ConvergEx Group said it introduced an algorithm that lets portfolio managers take advantage of dark pools.
The Spectrum algorithm allows traders working on behalf of portfolio managers to draw on liquidity in dark pools, but keep assets allocated by assigned ratios to cash or different sectors of the economy.
Portfolio traders “have been virtually excluded from leveraging these dark pools. The timing and velocity of the dark pool fills is simply too random for their heterogeneous baskets,” said Scott Daspin, managing director in the Electronic Trading group at ConvergEx.
Spectrum makes “thousands of order placement decisions every second. It optimizes execution performance by providing midpoint or better pricing, while simultaneously monitoring risk management and cash balance parameters,” said Gary Ardell, head of the Financial Engineering & Advanced Trading Solutions group at ConvergEx
Spectrum’s proprietary technology and methodology also provides the ability to modify executions throughout the trading day.
This is the first in a series of portfolio algorithms ConvergEx said it plans to roll out.
ConvergEx was acquired by CVC Capital Partners this year.
ConvergEx was formed through the 2006 merger of a part of Bank of New York Mellon's securities unit with Eze Castle Software.
-- This article first appeared on Securities Technology Monitor.