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April 15, 2011

OnePipe Algo Gets Upgrade

By John D'Antona Jr.

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 in real time. The updated algo also allows users to specify exactly what participation rate they want, said Pragma chief executive David Mechner.

"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 venue quality to determine where it places an order.

Users can set the algorithm's aggressiveness to one of five levels. That in turn determines whether OnePipe accesses dark liquidity, both dark and gray markets or all available sources.


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