ConvergEx Group
While ConvergEx's suite of algorithms all access dark liquidity through the broker's routing matrix, Abraxas is the firm's most advanced dark algorithm.
Abraxas is a tactical algorithm that seeks liquidity from both displayed and non-displayed trading venues, taking advantage of favourable price movements and volatility changes.
Access
ConvergEx algos access a wide range of US and European dark venues, including the firm’s own Vortex, Millennium and Cross alternative trading systems (ATSs). The broker plans connectivity to BATS Europe’s dark book, Chi- Delta, SmartPool, Swiss Block, Turquoise’s dark book and Xetra MidPoint in May 2010.
The Abraxas algo automatically sources liquidity from ConvergEx’s ATSs to minimise information leakage.
Abraxas uses a proprietary darkness rating for each venue, favouring agency nondisplayed venues with minimal information leakage before seeking liquidity at other non-displayed venues.
Clients can access ConvergEx’s algorithms through all major order and execution management systems as well as ConvergEx’s trading desks.
Liquidity interaction
Abraxas uses a multidimensional sensitivity profile that measures five key market signals to determine how and when to trade. Abraxas determines key price points and places orders either at the bid, mid or offer at various non-displayed venues. As the algo discovers liquidity, it dynamically rebalances its order types to capture the most liquidity at favourable prices.
If dark liquidity is not available or if Abraxas determines that the liquidity in the lit markets is favourable to its trading strategy, it will source fills from lit venues.
Abraxas maintains a record of where it discovers liquidity on each name it trades throughout the day.
The more Abraxas trades, the smarter it gets. As liquidity shifts from pool to pool, so does the algorithm.
Anti-gaming logic
CAbraxas’ multi-dimensional sensitivity profile helps determine if prices are unfavourable due to potential gaming events and will respond appropriately.
Customisation
Abraxas can be set to trade three styles: passive, neutral and aggressive.
Traders can set their minimum and maximum volume to create a trading band that Abraxas will execute within.
The algo also incorporates a parameter called MinDarkFill, which allows the trader to set their own block size to interact with dark liquidity, creating a custom defence against gaming when trading in non-displayed venues.
Service and reporting
A daily report is available with a breakdown of where Abraxas was able to find liquidity for clients’ trades.