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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.

 

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