Goldman Sachs has gone live with a new connectivity that will offer clients algo order status updates delivered via API on their FlexTrade execution management system.
Andy Mahoney, Alex Harman
The new offering is the first of its kind and designed to enhance buy-side visibility of algo orders throughout the trading day, building on existing capabilities in this sphere delivered via FIX connectivity.
The service will give clients access to proprietary data on Goldman algos directly via EMS.
“When a client sends an order to a GS algo, we are providing proprietary real-time data points back to the client’s EMS, giving them greater transparency and control of their orders,” Alex Harman, managing director, head of EMEA electronic and program trading at Goldman Sachs, tells The TRADE.
“[There are] Questions that clients ask brokers across the street throughout the day, including ‘how many shares is the algo holding for the close’, ‘am I expecting a residual’, and ‘is my dark ‘I would’ completed’ – we’re now providing that data to clients directly into their EMS.”
The service is now live on FlexTrade’s EMS and is set to be expanded to other EMS’ throughout the second quarter. It will initially offer clients data across 15 metrics with plans to expand this further in the future.
“Clients either want the data to automate routing or simply to make better decisions more efficiently,” added Harman. “Having the information at their fingertips means they have more control, more information and a better experience.”
The go live is designed to improve visibility for buy-side clients and build on existing order status update offerings that are provided via FIX connectivity. The TRADE understands that there are three banks that offer this via FIX but broadly it is not offered across all electronic providers.
“Under the current workflow without any order status update, essentially once you send the order, you’re blind apart from when the executions come back,” Andy Mahoney, managing director at FlexTrade, tells The TRADE.
“The issue that EMSs, providers and brokers have found is that the delivering OSUs over FIX has certain caveats. You can’t deliver data too frequently because FIX isn’t suitable for that.”
“There are a lot of overheads in terms of protocol recovery. When you recover a FIX session, you’re recovering all the messages, including stuff that is no longer relevant. It’s essentially transient data in the form of OSUs. It also precludes you delivering any additional or interesting content. It’s very rigidly formatted.”
Mahoney confirms that the new API offering will give clients greater flexibility which can then be fed into execution decisions.
“From an EMS perspective, digesting that order status update information allows you to make automated decisions on the back of it,” he explains. “For example, if there is going to be an expected residual at the end of the order, you may want to increase your participation or change the strategy automatically.”
Goldman Sachs and FlexTrade confirmed that there is scope to add further metrics in the future and customise where necessary depending on the client. As the service is offered via API, Mahoney explains customisability is simpler and avoids a time consuming build out process.
“If you were doing this over FIX, then if Goldman wanted to send an additional tag, it would require certification, upgrades and a long process to make sure we don’t compromise the fundamental trading architecture,” he says.
“Now, given that this is a completely separate pipe, we can add new fields, remove fields, move things around, are and add additional content very easily.”