Continuing their four-year partnership, broker-dealers Weeden & Co. and Pragma have overhauled their OnePipe liquidity aggregation algorithm, designed to find more block liquidity and to increase fill rates.
The latest iteration of the algorithm, OnePipe 3.0, helps the buyside find more liquidity, either dark or displayed, by monitoring real-time changes in a security’s availability in the market.
The older version did not monitor a stock’s availability real-time. However, previous versions scanned the lit markets for liquidity.
It also allows users to specify exactly what participation rate they want, said Pragma chief executive David Mechner. This gives the buyside greater control in finding the liquidity they want and where they find it.
Mechner said the upgraded algorithm can generate up to a 20 percent higher fill rate than earlier versions. "This version is better at sourcing block liquidity as it adjusts the way it places orders at the venues," he added.
According to Paul Pantalena, head of trading at Pragma’s electronic products group, the algo seeks larger pools of liquidity by constantly adjusting an order’s minimum fill rates. It also looks for hidden orders, certain types of order types and quality of execution in a venue to determine where it places an order. "It searches for chunky liquidity wherever it is," Pantalena said.
The upgraded algorithm aggregates liquidity from 40 dark pools, crossing networks and other trading venues into a single, integrated pool. Users can set the algorithm’s aggressiveness between one and five levels. That in turn determines whether OnePipe accesses dark liquidity, both dark and gray markets or all available sources, including the lit markets.
