A trading algo (algorithm) that searches for dark liquidity (non-displayed liquidity) in available dark pools through a given liquidity network. It systematically sweeps and probes all connected marketplaces (exchanges or multilateral trading facilities (MTFs)) to maximize the probability of order execution and minimize market impact. Typically, electronic traders can employ them to access liquidity with a minimized market impact and footprint without trading through the spread. This algorithm uses the following set of parameters: start time, end time, minimum acceptable quantity (MAQ), and limit. For example, the minimum acceptable quantity is usually used to prevent unwanted fills and information leakage.
This website uses cookies so that we can provide you with the best user experience possible. Cookie information is stored in your browser and performs functions such as recognising you when you return to our website and helping our team to understand which sections of the website you find most interesting and useful.
Comments