Bank of America Merrill Lynch
Bank of America Merrill Lynch’s smart order router (SOR) is available globally. Introduced in 2013, it uses low-latency technology and data feeds, and applies smart multi-venue and fee-agnostic posting to maximise fill rates and certainty of execution. |
Venue trading tariffs and rebates are not used to determine passive posting or dark venue participation, and used only as a tie-breaker on aggressive routing. Certainty of fill is modelled based on historic and real-time statistics including queue depth/depletion, estimates of hidden size and fill-rates received.
Key features
The firm offers a range of exchange-standard and
enhanced order types, using the SOR’s intelligence to harmonise the customer’s
experience across markets with different underlying order types such as pegging
and dark-only.
Orders are subject to a variety of validation checks
(customisable if required) on size (absolute and relative to displayed size),
price, liquidity and spread.
Access
The SOR is fully integrated into the firm’s
execution platform, which allows clients to access it via direct market access
(DMA), algorithms, or the bank’s cash or portfolio trading desks. DMA and
algorithmic access is available via FIX and through all leading vendor platforms.
Customisation
Clients can advise of their specific routing
preferences, which can be incorporated. Unless explicitly set to only access
lit or dark venues, the SOR utilises both venue types concurrently to maximise
fill rates and price improvement.
The firm has a dedicated execution consulting team
providing transaction cost analysis (TCA) and suggestions on strategy usage,
and can integrate with a variety of third-party TCA platforms.
Future plans
The firm will continue to add venues and support additional enhanced order types.