Commentary

Elaine Wah

Modern Markets, Modern Metrics - A Blog By IEX

In this blog by IEX's Elaine Wah, the newest public exchange looks to refute public claims that the metrics it uses are designed to inflate its own volume numbers and mislead people.

Traders Poll

In his first public speech, SEC Chair Jay Clayton deviated from his prepared remarks and offered his own "off the cuff" comments on market issues. Do you like this change of pace?




Free Site Registration

November 1, 2010

Pragma Algos Hit 'Bullseye'

By John D'Antona Jr.

Pragma Securities' two newest algorithms take different approaches to finding liquidity. The first scours the markets quickly. The second is flexible and takes its time.

Pragma's Bullseye algo sources liquidity from both lit and dark venues as fast as possible, according to a preset price point or within a certain price range. The algo is targeted at direct-market-access users, said Eran Fishler, head of research at Pragma.

"Bullseye is concerned primarily with sourcing liquidity and will drive the price of shares up quickly," Fishler said. "It takes all the liquidity in a stock up to a certain price--and when done, there is no liquidity left."

By contrast, the second algorithm, Capture 2.0, also scans the lit and dark markets for liquidity, but is more programmable. Traders can use multiple order types and Pragma logic with it, and scan for liquidity signals from various markets.

"The difference between the two is that Bullseye is concerned primarily with sourcing liquidity and will drive the price of shares up quickly," Fishler said. "It takes all liquidity in a stock up to a certain price and when done there is no liquidity left."

Capture 2.0 can be programmed to work more slowly. As liquidity leaves the market, it can pause and wait for more shares. This pause lessens the algorithm's impact on the market, Fishler said, allowing traders to find the liquidity they want with minimal price movement.

Both algorithms are available to buyside institutions and brokers.

Both algorithms are available to the buyside through Weeden & Co. Pragma's execution partner and to the sellside via Pragma.

 

(c) 2010 Traders Magazine and SourceMedia, Inc. All Rights Reserved.

http://www.tradersmagazine.com http://www.sourcemedia.com/