Part II: A Q&A with Goldman Sachs' Greg Tusar
Traders Magazine Online News, September 13, 2010
Greg Tusar, head of the Goldman Sachs Electronic Trading business in the Americas, sat with Traders Magazine recently to discuss a number of issues affecting equity trading today. Among the topics addressed were developments in market structure like order routing and order handling, as well how algorithms and dark pools are evolving. An industry veteran of 18 years, Tusar offered some of his insights in this second leg of a two-part Q&A.
Greg Tusar, Goldman Sachs
Traders Magazine: What about the next generation of your dark pool, Sigma X?
Greg Tusar: There are two things I would mention. One is potentially new geographies. We're talking about starting in at least one new place--which we'll be announcing shortly. The other is trying to move back the direction of larger execution sizes. One way to do this is with block contingent orders. It's something we've experimented with--in other pools and now in our own. Essentially we allow clients to simultaneous search for flow in multiple pools, yet stand ready to consummate a block should the opportunity arise. For instance, a client's total algo order is for 10,000 shares. Our algo will be working small portions of that order, say 500 shares, at several different pools. Meanwhile, they can have a block contingent order for the total quantity in our pool that will only execute with another block. In other words, the client avoids over-execution risk and automates what they may have done manually, in a negotiating system. There's clearly a desire to increase the print sizes that people are experiencing, instead of trying to re-assemble the blocks. We think this will get clients there without requiring a change to their workflow.
TM: So, it's just an ordinary cross through a dark pool, with the ability to not over-execute?
Tusar: It's more about managing a large order, across multiple venues, in an intelligent way. We're allowing clients to say "work my order algorithmically in all liquidity centers, but if the opportunity to cross with a natural arises, then get me done." Historically clients have had to choose whether they want to commit their order to an algo, or try to negotiate a block in a dark pool. Our intention is to provide them with both options simultaneously, and all they have to do is check a box.
TM: And this process takes how long?
Tusar: It's fast ... measured in milliseconds.
TM: So you also have a portion out looking that you could cancel on a moment's notice?
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