Dark Algorithms - Add Your Company - Edit listing
Fidelity Capital MarketsDarkSweep
www.fidelitycapitalmarkets.comContact:Matt Kennedy617-563-7668matthew.kennedy@fmr.comLast updated: 02/14/11 18:47:15
What is the algorithm designed to do?
DarkSweep is a strategy that will aggregate dark pools of liquidity into a single entry point and abstract the complexities and nuances of the venues it accesses. Splitting the order up among the available dark venues simultaneously, DarkSweep seeks and shifts liquidity in order to maximize execution without revealing trading intentions.
How many/which dark pools or nondisplayed liquidity venues does the algorithm hit?
Over 30 dark venues, including CrossStream.
What parameters does the algorithm allow to set?
There are a number of order pricing strategies supported.
Does the algorithm spray multiple liquidity pools or ping one at a time in search of liquidity?
Is the algorithm dark-only, or does it route mainstream if not finding liquidity in the dark?
DarkSweep will access nonquoted, nondisplayed liquidity in both the upstairs and downstairs market but will not display orders in any of the venues.
Does the algorithm enable users to split part of the order manually into a crossing network that bans broker algorithms?
Does the algorithm preference routing locations? What are the options for preferencing?
Users can customize the algorithm to include or exclude supported destinations.
What is the average match rate for the algorithm?
Over 55%. Data as of Nov 30th 2010.
Approx category breakdown of clients
Hedge funds: 60%; Mutual funds: 20%; Proprietary: N/A; Broker-dealers: 20%
Which OMSs and/or EMSs provide the algorithm as a routing option?
Any FIX-compliant OMS, including Eze Castle, Charles River, Royalblue Fidessa, NYFIX, Bloomberg and others.
Is the algorithm available internationally? In which countries?
Not at this time.
Is the algorithm customizable?
There are a number of client and trader specific customizations available.
Does the algorithm distinguish between liquid and Illiquid stocks?
Yes. Stock liquidity characteristics are used in determining appropriate pricing levels.
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