US institutional broker Weeden has partnered with technology company Pragma to release Ghost, a new algorithm built to patiently work an order using a stock's price action as a primary driver for its execution speed.
Ghost participates in both lit and dark venues, waiting to take advantage of favourable price movements. The algo increases its trading rate when the price becomes favourable but does not block the market and allows the stock to naturally continue its price trend. Ghost uses Pragma's OnePipe methodology to opportunistically source dark liquidity while the order is working in the market.
Ghost is designed to protect client orders from predatory flow using Pragma's LIFEGUARD anti-gaming logic, which has been adapted to deal with high-frequency order flow. The new version of LIFEGUARD changes its trading behaviour based on millisecond-level details of activity in the market, including the pattern and price of trades, to help prevent information leakage, gaming, and adverse selection.
“Over the past year, as we've filled out the aggressive side of our liquidity sourcing suite, we've seen increasing demand for a more strategic execution tool that is opportunistic as well,” said David Mechner, CEO of Pragma. “Clients want a strategy that can be counted on to trade orders intelligently without constant monitoring.”
David Margulies, head of electronic products group at Weeden, added that clients had commented on the usefulness of Ghost during volatile markets, due to the adaptability of the strategy, especially in micro, small and mid-cap securities.
August saw dramatic spikes in volatility in Europe and also in Asia.