues.

“This product is a means of solving the problem of fragmentation,” Brad Johmann, Virtu’s global head of POSIT Alert and US ATSs told The TRADE. “The demand is correlated with the fragmentation that exists in that particular market. In Europe and the US there is a lot of demand. It tapers off a bit in APAC due the concentration of liquidity on certain venues.”