Weeden, an institutional broker, and Pragma Financial Systems, a quantitative financial software provider, launched liquidity management system OnePipe on Tuesday.
OnePipe was developed by Pragma @ Weeden, the firms’ joint algorithmic trading service, and is designed to address increasing liquidity fragmentation caused by the proliferation of dark pools in recent years. OnePipe offers institutional investors access to more than 25 dark pools, crossing networks, and streaming liquidity venues from a single source that can be accessed from the trader’s desktop.
OnePipe allocates orders among all non-displayed venues based on both historical and trade date liquidity, without preference to destination or venue fees. OnePipe also manages the rules of each liquidity source, such as minimum share size, resting orders versus pinging, and crossing times. It also has in-built anti-gaming logic and monitors every liquidity venue for execution quality.
According to Weeden and Pragma, crossing rates on OnePipe are as much as 4 times higher than average dark pool crossing rates. Clients receive a daily summary report detailing execution rates at the various venues and providing additional execution performance statistics.
“We were finding that as the dark pool universe grows, our clients were having problems accessing liquidity efficiently and in an intelligent manner,” says Douglas Rivelli, managing director, Weeden. “They were targeting a small number of destinations with the highest crossing rates but missing liquidity at smaller destinations because monitoring every venue was becoming too difficult. We wanted to develop a solution that would expose client orders to the greatest number of passive liquidity sources to give them the greatest chance of trading large blocks with minimal market impact,” he continues.
“Dark pools serve an important and beneficial function in our markets, which has led to their proliferation,” explains Lee Maclin, director of research, Pragma. “The role of OnePipe is to defragment that liquidity and ensure that traders are able to take full advantage of the liquidity present in all of these non-displayed venues,” he adds.