Goldman Sachs Electronic Trading has built algorithms that source hidden liquidity in Canadian securities.
The three new algorithms, branded Sonar, Sonar Dark and Stealth, search dark pools and non-displayed orders on public markets in Canada and the U.S. for liquidity in Canadian securities. The securities may be listed in either or both countries, said Darren Sumarah, vice president at GSET in Toronto. These algos, which are part of 1CLICK suite, complement nine others that target Canada’s lit markets.
Sonar aggregates liquidity across multiple public and dark venues. Sonar Dark seeks liquidity at dark and grey venues. Stealth is designed to capture liquidity at all displayed markets and dark pools up to the order’s limit price. It also allows the client to customize where they want to post their passive orders.
"Now the trader can seamlessly access best prices across these two markets," Sumarah said. "Traders can post and rest orders intelligently, based on where the security typically
executes, either in the U.S. or Canada."
Trading in Canadian dark pools represents just 2 percent of total volume, he said. By contrast, Rosenblatt Securities reports in its latest survey that U.S. dark pools comprise 12 percent of consolidated trading flows.
Of around 4,000 securities listed with Canada’s TMX Group–the sole exchange operator for all Canadian listed securities–a little more than 180 are dually listed.
The new algorithms also include real-time foreign exchange features, such as taking Canadian dollar denominated securities and converting their prices into U.S. dollars. It will also convert the prices of U.S. securities into Canadian dollars.
GSET customers are able to use 1CLICK algos on their desktops via third-party order and execution management systems, as well as Goldman’s own REDIPlus EMS. Between 20 and 30 GSET clients use 1CLICK in the U.S.
