Bank of America Merrill Lynch is to make a series of improvements to its SORT smart order routing offering, aimed at widening its range and increasing its response times.
Fuelled by low-latency market data feeds, including estimates of dark and hidden liquidity, SORT ensures optimal routing by taking into account each market's microstructure and each venue's execution options.
The firm is currently working to increase the intelligence component of its router, feeding new signals into its routing models, as well as upgrading the architecture and infrastructure.
“It's about being smarter and faster,” said Brian Schwieger, head of EMEA algorithmic execution at BAML. “Without that you run the risk of latency arbitrage, trading on a market that isn't there anymore. A successful SOR needs to have speed and intelligence combined.”
BAML also confirmed that it is rolling out SORT across Asia. The launch of Chi-X in Japan in July 2010 and Australia, expected later this year, has focused attention on the region.
“With new venues now appearing in Asia, we have rolled out smart order routing in the region to access this liquidity,” commented Schwieger.
BAML's SOR routes orders based on the probability of fill, which includes estimations for queue time, hidden orders and latency when trading across lit and dark venues. It also uses heat mapping that includes hidden volume estimations. Orders can be rerouted if any new information comes to light.