ITG’s newest dark pool algorithm is now available to all its U.S. clients, and sometime next year to its European customers.
POSIT 3.0 Marketplace is billed as the firm’s new dark optimization algorithm. The new tool, ITG said, is built on a key insight – that how traders access liquidity from dark pools impacts performance as much, or even more, than which dark pools they turn to. The firm believes even so-called “toxic” pools of liquidity can be valuable liquidity sources if approached in the right way.
This new algo is targeted at getting into as many dark pools as possible and filtering out the toxicity. The goal is to help the trader sidestep potentially predatory traders and others not interested in filling his full order, yet getting a trader his order executed in an efficient manner from natural contra orders.
The algo does this by combining new proprietary technology and analytics to increase fill rates in non-displayed venues while filtering out potentially toxic liquidity, according to Ben Polidore, director of algorithmic trading at ITG.
“Built on a low-latency platform with direct connectivity to POSIT Alert and more than 25 execution venues, POSIT MP 3.0 employs machine learning techniques and ITG’s proprietary liquidity filter to source high-quality flow from nearly any dark pool, all while minimizing information leakage,” Polidore said.
Also commenting on the launch, ITG’s Head of Algorithmic Trading, Jeff Bacidore, added that POSIT 3.0 moves beyond dark aggregation to dark optimization. “It is built on the fundamental insight that the methods used for sourcing liquidity are every bit as important as which dark venues are accessed,”
POSIT Marketplace 3.0 can be accessed via ITG’s award-winning Triton(r) execution management system and also via FIX connection to ITG from third-party trading systems. POSIT MP 3.0 is fully integrated with ITG Prism for Algorithms.
