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April 11, 2012

Parallel Parking by PDQ SOR

By John D'Antona Jr.

Chicago-based alternative trading system operator PDQ introduced parallel order posting capability into its smart order router.

Equity traders can now send passive orders to multiple venues, both lit and dark, simultaneously and have these orders automatically rebalanced when a portion of the initial order is filled.

Prior to this, the router sent out orders in serial fashion-that is, orders went to one venue and then another and another until they were completely filled.

PDQ chief executive Keith Ross said as the order is executed at one venue, PDQ's router will then automatically rebalance the open orders by venue to maintain the largest order size at the venues where the order is still active.

"This rebalancing approach allows for better reach and increased execution to all sources of liquidity, including dark pools and displayed markets," Ross said. "This order type effectively allows our subscribers to "co-locate" their orders at multiple trading venues."

The SOR then submits cancel/replace orders as necessary and posts the remaining open orders per the algorithm's parameters. These parameters are customizable for each subscriber and can include display as well as dark market centers.

"Orders that are not filled within PDQ's ATS are sent to all the major dark pools and public markets," Ross added.

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