Less Stumbling in Dark with OnePipe

Traders Magazine, December 2007

James Ramage

Pragma Financial Systems and Weeden & Co. are shining many lights into the fragmented marketplace with a new product they call "a liquidity management tool." The two have partnered to develop a new "dynamic" aggregation product, called

OnePipe, to help institutional investors find liquidity faster in non-displayed markets. OnePipe distributes an order among 25-and soon, more than 30-liquidity sources from a central position on the user's order management system. Those sources include "passive stream liquidity sources, dark pools and other internalization pools," said Doug Rivelli, managing director at Weeden.

OnePipe looks at historic fill rates within each venue to determine where among the participating pools the order should be sent. Using historical data, it then sends order flow in real time to where it finds the best-quality fills. "We're targeting crossing rates above 20 percent," Rivelli said.

OnePipe doesn't favor lower costs or internal liquidity pools, and instead exposes orders to all of the pools, so users maximize crossing opportunities. OnePipe also manages each venue's rules, such as crossing times, minimum share quantities or minimum resting times. It also can block orders from accessing specific pools.

At the end of the day, the tool sends users a report to let them know where their crosses occurred. "The client sends one order into our system, and then we manage all the liquidity sources," Rivelli said. "Weeden clears all the Street-sides, and the client only clears one ticket." A beta version of OnePipe is available now. Pragma@Weeden will hold its soft rollout this month, and follow with a hard rollout on Jan. 1.

For more information on related topics, visit the following channels:

• Crossing Networks/ATSs
• Algos/DMA