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April 1, 2013

ConvergEx Algo Searches Pre-Market

By John D'Antona Jr.

ConvergEx Group is now offering an automated trading option for buysiders who want to trade before the equities mart opens.

Trading the market during the thinner pre-open-the time prior to 9:30 a.m.-has always been done manually. Now, the ConvergEx algo works between 7:30 a.m. and 9:29 a.m., facilitating faster and more efficient trading before the masses jump in, said Scott Daspin, managing director in the global electronic execution group at ConvergEx.

Using the algo also helps keeps the buyside's order size private. That would not be the case if the order were executed manually by floor traders.

"This is targeted at momentum traders and players," Daspin said. "Our clients wanted the ability to trade electronically before the market opens."

Daspin told Traders Magazine that the algorithm computes a prediction of market volume and then calculates trading spreads and volatility. Once these factors are estimated, the algorithm can then execute based on the user's desired participation rate. It also seeks liquidity in the dark venues, not just in the displayed markets.

 

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